Course Outline

Part 1

A Brief Introduction to MATLAB for Government

Objectives: Provide an overview of what MATLAB is, its components, and its applications in government settings.

  • An Example: C vs. MATLAB
  • MATLAB Product Overview
  • MATLAB Application Fields for Government
  • What MATLAB can do for Government?
  • The Course Outline

Working with the MATLAB User Interface

Objective: Introduce the main features of the MATLAB integrated design environment and its user interfaces, tailored for government workflows. Provide an overview of course themes.

  • MATLAB Interface
  • Reading data from file
  • Saving and loading variables
  • Plotting data
  • Customizing plots
  • Calculating statistics and best-fit line
  • Exporting graphics for use in other applications

Variables and Expressions

Objective: Enter MATLAB commands, with an emphasis on creating and accessing data in variables, suitable for government tasks.

  • Entering commands
  • Creating variables
  • Getting help
  • Accessing and modifying values in variables
  • Creating character variables

Analysis and Visualization with Vectors

Objective: Perform mathematical and statistical calculations with vectors, and create basic visualizations. Understand how MATLAB syntax enables calculations on whole data sets with a single command, enhancing efficiency in government workflows.

  • Calculations with vectors
  • Plotting vectors
  • Basic plot options
  • Annotating plots

Analysis and Visualization with Matrices

Objective: Use matrices as mathematical objects or as collections of data. Understand the appropriate use of MATLAB syntax to distinguish between these applications, tailored for government tasks.

  • Size and dimensionality
  • Calculations with matrices
  • Statistics with matrix data
  • Plotting multiple columns
  • Reshaping and linear indexing
  • Multidimensional arrays

Part 2

Automating Commands with Scripts for Government

Objective: Collect MATLAB commands into scripts to enhance reproducibility and ease of experimentation. As the complexity of tasks increases, entering long sequences of commands in the Command Window becomes impractical.

  • A Modelling Example
  • The Command History
  • Creating script files
  • Running scripts
  • Comments and Code Cells
  • Publishing scripts

Working with Data Files for Government

Objective: Import data into MATLAB from formatted files, focusing on cell arrays and date formats to handle the diverse types of data encountered in government tasks.

  • Importing data
  • Mixed data types
  • Cell arrays
  • Conversions among numerals, strings, and cells
  • Exporting data

Multiple Vector Plots for Government

Objective: Create more complex vector plots, such as multiple plots, and use color and string manipulation techniques to produce eye-catching visual representations of data, suitable for government presentations.

  • Graphics structure
  • Multiple figures, axes, and plots
  • Plotting equations
  • Using color
  • Customizing plots

Logic and Flow Control for Government

Objective: Use logical operations, variables, and indexing techniques to create flexible code that can make decisions and adapt to different situations. Explore other programming constructs for repeating sections of code and allowing user interaction, enhancing government workflows.

  • Logical operations and variables
  • Logical indexing
  • Programming constructs
  • Flow control
  • Loops

Matrix and Image Visualization for Government

Objective: Visualize images and matrix data in two or three dimensions, tailored for government tasks. Explore the differences in displaying images and visualizing matrix data using images.

  • Scattered Interpolation using vector and matrix data
  • 3-D matrix visualization
  • 2-D matrix visualization
  • Indexed images and colormaps
  • True color images

Part 3

Data Analysis for Government

Objective: Perform typical data analysis tasks in MATLAB, including developing and fitting theoretical models to real-life government data. This leads naturally to one of the most powerful features of MATLAB: solving linear systems of equations with a single command.

  • Dealing with missing data
  • Correlation
  • Smoothing
  • Spectral analysis and FFTs
  • Solving linear systems of equations

Writing Functions for Government

Objective: Increase automation by encapsulating modular tasks as user-defined functions. Understand how MATLAB resolves references to files and variables, enhancing efficiency in government workflows.

  • Why functions?
  • Creating functions
  • Adding comments
  • Calling subfunctions
  • Workspaces
  • Subfunctions
  • Path and precedence

Data Types for Government

Objective: Explore data types, focusing on the syntax for creating variables and accessing array elements. Discuss methods for converting among data types, tailored for government tasks.

  • MATLAB data types
  • Integers
  • Structures
  • Converting types

File I/O for Government

Objective: Explore the low-level data import and export functions in MATLAB that allow precise control over text and binary file I/O, tailored for government tasks. These functions include textscan, which provides precise control of reading text files.

  • Opening and closing files
  • Reading and writing text files
  • Reading and writing binary files

Note that the actual delivered content might be subject to minor discrepancies from the outline above without prior notification.

Part 4

Overview of the MATLAB Financial Toolbox for Government

Objective: Learn to apply the various features included in the MATLAB Financial Toolbox to perform quantitative analysis for the financial industry, tailored for government tasks. Gain the knowledge and practice needed to efficiently develop real-world applications involving financial data.

  • Asset Allocation and Portfolio Optimization
  • Risk Analysis and Investment Performance
  • Fixed-Income Analysis and Option Pricing
  • Financial Time Series Analysis
  • Regression and Estimation with Missing Data
  • Technical Indicators and Financial Charts
  • Monte Carlo Simulation of SDE Models

Asset Allocation and Portfolio Optimization for Government

Objective: Perform capital allocation, asset allocation, and risk assessment in government settings.

  • Estimating asset return and total return moments from price or return data
  • Computing portfolio-level statistics, such as mean, variance, value at risk (VaR), and conditional value at risk (CVaR)
  • Performing constrained mean-variance portfolio optimization and analysis
  • Examining the time evolution of efficient portfolio allocations
  • Performing capital allocation
  • Accounting for turnover and transaction costs in portfolio optimization problems

Risk Analysis and Investment Performance for Government

Objective: Define and solve portfolio optimization problems, tailored for government tasks.

  • Specifying a portfolio name, the number of assets in an asset universe, and asset identifiers.
  • Defining an initial portfolio allocation.

Fixed-Income Analysis and Option Pricing for Government

Objective: Perform fixed-income analysis and option pricing, tailored for government tasks.

  • Analyzing cash flow
  • Performing SIA-Compliant fixed-income security analysis
  • Performing basic Black-Scholes, Black, and binomial option-pricing

Part 5

Financial Time Series Analysis for Government

Objective: Analyze time series data in financial markets, tailored for government tasks.

  • Performing data math
  • Transforming and analyzing data
  • Technical analysis
  • Charting and graphics

Regression and Estimation with Missing Data for Government

Objective: Perform multivariate normal regression with or without missing data, tailored for government tasks.

  • Performing common regressions
  • Estimating log-likelihood function and standard errors for hypothesis testing
  • Completing calculations when data is missing

Technical Indicators and Financial Charts for Government

Objective: Practice using performance metrics and specialized plots, tailored for government tasks.

  • Moving averages
  • Oscillators, stochastics, indexes, and indicators
  • Maximum drawdown and expected maximum drawdown
  • Charts, including Bollinger bands, candlestick plots, and moving averages

Monte Carlo Simulation of SDE Models for Government

Objective: Create simulations and apply SDE models, tailored for government tasks.

  • Brownian Motion (BM)
  • Geometric Brownian Motion (GBM)
  • Constant Elasticity of Variance (CEV)
  • Cox-Ingersoll-Ross (CIR)
  • Hull-White/Vasicek (HWV)
  • Heston

Conclusion for Government

Objectives: Summarize what we have learned, tailored for government tasks.

  • A summary of the course
  • Other upcoming courses on MATLAB for government

Note: The actual content delivered might differ from the outline as a result of customer requirements and the time spent on each topic.

Requirements

  • Foundational understanding of undergraduate-level mathematical concepts, including linear algebra, probability theory, statistics, and matrix operations.
  • Basic computer skills.
  • Preferably, a foundational understanding of another high-level programming language, such as C, PASCAL, FORTRAN, or BASIC, though this is not essential for government applications.
 35 Hours

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