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MATLAB Applications of Trading Rules and GARCH with Wavelets Analysis

11 Pages Posted: 15 Dec 2009

See all articles by Eleftherios Giovanis

Eleftherios Giovanis

Izmir Bakircay University International Trade and Business; Economic Research Forum (ERF)

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)

Izmir Bakircay University International Trade and Business ( email )

Gazi Mustafa Kemal Mahallesi
Kaynak Caddesi Seyrek Menemen
Izmir, 35660
Turkey

Economic Research Forum (ERF) ( email )

21 Al-Sad Al-Aaly St.
(P.O. Box: 12311)
Dokki, Cairo
Egypt

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