Cameron Rookley's Homepage

Welcome to my homepage. Below you will find links some papers of mine, my Gauss archive of finance related code, my Gauss to Matlab page and links to a statistical package called GlassBox that I created.

Resources

GlassBox High Dimensional Analysis software I created using C++ (including GUI) for financial signal extraction, rapid data discovery, non-parametric regression, and more.

Free Resource of Finance Related Gauss Code More than 70 programs and procedures for nonparametric regression, risk neutral density estimation, options data manipulation, graphing and more.

Free Resources for Converting Gauss Code to Matlab, and other resources for making a gentle transition from Gauss to Matlab. Includes a suite of Matlab M-files for reading and writing Gauss datasets within Matlab.

Papers

Trading With a 't': Signal Extraction Using Non-Parametric Newey-West Style t-statistics
- Abstract
- Download Full Paper: TradewaT.pdf (Adobe pdf format) 1.128 MB
Forecasting Market Returns Using the Put-Call Parity Bias of Transactions Level Options Data
- Abstract
- Download Full Paper: fmktrets.pdf (Adobe pdf format) 573 K
Fully Exploiting the Information Content of Intra-Day Option Quotes: Applications in Option Pricing and Risk Management.
- Abstract
- Download Paper
  - fullyexp.pdf (Adobe pdf format) 731 K
  - Fexpps.zip Zipped (Postscript) 705 K

Contact Cameron Rookley: cr@cameronrookley.com
Revised -- 7/26/2004
URL: http://www.cameronrookley.com/index.html