Study of Effectiveness of Time Series Modeling (Arima) in Forecasting Stock Prices

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.