Greco, Omar (2012) Design and implementation of a practical model to predict future trading prices. (MSc(R) thesis), Kingston University, .

Abstract

The aim of this research is to introduce an expanded practical methodology based on an original model computing a historical simulation method. The new extended model consists of employing the initial properties used by the original Value At Risk(V AR), in expanding it, in order to produce an innovative methodology, enabling to predict for future trading prices towards a risk reduction of a possible loss. Furthermore; the new extended model proposes a framework that takes into account the primarily V AR methodology as an analytical process Embedding the nonparametric method to employ historical simulation data. Including analytics in its simplicity and embracing them. As a result which generates an extended and more accurate methodology approach. The new extended model looks at the trade transaction of Natural Gas in a positive manner, indicating either a profit or a loss. According to the results, at the end of the transaction, for that reason it defines it as "profitability". This is different to the current Value at Risk model (V AR), "Possible Loss model", which evaluates the trade transaction as a percentage of loss of the original size of the investment. Additionally, the research explores the horizon to construct volatility, and therefore is able to demonstrate that the most productive measurement of the volatility is for a twenty one trading days horizon.

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