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Quantitative Finance

Investment Management, Risk Management, Algorithmic Trading, Econometric Modeling, Pricing and Insurance

Results for: Time Series

Refining Macroeconomic Forecasting with MATLAB Techniques

Posted by Ciara McGahey,

Nonlinear confidence bands help you quantify forecast uncertainty in DSGE models, but they can be slow to compute. At the MathWorks Finance Conference, Kadir Tanyeri (International Monetary Fund)… read more >>

Category: 
Forecasting,
Time Series

Speeding Up Dynare Models: Practical Paths to Performance Gains 1

Posted by Ciara McGahey,

Dynamic Stochastic General Equilibrium (DSGE) models are essential tools for policy analysis and forecasting, but estimation runs often exceed 24 hours—particularly for large-scale models or Bayesian… read more >>

Category: 
Econometrics,
Forecasting,
Time Series

Pricing Special Purpose Vehicles with Physics‑Informed Neural Networks at Nasdaq Private Market

Posted by Ciara McGahey,

Summary
Nasdaq Private Market (NPM) used MATLAB® to prototype and scale physics‑informed neural networks (PINNs) that price Special Purpose Vehicles (SPVs) with embedded carried interest and… read more >>

Category: 
Artificial Intelligence,
Asset Management,
Deep Learning,
Forecasting,
Options and Derivatives,
Risk Management,
Time Series

Deep Learning in Quantitative Finance: Transformer Networks for Time Series Prediction 2

Posted by David Willingham,

The following blog was written by Owen Lloyd , a Penn State graduate who recently join the MathWorks Engineering Development program.
The code used to develop this example can be found on GitHub… read more >>

Category: 
Artificial Intelligence,
Deep Learning,
Forecasting,
New Features,
Time Series