About Matlab toolboxes
July 21, 2010 2:33 PM   Subscribe

What Matlab toolboxes to buy for finance industry uses? I am about to buy the Matlab student version, in order to learn the program further. I would like to know, which ones of the toolboxes (not included in the student version) a) are used in the finance industry regularly, so that I should know them OR b) are crucial in computational finance?

I have been thinking of

- Datafeed
- Econometrics
- Financial and
- Financial Derivatives toolboxes

as they seem to include everyday stuff.

- I am wondering if global optimization (e.g. genetic algorithm) or partial differentiation toolboxes are used often in practice?

- Also, fixed income toolbox does not seem to offer anything special, but some fixed income derivatives functions in addition to 101 pricing models...?

I am interested in getting prepared for the industry, and I know that hardcore quants write their own codes anyway.

ATTN! The student version includes statistics and optimization toolboxes already...

Thanks for your ideas!
posted by Doggiebreath to Computers & Internet (6 answers total)
 
In 2006 we had a professor teach computational finance with Matlab using these toolboxes:

Curve Fitting Toolbox
Financial Derivatives Toolbox
Datafeed Toolbox
Excel Link
Extended Symbolic Math Toolbox
Financial Toolbox
Fixed-Income Toolbox
GARCH Toolbox
Optimization Toolbox
Partial Differential Equation Toolbox
Spline Toolbox
Statistics Toolbox
Wavelet Toolbox

I'm sorry but I wasn't involved in the class so I can't comment on their merit or uses really, but hopefully this is a start for you.
posted by jwells at 4:07 PM on July 21, 2010 [1 favorite]


I was pretty unimpressed with their optimization toolbox when I looked at it in depth a few years ago and had to write my own.

I have used the excel link and the statisitcs toolbox a good deal - but you can get pretty good tools for free ie for econometrics I would trust James LeSage's toolbox over Mathworks.
posted by shothotbot at 4:48 PM on July 21, 2010


I'd take a look here.

The people at that link can answer this question.
posted by dfriedman at 6:08 PM on July 21, 2010 [1 favorite]


MathWorks teaches several freely available webinars online in Computational Finance. I suggest that you try watching several and get the toolboxes required to follow along on your own.

Two notes

#1 Most of the computational finance on Wall St. is still done in Excel spreadsheets. There are quite a few very smart people who work behind the scenes in some of the high-frequency trading groups using more advanced software, but now you are talking low-level languages such as C and C++. In other words, MATLAB is a great tool and useful to know, but don't go in expecting that experience in MATLAB software will get you interviews.

#2 More to the point, if you are interested in getting a quantitative job on Wall St., especially in an , you will be well-served by having the fundamental mathematic background for this work. Statistics, Stochastic Calculus, and Optimization courses are even more useful and portable than knowledge of a specific platform.
posted by onalark at 2:37 AM on July 22, 2010


Thanks for your great answers esp. links.

I learned that
- the libraries are not that important, writing code fluently is
- there are some great free libraries, e.g. Kevin Sheppard's Econometrics library. It has even Engle's MGARCH DCC -model! I thought only WinRats has it.
- Math & Stat skills may be more important if not studied those.
posted by Doggiebreath at 7:58 AM on August 23, 2010


Thanks for updating Doggiebreath. Good luck!
posted by onalark at 8:58 AM on August 23, 2010


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