1© 2015 The MathWorks, Inc.

Simulink as a Modeling and Simulation Tool for

Finance and Econometrics

Stuart Kozola

MathWorks

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Do You Speak MATLAB?Solve Systems of Linear Equations

𝑨 𝑥 = 𝑏𝑥 = 𝐴\b;

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What would you speak here?Solve Systems of Differential (w.r.t time) Equations

𝑥 − 𝑨 𝑥 = 𝑏?

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What would you speak here?Solve Systems of Differential (w.r.t time) Equations

𝑥 − 𝑨 𝑥 = 𝑏

Symbolic Solution Numeric Solution Do You Speak Simulink?

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What is Simulink?A Platform for Modeling and Simulating Dynamic Systems

Continuous Time System

Discrete Time System

Physical Systems

Logic Based System

Event-Based Systems

SimScape

Stateflow

SimEvents

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Can Simulink Model Stochastic Systems?A Random Walk

Models can be linked to

Documented Requirements

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Continuous Time SystemIdealized Stock Trading Simulation

Model derived from B. R. Barmish, “On Trading of Equities: A Robust Control Paradigm”,

Proceedings of IFAC World Congress, pp. 1621-1626, Seoul, Korea, July 2008

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Stochastic Discrete Time SystemPractical Stock Trading Simulation

Model derived from B. R. Barmish, “On Trading of Equities: A Robust Control Paradigm”,

Proceedings of IFAC World Congress, pp. 1621-1626, Seoul, Korea, July 2008

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Complex Logic Driven SystemBayesian Market Maker

Model derived from Sanmay Das, “Intelligent Market-Making in Artificial Financial Markets”, S.M. Thesis,

Department of Electrical Engineering and Computer Science, Massachusetts Institute of Technology, 2002

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Simulink for Financial Modeling and SimulationSimulink Products Covered Today

Simulink

– Block diagram environment for modeling and

simulating dynamic systems

Stateflow

– Model and simulate decision logic using state

machines and flow charts

SimEvents

– Model and simulate discrete-event systems

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Will You Learn to Speak Simulink?

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© 2015 The MathWorks, Inc. MATLAB and Simulink are registered trademarks of The MathWorks, Inc. See www.mathworks.com/trademarks for a list of

additional trademarks. Other product or brand names may be trademarks or registered trademarks of their respective holders.