Convert code from [C++] to [Matlab] for academic research
Budget: $30 – $250 USD
The code is originally available in the following website:
https://natalia-sizova.thescholr.com/software-0
I wish to use this code for academic research.
In few words, the code receives as input the time series of stock or index returns (for example, S&P 500) and performs an MCMC (Markov Chain Monte Carlo) algorithm to estimate the parameters and latent states of the SVCJ model (Stochastic Volatility with Correlated Jumps in Returns and Volatility)
I have no experience with the [C++] language, so I need and experient programmer to execute the conversion to [Matlab]. Having any experience with this class of algorithm is a plus.
The sizes of the files included are:
bayes.h - 144 lines
bayes.cpp - 529 lines
proposal.h - 75 lines
proposal.cpp - 97 lines
I have added three articles which should be very helpful in understanding some parts of the code
The acceptance criteria for this project is as follows:
The full code in matlab and a collection of example inputs. The code should run without any kind of errors for the selected inputs and generate the expected outputs.
https://natalia-sizova.thescholr.com/software-0
I wish to use this code for academic research.
In few words, the code receives as input the time series of stock or index returns (for example, S&P 500) and performs an MCMC (Markov Chain Monte Carlo) algorithm to estimate the parameters and latent states of the SVCJ model (Stochastic Volatility with Correlated Jumps in Returns and Volatility)
I have no experience with the [C++] language, so I need and experient programmer to execute the conversion to [Matlab]. Having any experience with this class of algorithm is a plus.
The sizes of the files included are:
bayes.h - 144 lines
bayes.cpp - 529 lines
proposal.h - 75 lines
proposal.cpp - 97 lines
I have added three articles which should be very helpful in understanding some parts of the code
The acceptance criteria for this project is as follows:
The full code in matlab and a collection of example inputs. The code should run without any kind of errors for the selected inputs and generate the expected outputs.