Risk and Asset Allocation
A toolbox for risk and asset allocation from Attilio Meucci that allows for advanced risk and portfolio management.
These routines support the book “Risk and Asset Allocation” Springer Finance, by A. Meucci, see http://www.symmys.com
The routines include many new features:
- - more uni-, multi- and matrix-variate distributions
- - more copulas
- - more graphical representations
- - more analyses in terms of the location-dispersion ellipsoid.
- - best replication / best factor selection
- - FFT-based projection of a distribution to the investment horizon
- - caveats about delta/gamma pricing
- - step-by-step evaluation of a generic estimator
- - non-parametric estimators
- - multivariate elliptical maximum-likelihood estimators
- - shrinkage estimators: Stein and Ledoit-Wolf, Bayesian classical equivalent
- - robust estimators: Hubert M, high-breakdown minimum volume ellipsoid
- - missing-data techniques: EM algorithm, uneven-series conditional estimation
- - stochastic dominance
- - extreme value theory for VaR
- - Cornish-Fisher approximation for VaR
- - kernel-based contribution to VaR and expected shortfall from different risk-factors
- - mean-variance analysis and pitfalls (different horizons, compounded vs. linear returns, etc…)
- - Bayesian estimation (multivariate analytical, Monte Carlo Markov Chains, priors for correlation matrices)
- - estimation risk evaluation: opportunity cost of estimation-based allocations
- - Black Litterman allocation
- - robust optimization (calls SeDuMi to perform cone programming)
- - robust Bayesian allocation
- - more…
In addition to these MATLAB routines, at www.symmys.com the reader can find other freely downloadable complementary materials:
- - the “Technical Appendices”, a booklet with the proofs of the results presented in the books and used in the routines
- - the “Slides”, a set of presentations that walk the reader through the whole book
- - the “Errata”, a few typos in the first two reprints of the book
- - the “Sample”, an excerpt of the book.
Any feedback on the above materials is highly appreciated: please refer to www.symmys.com to contact the author.
Popularity: 3% [?]
Poker Predictor: a Free Texas Hold’em Odds and Probability Computer
Contents
The finest poker brains on your side!
In real life poker games many factors affects the game. A good poker player has to study facial expression, breath frequency, hands movements etc. In online games you have no opponent to look in the eyes, the math behind poker takes a leading role to gain an edge against others players. To become a good online poker player you have to know at least some basic poker theory.
First of all I want to say something about the relationship between math and poker. Poker is a cards game, this means luck counts, you wont win all the matches if you know all the odds and if you are a great bluffer. To win, you also have to be a little luck and, fortunately, poker is still an human game, experience and skills are important too.
But what is important is to acquire a good gaming style that allows you to play correctly every time. It does not mind if you play correctly and you still loose. You may loose this game but you’ll see that on a large numbers of matches the edge you have against your opponent will turn into money.
Now how to acquire a mathematically correct good gaming style?
There are two options:
- You can study all the odds, read a thousand of poker game theory, make some quite complex calculations in your head each time a card falls on the table.
- You can Download Poker Predictor
What can Poker Predictor Do
Texas holdem poker is about:
- 2+5 cards each player
- 52 total number of cards
- 1326 starting hand configurations
- 207025 distinct head-to-head match ups
- 1712304 possible boards
- 690900 hands configurations with a single opponent
- over 6.22 e26 with 9 opponents
- ……………..
All of them are in Poker Predictor
Poker Predictor is a tool to calculate poker games probabilities from whatever cards configuration. Probability are computed with random cards permutation, they are not the exact ones but the high simulations numbers ensure the error to be less than 1%.
Thanks to his strong computational engine, It can simulate 100′000 10 players Texas hold’em games in a matters of 0.3 seconds, so it is actually a real time tool, very useful for on line games, especially with high level players. It is possible to choose both players and opponents cards.
Although a little rough in the graphics (I am not a software developer, neither a programmer, just an engineer with poker passion) Poker predictor is a powerful tool, I am myself using it.
Parameters computed by poker predictor
OnLine Help for Poker Predictor
Downloads
Release History:
| Poker Predictor v1.0
(24/02/2010) Download for Win 32 |
|
| Poker Predictor v1.1
(09/03/2010) Download for Windows
|
|
This version is completely free. You can remove the ads on them with a 5 euros contribution to the project:
donations will be used to enlarge this utility
Poker Predictor was developed for Matlab at the beginning here you can find the matlab version: Matlab version of Poker Predictor
Poker predictor is always under development. Any question/suggestion? giaccariluigi@msn.com
Popularity: 5% [?]
Poker Predictor: How to Use it
Contents
This page is some kind of poker predictor online help. Here you can find discussions about its game parameters. Suggestions are greatly appreciated, Poker Predictor is always under development.
Please go to Poker Predictor: How to Use it to view the survey
Profit
Each poker hand is just like an investment: you can loose the money you invest or you can make more money out of them. We need a parameter to know whether our cards are supposed to be a good investments or not.
Profit express the gain of money, or chips, you are expecting from the game. Basically are worth playing pre -flop cards with positive profit. This in the hypothesis you go to river all the hands. Obviously this is untrue. So you have to act like a “smart” player: if the game is very hard, full of rising players, you can play all hands with 10% (as example) profit, so you have more chance to “resist” to your opponents shoots. On the others side, if you meet soft players that always fold, even with low raises, you can play cards with negative profit (for example-10%)
Profit also take into account number of players,folds, Odds. For example folds decrease profit, since there will be less money on the pot. This may seems strange but it is true, folds increase your winning chance but actually decrease your capability to earn money.
Consider Profit is an instantaneous parameter which depends on the current cards configuration. There is also the profit of the entire game considering previous moves, but calculating this requires the history of the game and it is not supported.
Player and opponent higher rank
I suppose this need no explanation.
Winning chance
Probability to win after river. Notice that the probability suppose you go on until river card falls.
Tie chance
probability to tie after river.
Odds
the odds bookmakers would give to your game. When is odds useful? First of all, odds take into account both winning and tie chance. Ties are considered only partially because in that case the pot is divided among all the winners.
If the game is completely random, odds equal the number of players, this means every players has the same winning chance. So if odds overcomes players number this means your cards are worse than usual. On the other side if your odds is lower than the number of players your cards are good.
Odds are generally more useful than the winning chance. Let’s make an example: you have 30% of winning. Is that good?
The right answer id I don’t know, it depends on the number of players. If there are only two players 30% is bad winning chance but if we are 12 players of course is good. How do I find the limit? what is the number of players for which 30% winning is a good chance?
Well, you don’t have to get tired everytime on this computation, you can bypass them just by looking the odds number: is lower than the player number than is good, is higher than is bad. Odds and winning chance are just two different ways to estimate how strong are your cards.
If you have zero winning chance your odds equals infinity, bookmakers will pay a lot of money in case you win, but this just because you can not win. If odd equals one you are sure to win. The lower is the Odds the higher are you’re winning chance.
MaxBet/Pot
This is the answer to question call/fold when an opponent make raise. This is max bet, compared with the pot, you can do remaining in the mathematical correctness of the game. This means that if you can afford to bet the 30% of the pot you can call any raise which respect this condition. If this parameter overlaps 100% you can bet all the pot, you have more than 50% of winning and you are (theoretically) allowed to go all in, it is you or your opponent. Generally listening to this data carefully lead to run too much risk, the all in in poker may be without return !
What I suggest is to find to find a good feeling with the values of this parameter that fits your gaming style.
Consider that the pot you see when you call may increase during the game, this can not be calculated by the program, expert players must also consider this factor.
Any questions, suggestions?
Popularity: 3% [?]
Spatial Statistics Software and Spatial Data
The public domain Spatial Statistics Toolbox for Matlab 1.1, 2.0, and Spacestatpack for Fortran 90 excel at estimating large-scale lattice models. The Matlab Spatial Statistics Toolbox includes code for simultaneous spatial autoregressions (SAR), conditional spatial autoregressions (CAR), and mixed regressive spatially autoregressive (MRSA) models. In addition, it contains code for creating sparse spatial weight matrices and finding the log-determinants (needed for maximum likelihood). Hence, the Matlab Spatial Statistics Toolbox includes the most common estimators employed in spatial econometrics. These products use sparse matrices and other computational techniques to greatly accelerate computations and to expand the size of potential data sets analyzed.
Spatial Statistics Toolbox for Matlab 2.0 (zip)
The package also contains some spatiotemporal data from Baton Rouge. It currently occupies over 8 MB, so you may wish to time your download strategically. Also, you can download this package, other packages, and the articles via anonymous FTP (ftp.spatial-statistics.com/Spatial_Statistics_Toolbox or ftp.spatiotemporal.com). Some FTP clients perform downloading much better than browsers. For example, WS_FTP, CuteFTP, and FTP Explorer allow resumption of interrupted transfers and contain other features that make them ideal for downloading large files over the net.
If you wish to examine the package without downloading the entire file, you can download the documentation separately (pdf format) :
Spatial Statistics Toolbox for Matlab 2.0 – Documentation Only (pdf)
Spatial Statistics Toolbox for Matlab 1.1 (zip)
The package also contains matlab spatial data files as well as pdf versions of some of my relevant articles. In terms of data, it contains a 506 observation spatial data set pertaining to pollution, a 3,107 observation spatial data set pertaining to the US presidential election turnout, and a 20,640 observation data set pertaining to California housing values. These routines are separate from those in version 2.0. I plan to revise these slightly. The fdelw2 routine sometimes fails with Matlab 6.0+, and this has been remedied in version 2.0.
If you wish to examine the package without downloading the entire file, you can download the documentation separately (pdf format) :
Spatial Statistics Toolbox for Matlab 1.1 – Documentation Only (pdf)
I also wrote in Fortran 90 a subset of these functions of the Matlab Spatial Statistics toolbox. The Fortran 90 SpaceStatPack includes PC executable code. It contains the same approximation routine described above for the log-determinant of the variance-covariance matrix. This algorithm that gives it incredible speed relative to conventional techniques. As an example, for the Geographical Analysis article data with 3,107 observations, the routines can find the nearest neighbors, compute the approximation to the log-determinant (which has confidence intervals quantifying the accuracy of the approximation), and calculate the maximum likelihood estimates in under 3 seconds on a Pentium III 500 mhz computer.
SpaceStatPack 1.0 in Fortran 90 (zip)
Again, you can just looking at the documentation (in pdf format).
SpaceStatPack 1.0 in Fortran 90 – Documentation Only (pdf)
Despite having touted the capabilities of SpaceStatPack, the Matlab Spatial Statistics Toolbox offers an easier-to-use, more flexible means of working with spatial statistics. I would urge all those who can obtain Matlab (students can obtain it inexpensively) to go this route. However, SpaceStatPack (including its component modules) offers a route for those who prefer Fortran or cannot obtain Matlab.
I have Fortran 90 software (source code and PC executable code) for computing spatial-temporal weight matrices (nearest neighbors subject to non-zeros only previous observations). This appears on Fortran-2000.com .This implements the computationally difficult part of the spatial-temporal estimation method discussed in:
Pace, R. Kelley and Ronald Barry, O.W. Gilley, C.F. Sirmans, “A Method for Spatial-temporal Forecasting with an Application to Real Estate Prices,” International Journal of Forecasting, Volume 16, Number 2, April-June 2000, p. 229-246.
It requires less than 8 minutes to find all the neighbors for 100,000 observations on a 600 Mhz PC.
Home Articles Software Manuscripts Links Search
Taken from: http://www.spatial-statistics.com/software_index.htm
Popularity: 3% [?]
Poker Predictor: Matlab Version
The finest poker brains on your side!
Go to main post
What is Texas Hold’em Poker:
- 2+5 cards each player
- 52 total number of cards
- 1326 starting hand configurations
- 207025 distinct head-to-head match ups
- 1712304 possible boards
- 690900 hands configurations with a single opponent
- over 6.22 e26 with 9 opponents
- ……………..
All of them are in Poker Predictor: a Texas Hold’ em Probability and Odds Calculator.
Please go to Poker Predictor: Matlab Version to view the survey
What can Poker Predictor Do:
Poker Predictor is a Matlab tool to calculate poker games probabilities from whatever cards configuration. Probability are computed with random cards permutation, they are not the exact ones but the high simulations numbers ensure the error to be less than 1%. Thanks to his strong computational engine, It can simulate 100′000 10 players Texas hold’em games in a matters of 0.3 seconds, so it is actually a real time tool, very useful for on line games, especially with high level players. It is possible to choose both players and opponents cards.
Although a little rough in the graphics (I am not a software developer, neither a programmer, just an engineer with poker passion) Poker predictor is a powerful tool, I am myself using it. Here there is graphical explanation:
Collaborators Wanted:
I’d like to compile Poker predictor on different platforms. If you want to join the project your help will be greatly appreciated. I need people with the following requirements:
- Different platform than than Win32, with Matlab installed.
- Capable of building an external Matlab application.
Briefly I need to build an external Matlab application (MCR compiler included), I ‘ll give you all required files, if you are interested contact me at giaccariluigi@msn.com.
Extensions:
Maybe you need something different, look at this extensions or propose something yourself! Need a :
- different languages
- different cards design/colors
- different poker games
- poker tables
- others functionalities
- explanations on something unclear Propose !!!!!!!!!! your request may sounds very interesting, send everything you want on my e-mail.
Download Poker Predictor for free:
Matlab users instructions:
- Download here the basic package.
- Download the handranks file and unzip it (it was too big for Matlab Central)
- Compile C++ files using TestMexFiles.m, or
download precompiled files for Win32
or download precompiled files for Linux32
- Run PokerPredictor.m
- Win a lot of money!
- Donate parts of your earnings!
You don’t have Matlab? Get the standalone version HERE
Win32 download
This work is free thanks to users gratitude. If you find it useful please consider making a donation. Help me developing future versions.
No need to tell you good luck if you have poker predictor on your side !
Popularity: 58% [?]
Translator
By N2H Follow Us
Video Posts
-
