High-performance package for SemiDefinite Programs The software SDPA (SemiDefinite Programming Algorithm) is one of the most efficient and stable software packages for solving SDPs based on the primal-dual interior-point method.
A MATLAB toolbox for time series analysis using state space models. Supports fully interactive model construction with MATLAB objects and efficient Kalman filter backend implemented in c.
FinMetrics - MATLAB based, open source/open architecture quantitative portfolio management environment.
The collection of MATLAB compatible routines for Mechanical Trading Systems. Released ta-lib - MATLAB MEX API to www.ta-lib.org . Related projects: http://sourceforge.net/projects/wlmllink and http://sourceforge.net/projects/algotrade.
An application and C++ reusable object oriented framwork to load data and remove outliers using default or custom algorithsm. This framwork will greatly speed up the development of analysis of data with outliers. originally intended for use in finance.
Fast Gauss Transform Implementation Evaluate the sum of N Gaussians at M points
Source code for the paper J. Keiner and B. Waterhouse. Fast Principal Components Analysis method for finance problems with unequal time steps. In P. L'Ecuyer and A. B. Owen, editors, Monte Carlo and Quasi-Monte Carlo Methods 2008, Springer Verlag, 2010
Perl module for reading/writing QuickBooks IIF files.
math lib for .NET. n-dim arrays, complex numbers, linear algebra, FFT, sorting, cells- and logical arrays as well as 3D plotting classes help developing algorithms on every platform supporting .NET. Sources from SVN, binaries: http://ilnumerics.net
MADAM - is forecasting project.
A handle graphics package for Octave, the Free alternative to matlab. OctPlot provides quality postscript(TM) and screen graphics.
O SAINP (Sistema de Apoio ao Investidor Não Profissional) se propõe a realizar a análise fundamentalista dos ativos negociados na bolsa de valores brasileira. É um sistema próximo ao fornecido pela Economatica, mas gratuito e online.
Software Toolkit for Risk Analysis of Portfolios
Software toolkit for risk analysis of portfolios written for MATLAB / Octave
Evaluacion de riesgo en productos del mercado de renta variable y fija
DynaMo (Dynamic Models) is a package for simulation, estimation, inference, regularization and prediction of time series models, with a special focus on the families of models used in Financial Econometrics.