volkziem / physicsandfinance

Matlab live scripts for the book "Physics and Finance" published by Springer in 2021

MATLAB Live scripts for Physics and Finance

The live scripts (with file extension .mlx) are specially prepared MATLAB files that contain text explanations, images as well as executable MATLAB code. Just load them from your MATLAB installation. You can also look at a webpage online (well, not from within github, but otherwise it looks fine. It is the html that MATLAB generated) or download a pdf. Both are automatically generated from the running live script and contain everything, input as well as output, including plots.

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My book Physics and Finance was published by Springer in March 2021 as part in the Series of Undegraduate Lecture Notes in Physics. The German translation was published in October 2023.

Chapter 2: Portfolio theory and CAPM

• Markowitz portfolio optimization for portfolios with risky assets only and with a risk-free asset included: live script and pdf.

Chapter 4: Stochastic processes

• Log-normal distribution function explorer: live script and pdf.

Chapter 5: Black-Scholes differential equation

• Call option explorer: live script and pdf.
• Delta hedging simulation: live script and pdf.

Chapter 7: Regression models and hypothesis testing

• Fitting a straight line to data points with error bars: live script and pdf.
• Education pays off as shown by data from the US bureau of labor statistics: live script and pdf.
• Chi-squared distribution explorer: live script and pdf.
• Student t-distribution and hypothesis testing: live script and pdf.
• F-test explorer: live script and pdf.

Chapter 8: Time series

• Box-Jenkins analysis of CO2 data from Mauna Loa: live script and pdf.

Chapter 9: Bubbles, crashes, fat tails, and Levy stable distributions

• Cantor set generator: live script and pdf.
• Koch's snowflake generator: live script and pdf.
• Multi-fractal walk simulation of multi-fractal stock charts: live script and pdf.
• Central-limit theorem visualization: live script and pdf.

Chapter 10: Quantum finance and path integrals

• Monte-Carlo pricing kernel from path integrals: live script and pdf.

Chapter 11: Optimal control theory

• Equilibrium of the Robinson-Crusoe economy: live script and pdf.
• Donkey's solution of an optimal-control problem: live script and pdf.
• Controlling the Robinson-Crusoe economy with an LQR regulator: live script and pdf.

Chapter 12: Cryptocurrencies

• RSA public-key cryptography, a very basic illustration: live script and pdf.
• Elliptic-curve arithmetic, an illustration: live script and pdf.
• Elliptic-curve signature with ECDSA illustrated: live script and pdf.