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MATLAB Applications of Trading Rules and GARCH with Wavelets Analysis

Giovanis, Eleftherios MATLAB Applications of Trading Rules and GARCH with Wavelets Analysis. Working Paper #11/2009

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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

Item Type: Working Paper (Working Paper)
Identification Number: 10.2139/ssrn.1523365
Uncontrolled Keywords: Keywords: MATLAB, moving average, MACD, trading rules, technical analysis, GARCH, wavelets, Monte-Carlo - JEL Classification: C15, C32, C53, C63, G15
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
Research Area: Economics and Institutional Change
Depositing User: Ms T. Iannizzi
Date Deposited: 08 Jul 2013 13:58
Last Modified: 08 Jul 2013 14:02
URI: http://eprints.imtlucca.it/id/eprint/1630

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