文章基本信息

标题：Study of Effectiveness of Time Series Modeling (Arima) in Forecasting Stock Prices
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作者：Prapanna Mondal ; Labani Shit ; Saptarsi Goswami 等
期刊名称：International Journal of Computer Science, Engineering and Applications (IJCSEA)
印刷版ISSN：2231-0088
电子版ISSN：2230-9616
出版年度：2014
卷号：4
期号：2
DOI：10.5121/ijcsea.2014.4202
出版社：Academy & Industry Research Collaboration Center (AIRCC)
摘要：Stock price prediction has always attracted interest because of the direct financial benefit and theassociated complexity. From our literature review, we felt the need of a study having sector specificanalysis with a broad range of stocks. In this paper, we have conducted a study on the effectiveness ofAutoregressive Integrated Moving Average (ARIMA)model, on fifty six Indian stocks from different sectors.We have chosen ARIMA model, because of its simplicity and wide acceptability of the model. We also havestudied the effect on prediction accuracy based on various possible previous period data taken. Thecomparison and parameterization of the ARIMA model have been done using Akaike information criterion(AIC). The contribution of the paper , are a) coverage of a good number of Indian stocks b) Analysis of themodels based on sectors c) Analysis of prediction accuracy based on the varying span of previous perioddata.
关键词：Stock price prediction; Indian Stocks; Sector; Time Series; ARIMA