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A Robust Analysis and Forecasting Framework for the Indian Mid Cap Sector Using Times Series Decomposition Approach

Journal of Insurance and Financial Management

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Title A Robust Analysis and Forecasting Framework for the Indian Mid Cap Sector Using Times Series Decomposition Approach
 
Creator Sen, Jaydip
 
Description Prediction of stock prices using econometrics and machine learning based approaches poses significant challenges to the research community since the movement of stock prices are essentially random in its nature. However, significant development and rapid evolution of sophisticated and complex algorithms which are capable of analyzing large volume of time series data, coupled with availability of high-performance hardware and parallel computing architecture over the last decade, has made it possible to efficiently process and effectively analyze voluminous stock market time series data in an almost real-time environment. In this paper, we propose a decomposition-based approach for time series analysis of the Indian mid cap sector and also present a highly robust and accurate prediction framework consisting of six forecasting methods for predicting the future values of the time series. Extensive results are presented on the performance of each forecasting method and the reasons why a particular method has performed better than the others have been critically analyzed.   
 
Publisher Journal of Insurance and Financial Management
 
Contributor —
 
Date 2017-09-09
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://journal-of-insurance-and-financial-management.com/index.php/JIFM/article/view/99
 
Source Journal of Insurance and Financial Management; Vol 3, No 4 (2017): Journal of Insurance and Financial Management
2371-2112
 
Language eng
 
Relation https://journal-of-insurance-and-financial-management.com/index.php/JIFM/article/view/99/pdf
 
Rights Copyright (c) 2017 Jaydip Sen
http://creativecommons.org/licenses/by/4.0