### Nelder-Mead Method in VBA

Nelder-Mead method is a derivatives-free numerical minimization (maximization) algorithm that is popular among practitioners.  In today’s post I will introduce the algorithm, briefly discuss ways it can be modified to suit various optimization problems and implement a variation of the algorithm in VBA. The Algorithm: Since Nelder-Mead (NM) is a derivatives-free algorithm it can be … More Nelder-Mead Method in VBA

### LASSO Regression in VBA

Previously I discussed the benefit of using Ridge regression and showed how to implement it in Excel. In this post I want to present the LASSO model which stands for Least Absolute Shrinkage and Selection Operator. We are again trying to penalize the size of the coefficients just as we did with ridge regression but … More LASSO Regression in VBA

### Ridge Regression in Excel/VBA

Haven’t had the time to add posts recently due to traveling plans but I’m back for a week and have sketched out a plan for a series of posts on predictive modeling.  I recently received a fantastic bday present in the form of Applied Predictive Modeling by Max Kuhn and Kjell Johnson and highly recommended … More Ridge Regression in Excel/VBA

### K-Means Clustering in Excel

In this post I wanted to present a very popular clustering algorithm used in machine learning. The k-means algorithm is an unsupervised algorithm that allocates unlabeled data into a preselected number of K clusters.  A stylized example is presented below to help with the exposition. Lets say we have 256 observations which are plotted below. … More K-Means Clustering in Excel

### Akima Spline Interpolation in Excel

I am back after a two week trip to the land of twisted melodramatic tv series, androgynous boy bands, delicious food, and perennial jingoistic posturing by a divided people. I am obviously talking about Korea. Was such a pleasure to visit with family and bounce around Seoul. Now it’s time to catch up with the … More Akima Spline Interpolation in Excel

### Pattern Recognition with Neural Network in Excel (a toy example)

Today we wanted to add a short follow up on our previous post on artificial neural networks. The example which we gave of training an ANN on XOR function probably appears to be very trivial for the readers. Today we want to show another example that may highlight how neural networks can be used to … More Pattern Recognition with Neural Network in Excel (a toy example)

### Artificial Neural Network with Backpropagation Training in VBA

In this post we will discuss a popular class of neural networks, Artificial Feedforward Neural Network (ANN) which consists of input data, one or more hidden layers consisting of processing units and an output layer which returns the value of an estimated target value. An example of a processing unit is shown below. The processing … More Artificial Neural Network with Backpropagation Training in VBA

### Principal Component Analysis in Excel ~ PART III

In this post we would like to expand on previous PCA post and show you how to build a very useful tool for scenario analysis of a yield curve. The method presented is an implementation of the main results of a paper by Leonardo M. Nogueira “Updating the Yield Curve to Analyst’s Views”. The SSRN … More Principal Component Analysis in Excel ~ PART III

### Event Analysis in Excel/VBA

Today we wanted to show a quick and easy implementation of event analysis in excel. The literature on this topic is large with most of the research concentrating on the stock market. Event analysis research attempts to test for excess returns on stocks which announce stock split, surprise on their earnings announcement, or stock response … More Event Analysis in Excel/VBA

### Historical Analogs/ Time Series Clustering in Excel

A very useful approach to analyzing price action of a particular security is to search historical instances where price exhibited similar behaviour. This type of analysis has often been called historical analogs by some writers. Below we will show a simple example that is easy to implement in excel. The aim is to select a … More Historical Analogs/ Time Series Clustering in Excel