Chapter 1. Financial Markets, Prices and Risk (in MATLAB/Julia)


Copyright 2011, 2016, 2018 Jon Danielsson. This code is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version. This code is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. The GNU General Public License is available at: https://www.gnu.org/licenses/.
The original 2011 R code will not fully work on a recent R because there have been some changes to libraries. The latest version of the Matlab code only uses functions from Matlab toolboxes.
The GARCH functionality in the econometric toolbox in Matlab is trying to be too clever, but can't deliver and could well be buggy. If you want to try that, here are the docs (estimate). Besides, it can only do univariate GARCH and so can't be used in Chapter 3. Kevin Sheppard's MFE toolbox is much better, while not as user friendly, it is much better written and is certainly more comprehensive. It can be downloaded here and the documentation here is quite detailed.


Listing 1.1/1.2: Download S&P 500 data in MATLAB
Last updated August 2016

price = csvread('index.csv', 1, 0);
y=diff(log(price));                 % calculate returns
plot(y)                             % plot returns
		
Listing 1.1/1.2: Download S&P 500 data in Julia
Last updated June 2018

using CSV;
price = CSV.read("index.csv", nullable = false);
y = diff(log.(price[:,1]));
using Plots;
plot(y)
		

Listing 1.3/1.4: Sample statistics in MATLAB
Last updated June 2018

%% the function sacf uses Kevin Sheppard's MFE toolbox
%% download at https://www.kevinsheppard.com/MFE_Toolbox
mean(y)
std(y)
min(y)
max(y)
skewness(y)
kurtosis(y)
sacf(y,1,[],0)
sacf(y.^2,1,[],0)
[h,pValue,stat]=jbtest(y);
[h,pValue,stat]=lbqtest(y,'lags',20);
[h,pValue,stat]=lbqtest(y.^2,'lags',20);
%% NOTE: in MATLAB 2018a, some functions require name-value pairs
%% e.g. MATLAB 2016a: [h,pValue,stat] = lbqtest(y,20)
		
Listing 1.3/1.4: Sample statistics in Julia
Last updated June 2018

using StatsBase;
println(std(y))
println(minimum(y))
println(maximum(y))
println(skewness(y))
println(kurtosis(y))
println(autocor(y, 1:20))
println(autocor(y.^2, 1:20))
using HypothesisTests;
println(JarqueBeraTest(y))
println(LjungBoxTest(y,20))
println(LjungBoxTest(y.^2, 20))
		

Listing 1.5/1.6: ACF plots and the Ljung-Box test in MATLAB
Last updated August 2016

%% subplots here are just for ease of visualization
subplot(1,2,1)
autocorr(y, 20)
subplot(1,2,2)
autocorr(y.^2, 20)
		
Listing 1.5/1.6: ACF plots and the Ljung-Box test in Julia
Last updated June 2018

using Plots;
q1 = autocor(y, 1:20)
q2 = autocor(y.^2, 1:20)
plot(bar(q1), bar(q2))
		

Listing 1.7/1.8: QQ plots in MATLAB
Last updated 2011

%% subplots here are just for ease of visualization
subplot(1,2,1)
qqplot(y)
subplot(1,2,2)
qqplot(y, fitdist(y,'tLocationScale'))
		
Listing 1.7/1.8: QQ plots in Julia
Last updated June 2018

using Plots, StatPlots, Distributions;
plot(qqplot(Normal, float(y), qqline =:quantile), qqplot(TDist(5), float(y), qqline = :quantile))
		

Listing 1.9/1.10: Download stock prices in MATLAB
Last updated 2011

price = csvread('stocks.csv', 1, 0);
y=diff(log(price));
corr(y)                              % correlation matrix
		
Listing 1.9/1.10: Download stock prices in Julia
Last updated June 2018

using CSV;
price = CSV.read("stocks.csv",nullable=false)
y1 = diff(log.(price[:,1]))
y2 = diff(log.(price[:,2]))
y3 = diff(log.(price[:,3]))
y = hcat(y1,y2,y3)
println(cor(y))                               # correlation matrix