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

Giovanis, Eleftherios (2008): An algorithm using GARCH process , Monte-Carlo simulation and wavelets analysis for stock prediction.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: GARCH˙ wavelets˙ forecasting˙ Monte-Carlo˙ wavelet discrete transformation
• Subjects: C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C45 - Neural Networks and Related Topics; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General

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