GitHub - vishalbelsare/parameter-estimation-jump-langevin: Code for the paper "Bayesian Parameter Estimation of Jump-Langevin Systems for Trend Following in Finance" by James Murphy and Simon Godsill

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Code for the paper "Bayesian Parameter Estimation of Jump-Langevin Systems for Trend Following in Finance" by James Murphy and Simon Godsill

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Name		Name	Last commit message	Last commit date
Latest commit History 1 Commit
CalculateCov.m		CalculateCov.m
EstimateParams.m		EstimateParams.m
EvaluateLikelihood.m		EvaluateLikelihood.m
GenerateData.m		GenerateData.m
GenerateData2.m		GenerateData2.m
GibbsSampleParams.m		GibbsSampleParams.m
InitializeWaitBar.m		InitializeWaitBar.m
ParamsToVector.m		ParamsToVector.m
Readme.txt		Readme.txt
RunTest.m		RunTest.m
SetParameters.m		SetParameters.m
UpdateWaitBar.m		UpdateWaitBar.m
VRPFFullEstimationVis.m		VRPFFullEstimationVis.m
VRPFParamEstimationVis.m		VRPFParamEstimationVis.m
VectorToParams.m		VectorToParams.m
VisMarkJumpTimes.m		VisMarkJumpTimes.m
covcalculations.m		covcalculations.m
getTimestamp.m		getTimestamp.m
license.txt		license.txt
loginvgampdf.m		loginvgampdf.m
logmvnpdf.m		logmvnpdf.m
rjmcmcinner.m		rjmcmcinner.m
sampletruncnorm.m		sampletruncnorm.m
sp500.mat		sp500.mat
truncnormpdf.m		truncnormpdf.m
tuncatedtest.m		tuncatedtest.m
visEstimateQuality.m		visEstimateQuality.m
visJumpSamples.m		visJumpSamples.m
visJumpSamplesRD.m		visJumpSamplesRD.m
visParamSamples.m		visParamSamples.m
visParamSamples5.m		visParamSamples5.m

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Code for "Bayesian Parameter Estimation of Jump-Langevin Systems for Trend Following in Finance"
James Murphy (jm362@cam.ac.uk) and Simon Godsill
Department of Engineering, Cambridge University


Starting Points:  

1.  RunTest.m   - runs the reversible jump mcmc estimation process
           -- filesuffix   is a suffix to add to the saved file name (can be arbitrary)
           -- dataset      specfies the dataset on which to run the estimation process:  0 = synthetic data from model, 1 = s&p 500, (2,3 -- data not available)
           -- [other parameters, including # of samples, set within RunTest.m file]