MATLAB Applications of Trading Rules and GARCH with Wavelets Analysis

11 Pages Posted: 15 Dec 2009

See all articles by Eleftherios Giovanis

Eleftherios Giovanis

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

Date Written: December 14, 2009

Abstract

In this paper we provide MATLAB routines for two major used trading rules, the moving average indicator and MACD oscillator as also the GARCH univariate regression with Monte Carlo simulations and wavelets decomposition, which is an update of an older algorithm

Keywords: MATLAB, moving average, MACD, trading rules, technical analysis, GARCH, wavelets, Monte-Carlo

JEL Classification: C15, C32, C53, C63, G15

Suggested Citation

Giovanis, Eleftherios, MATLAB Applications of Trading Rules and GARCH with Wavelets Analysis (December 14, 2009). Available at SSRN: https://ssrn.com/abstract=1523365 or http://dx.doi.org/10.2139/ssrn.1523365

Eleftherios Giovanis (Contact Author)

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

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

Aydin Adnan Menderes University, Nazilli Faculty of Economics and Administrative Sciences ( email )

Nazilli IIBF
Sumer Kampusu
Aydin, Nazilli 09800
Turkey

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