Issue 71, 8 May 2008

In this issue:


Top Story - NAG Launches NAG Toolbox for MATLAB®

NAG is delighted to announce the availability of the NAG Toolbox for MATLAB. The NAG Toolbox for MATLAB allows users to call NAG's highly regarded numerical routines, using customized interfaces, from within the MATLAB environment. The Toolbox gives access to increased mathematical and statistical functionality, which was previously unavailable or accessible only by purchasing multiple toolboxes.

One of the key benefits of the NAG Toolbox for MATLAB is the extensive integrated documentation that accompanies the product. Included in this are descriptions of every routine, its purpose and an example of use, which helps users pick the appropriate routine for their problem. This comprehensive documentation, for which NAG is renowned the world over, is not currently available using MATLAB independently, or in combination with other specialist toolboxes.

More information about the NAG Toolbox for MATLAB can be found here http://www.nag.co.uk/numeric/MB/start.asp.


NAG In The News ' Wavelet Analysis for Financial Market Data

Continuing our theme of future functionality to be included in the NAG Library we present an article about Wavelet Analysis by Robert Tong, Senior Technical Consultant at NAG. The article is derived from a presentation that Robert gave at the NAG Quant Day 2007, New York.

“Financial markets generate large quantities of high-frequency data which must be analysed to inform trading decisions. Wavelet multi-resolution analysis is increasingly being applied to these data sets because it enables the practitioner to focus on particular time scales where trading patterns are considered important.

The raw market data consists of market prices which are recorded as transactions occur and are irregularly spaced in time. Errors may be present due to faulty input or other factors and the prices can be given as bid-ask pairs, such as in the Foreign Exchange (FX) spot market. A pre-processing stage is therefore required to clean and present the raw tick by tick price information as a homogeneous (regularly spaced) time series for analysis. It is essential that any initial cleaning, filtering or sampling steps do not transmit spurious features to the following analysis stage.

The application of a wavelet multi-resolution analysis to a data set involves translation and scaling of the wavelet basis function in a convolution algorithm. This produces a decomposition of the data set into vectors of coefficients, each associated with a particular time scale which is determined by the scaling of the relevant wavelet function. This can be particularly useful for financial market data where one might want to distinguish diurnal trading patterns from other price movements...”

To read the rest of the article please click here http://www.nag.co.uk/IndustryArticles/Wavelet_Analysis_for_Financial_Market_Data.asp


NAG Training ' NAG Toolbox for MATLAB

NAG is holding a training day, on 29th May in Oxford to give users of MATLAB an introduction to and general usage instructions for the NAG Toolbox for MATLAB.

The training will show users of MATLAB how using the Toolbox will enhance their work, and show specific demonstrations of the solution of problems using the Toolbox. Attendees will have the opportunity to get ‘hands-on’ with the new product and direct questions to the experts who develop the Toolbox and the NAG Library.

The training session is ‘BYOL’ (Bring Your Own Laptop) based and will start at 10am. Lunch and refreshments will be provided and expected finish time is approximately 3pm.

If you would like to attend please complete the online registration form here http://www.nag.co.uk/market/ToolboxTraining.asp or email us with any questions.

Important Software Information

The NAG Toolbox for MATLAB together with a compatible version of MATLAB (2007a, 2007b or 2008a) MUST be installed on your laptop prior to attendance. If your organisation or learning institution is not yet licenced for the NAG Toolbox for MATLAB we will supply a temporary licence.

Operating System Requirements: Microsoft Windows 32 bit, Linux 32 and 64 bit.


NAG Event Calendar
Global Derivatives Trading and Risk Management Conference
http://www.icbi-events.com/globalderivatives/
19-23 May 2008, Paris

International Supercomputing Conference
http://www.supercomp.de/isc08/content/
17-20 June 2008, Dresden

NAG is delighted to be supporting the: 4th Annual CARISMA Seminar: Risk Control Strategies for Hedge Funds & Program Trading
http://www.optirisk-systems.com/newsandevents_events.asp#
30 June ' 3 July 2008 ' London

Following in the success of CARISMA's 3rd annual conference, the 2008 conference promises to be even more informative for finance professionals and academics. Key issues being covered at the conference include: program trading, algorithmic trading, risk control strategies for hedge funds, long-short portfolios, derivatives trading and risk management and investment strategies for hedge funds.

For more information on this exciting event visit the organisers websites.


Product News - Latest Implementations

NAG is committed to offering new implementations of its broad range of numerical and statistical software components and compilers and tools. The following implementations for NAG products have become available since the last issue of our newsletter:

The NAG Toolbox for MATLAB, Mark 21.1 is available for the following platforms:

  • Microsoft Windows 32 bit
  • Linux 32 bit
  • Linux 64 bit

For full details of these and all other available implementations, visit the NAG site. Comprehensive technical details of each implementation are given in the relevant Installation and User Notes at http://www.nag.co.uk/doc/inun.asp


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