Created with Wolfram Mathematica 9.0
Mathestate Notebook Links
This page is gives URL links to the Mathematica notebooks on the Mathestate site. Most of these were written in version 7, but many still have some useful code. Mathematica users or users who have Wolfram CDF Player installed with a browser plug-in may click on the links directly and view them in a browser.
A list of URLs may be imported directly from this page into Mathematica with the following line of code. Those which end with the extension, .nb, will be Mathematica notebook files.
Import["http://pages.suddenlink.net/rhr/mma01/MathestateNotebookLinks.html", "Hyperlinks"]
A notebook then may be opened into Mathematica with code like the following:
NotebookPut@Import["http://notebookURL.nb"]
BlackSwanOil Volatility in the Oil Market, May 2011
CDA A continuous double auction model that generates stable returns.
CDA2 A continuous double auction model using the double Pareto-lognormal distribution to generate stable returns.
CFFit Explanation of characteristic function fitting.
CFReferences References for the Fourier transform pages.
CharacteristicFunction Characteristic functions can be used with the fast Fourier transform.
ComplexNumbers A review of complex numbers in polar and Cartesian forms with reference to the stable characteristic function.
Convolution Convolution in the Fourier domain.
Crash The association of market crashes with periods of high volatility.
CreditCrunch An examination of Treasury Bond volatility since 1962.
DailyVolatility A gallery of daily volatility on fifty stocks, calculated from intraday data.
Differentiation Differentiation and integration in the Fourier domain.
DoubleParetoLogNormal Double Pareto-lognormal distributions are power tail distributions.
Election04 Iowa Electronic Markets 2004 presidential election data.
Election08 Iowa Electronic Markets 2008 presidential election data.
EmpiricalCF Empirical characteristic functions with the fast Fourier transform.
Extremes Clustering of extreme returns in financial series.
FatTails Some thoughts about why markets might have heavy tailed returns.
FFT The fast Fourier transform is used to calculate a density from a characteristic function.
FFTInterpolation Enhanced stable approximation with the FFT using derivatives in the interpolation function.
FinancialReturns Basic concepts of financial return.
FitGallery Fits of ten years of data to the LNN distribution for all the components of the DJIA.
FOMC Volatility after FOMC meetings.
GCLT A demonstration of the generalized central limit theorem.
GeneralizedExtremeValueDistribution Properties of extreme value distributions.
HighLowVolatility A simple readily accessible measure of volatility.
HittingTime Hitting time or stopping time under a stable regime.
HowMarketsWork A working paper, extending the theory of market behavior.
Index This page.
InTradeElection08 Intrade 2008 presidential election data.
Laplace Skewed Laplace distribution and Laplace normal distribution.
Links Links to other pages with information on stable distributions.
LNNParameters Parameter estimation for the LNN distribution.
LNNRisk The lognormal normal distribution: how risk is represented.
LNNRV Simulation with LNN pseudo-random variables.
LNSProperties An examination of the behavior of a lognormally scaled stable distribution.
LNStableRV A demonstration of lognormal-stable random variables.
LogarithmicReturns A look at how logarithmic returns work.
LognormalNormal The lognormal normal distribution with a maximum likelihood parameter fitting algorithm.
LogNormalStable A new statistical distribution derived from the product of a lognormal and stable random variable.
LongRangeVolatility Long range volatility obtained from daily market data.
MarketData Fitting market data to stationary and non-stationary stable distributions.
MarketReturns Returns from financial markets.
MarketTheory A working paper describing a non-stationary heavy-tailed market model.
MerleHazard Economic country songs by Merle Hazard.
ModelTest A look at the performance of a non-stationary stable market model with a varying scale factor.
MonetaryBase An exploration of the recent expansion of the monetary base.
Oil Oil future prices show the same behavior as stock prices.
Overview This page is the starting point for navigation.
PowerTail An idea about how power tail distributions arise in financial markets.
PowerTailModel Power tail model for market returns.
PresidentialPrediction A more sophisticated prediction market approach using Intrade 2008 presidential election data.
Random Stable random numbers.
Rasmussen08 Rasmussen Markets 2008 presidential election data.
References Helpful references.
ReturnDistribution Returns as a set of events with a heavy tailed distribution.
ReturnEvents Returns as a set of events with a heavy tailed distribution, continued.
RVSums Sums of stable random variables.
ShiftScale Changing the location parameter and scale of a statistical distribution in the Fourier domain.
Software Information about stable software.
StableConvolution Convolution of stable distributions--possible application to characteristic function fitting.
StableDensity The stable density function.
StableDistributions Basic information about stable distributions.
StablePRNG Stable pseudorandom number generator.
StableProbability The stable distribution function.
StableStockAnalyzerM7 A software notebook for stable analysis of market prices.
TrackVolatility A page that tracks recent market volatility.
UnderConstruction A filler page that will often point to areas under development.
Variance A demonstration of what infinite variance means.
Volatility Measuring volatility with stable γ.
VolatilityModel Simulated Market Volatility is created from a stable random sample.
WSJElection08 Wall Street Journal 2008 presidential election data.
Zolotarev Derivation of the Zolotarev-Nolan stable integral.
© Copyright 2013 Robert H. Rimmer, Jr. Sun 27 Oct 2013