An Algorithm Using GARCH Process, Monte-Carlo Simulation and Wavelets Analysis for Stock Prediction

8 Pages Posted: 21 Sep 2008 Last revised: 6 Dec 2009

See all articles by Eleftherios Giovanis

Eleftherios Giovanis

Manchester Metropolitan University-Department of Economics, Policy and International Business; Nazilli Faculty of Economics and Administrative Sciences

Date Written: September 20, 2008

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

JEL Classification: C15, C22, C53, C63

Suggested Citation

Giovanis, Eleftherios, An Algorithm Using GARCH Process, Monte-Carlo Simulation and Wavelets Analysis for Stock Prediction (September 20, 2008). Available at SSRN: https://ssrn.com/abstract=1271248 or http://dx.doi.org/10.2139/ssrn.1271248

Eleftherios Giovanis (Contact Author)

Manchester Metropolitan University-Department of Economics, Policy and International Business ( email )

Business School
All Saints Campus
Manchester, M15 6BH
United Kingdom

Nazilli Faculty of Economics and Administrative Sciences ( email )

Nazilli IIBF
Sumer Kampusu
Aydin, Nazilli 09800
Turkey

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