This category contains 2 posts

Processing Excel dates in MATLAB on OS X

MATLAB's xlsread function tends to struggle with processing dates in Excel spreadsheets on OS X. For instance, given the following ASX50 price data in Excel: If we attempt to read this into a data matrix and column name vector, xlsread will interpret the dates as numeric values. The type of the column in Excel (General … Continue reading »

Roulette PnL Simulation in MATLAB

Being able to model real world systems statistically is an important skill if you wish to develop quantitative models of the financial markets. In this post I'm going to take you through how to develop a simple roulette simulator in MATLAB. Our drunken sailor (of random walk fame), while heading home, happens to stumble into … Continue reading »