Tag Archives: MCMC

Another MCMC for Bayesian Inference with Metropolis Algo

Another MCMC for Bayesian Inference with Metropolis Algo

From  QuantStart and NYC Contact for highlighting

https://www.quantstart.com/articles/Markov-Chain-Monte-Carlo-for-Bayesian-Inference-The-Metropolis-Algorithm

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MCMC Markov Chain Monte Carlo demos with Matlab

MCMC Markov Chain Monte Carlo demos with Matlab

Here is the toolbox framework link http://helios.fmi.fi/~lainema/mcmc/examples.html

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References for MCMC Markov Chain Monte Carlo Simulation for Matlab

Reference for MCMC Markov Chain Monte Carlo Simulation for Matlab

Hoestly, the help systems of Matlab does not specifially point to any resources so I decided to research some of these below

I am now looking at MCMC Markov Chain Monte Carlo Simulation for Matlab. This is a widely respected way of doing market analysis so here are some links:

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http://www2.math.su.se/matstat/und/bayes/pdf/Lab1eng.pdf <– some basic Maltab sample code as set up as tutorial

http://www.cs.ubc.ca/~murphyk/Teaching/CS340-Fall06/reading/mcmc.pdf <–somewhat advanced but has some decent code with function examples

https://www.msu.edu/~blackj/Scan_2003_02_12/Chapter_11_Markov_Chain_Monte_Carlo_Methods.pdf <–decent explanation with source code examples (no data source)

http://www.mathworks.com/products/statistics/code-examples.html;jsessionid=cb37a085985635731a702db4271d?file=/products/demos/shipping/stats/bayesdemo.html <–the slice sampler is an MCMC algorithm but will use Bayes in future demos

http://helios.fmi.fi/~lainema/mcmc/ <– best self contained framework with no external toolboxes needed

http://helios.fmi.fi/~lainema/mcmc/examples.html <–this contains the best real world example with http://helios.fmi.fi/~lainema/mcmc/ex/normalex.html

I confirmed it worked!

http://www.math.wsu.edu/faculty/genz/416/lect/l10-4.pdf <–scant explanation with code

http://matriisi.ee.tut.fi/courses/MAT-52500/part_II_lecture_6.pdf <– decent Powerpoint but not no example source code

Specific for finance:

http://www.columbia.edu/~mh2078/MCS04/MCS_framework_FEegs.pdf <- specific options/portfolio examples provided with source

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1964923 <- need to register at SSRN

http://stanfordphd.com/Markov_Chain_Monte_Carlo.html <– no specific code examples

http://homepages.inf.ed.ac.uk/imurray2/teaching/09mlss/slides.pdf <– easy to consumer Powerpoint slides with some code

https://www.google.ca/url?sa=t&rct=j&q=&esrc=s&source=web&cd=6&cad=rja&uact=8&ved=0CFsQFjAF&url=http%3A%2F%2Fwww.math.washington.edu%2F~morrow%2F336_11%2Fpapers%2Fjie.doc&ei=IdhGU9yXJebLsAS4j4DoDA&usg=AFQjCNG_VGVrMkXZmURRdBOLG6magpm1YA&sig2=VqEQ60VekMCsMaTYxRs6iQ&bvm=bv.64507335,d.b2I <– Word Doc download but scant

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Meetups of Ernie Chan’s Pitfall of Backtesting, Monte Carlo primer, Beta analysis, PCA, Bayesian, and MCMC research models coming

Hi there

I have added two online Meetups for later this year.

1. Monte Carlo primer on Nov 5 at 7pm EST. Details here.

2. I made a video on this speaker of Dr. Ernie Chan’s Pitfalls of Backtesting. Go here. This Meetup happens on Dec 11 at 6:30 EST.

Also, I am preparing so many more strategy development and models with R script code walkthrough videos on Markov Chain Monte Carlo (MCMC),  PCA, and Bayesian. These are what the big boys use in their quant trading analysis and research for forecasting.

For my Premium Membership, I also added 4 new Beta and Fixed Income vs Asian Currency analysis R script models with videos each:

1. 4 myths on beta

2. Calculate beta with CAPM

3, Sophisticated beta analysis with advanced management and portfolio tools

4. Asian currency return analysis against the US Treasury 10 year bond

This increases the value for my Premium Membership as I add more live webinar demos on all these. Interested in joining my membership? Join –> here <– to get immediate access to so much. Benefits listed here.

Got questions or comment, let me know.

Thanks

Bryan

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!