The lectures provide an introduction to MATLAB programming with a focus on finance. The first set of lectures are devoted to the introduction of standard programming of loops and function. A second set of lectures is devoted to the computation of financial returns on assets, and optimization methods applied to portfolio theory. At the end of the lectures, students are expected to master the basics of programming, and apply portfolio theory to real time financial data.

Installing MATLAB: Dauphine provides a free licence for students. Please use your own laptop if you can with MATLAB installed. Please have Datafeed, Optimization and Econometrics toolboxes installed.

Real time macro-data on MATLAB

This is a must-read as all of the lectures will rely on DBnomics. The latter is a database aggregator which can be queried directly from MATLAB. Please read carefully this following note on DBnomics and download as well the MATLAB function which allows to get real time macro data:
DBnomics.pdf a small guide to use DBnomics on MATLAB. call_dbnomics.m MATLAB function to query DBnomics.

Get yahoo data

getMarketDataViaYahoo.m A MATLAB function to get financial data from yahoo. test_yahoo.m A working example for downloading historical financial data.

Handouts list

Lecture 1: Méthodes d'optimisation de portefeuilles
Objectifs du poly:

  • Générer des portefeuilles aléatoires;
  • Déterminer les portefeuilles optimaux;
  • Importer des données en temps réel.


chapter1.pdf Handout
Lecture 2: Value-at-Risk
Objectifs du poly:

  • Comprendre le concept de la Value-at-Risk;
  • L’appliquer sur données financières;
  • Effectuer un backtesting pour valider la prédiction de la VAR.


chapter2.pdf Handout
Lecture 3: Modèle d'estimation de la Value-at-Risk