An algorithm using GARCH process, Monte-Carlo simulation and wavelets analysis for stock prediction

Eleftherios Giovanis (giovanis95@gmail.com)

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines and presents a simple algorithm for prediction stock written in MATLAB code. We apply it to thirty stocks of the Athens exchange stock market . We obtain the stock returns and we would like to predict, not the actual price , but the sign of stock returns. The results are very satisfying while we predict the right sign for 25 out of 30 cases or else we have a success of 83.33%. The problem with the algorithm is that we don’t have the ability to predict zero returns.

Keywords: GARCH˙; wavelets˙; forecasting˙; Monte-Carlo˙; wavelet; discrete; transformation (search for similar items in EconPapers)
JEL-codes: C15 C22 C45 (search for similar items in EconPapers)
Date: 2008-09-03
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