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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.

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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.

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