Big data analytics-application of artificial neural network in forecasting stock price trends in India

Sigo, Marxia Oli, Selvam, Murugesan, Maniam, Balasundram, Desti, Kannaiah, Kathiravan, Chinnadurai, and Vadivel, Thanikachalam (2018) Big data analytics-application of artificial neural network in forecasting stock price trends in India. Academy of Accounting and Financial Studies Journal, 23 (3).

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Abstract

The world has become data driven, which highly accentuated the utilization of information technology. The movements of stock markets are influenced, by both the micro as well as macro economic variables including the legal framework and taxation policies of the respective economies. The crux of the issue lies in exactly forecasting the future stock price movements of individual firms and stock indices, based on historical past prices. The accuracy, in forecasting the market trend, has become difficult due to the prevalence of stochastic behaviour and volatility in the stock prices and index movements. This paper analyses the non- linear movement pattern of the most volatile, top three stocks in terms of market capitalization, listed in the Bombay Stock Exchange (BSE) in India, namely Reliance Industries Limited (RIL), Tata Consultancy Services (TCS) Limited and HDFC Bank Limited, using the Artificial Neural Network (ANN) for the study period from 2008 to 2017. The findings of the study would help the investors, to make rational, well informed investment decisions, to optimize the stock returns by investing in the most valuable stocks.

Item ID: 54489
Item Type: Article (Scholarly Work)
ISSN: 1528-2635
Keywords: artificial neural network, behavioural finance, stock markets and volatility
Date Deposited: 09 Jul 2018 03:27
FoR Codes: 15 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management @ 50%
15 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 1599 Other Commerce, Management, Tourism and Services > 159999 Commerce, Management, Tourism and Services not elsewhere classified @ 50%
SEO Codes: 90 COMMERCIAL SERVICES AND TOURISM > 9001 Financial Services > 900199 Financial Services not elsewhere classified @ 50%
91 ECONOMIC FRAMEWORK > 9199 Other Economic Framework > 919999 Economic Framework not elsewhere classified @ 50%
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