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An Algorithm Using GARCH Process, Monte-Carlo Simulation and Wavelets Analysis for Stock Prediction
2008
Social Science Research Network
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.
doi:10.2139/ssrn.1271248
fatcat:2bahzdz7crdtvdjombx5ol25fe