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http://ssrn.com/abstract=1842283
 
 

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Forecasting of Indian Stock Market Index S&P CNX Nifty 50 Using Artificial Intelligence


Jay Desai


Shri Chimanbhai Patel Institute of Management & Research

Kinjal Jay Desai


Corporate Solutions Group, SBI Life Insurance Co. Ltd.

Nisarg A Joshi


Shri Chimanbhai Patel Institute of Management & Research

Aashish Juneja


Oracle India

Dr. Ashvin Ramchandra Dave


Pandit Deendayal Petroleum University

May 15, 2011

Behavioral & Experimental Finance eJournal, Vol. 3, No. 79, May 27, 2011

Abstract:     
This paper presents a computational approach for predicting the S&P CNX Nifty 50 Index. A neural network based model has been used in predicting the direction of the movement of the closing value trend of the index by predicting the seven day simple moving average value change after seven days. The model presented in the paper also confirms that it can be used to predict price index value trend of the stock market. After studying the various features of the network model, a suitable model for stocks forecast is proposed. The model has used the preprocessed data set of closing value of S&P CNX Nifty 50 Index. The data set encompassed the trading days from 1st September, 2009 to 30th April, 2011. In the study the model has been tested to forecast the stock market trend for a period of five months. Accuracy of the performance of the neural network is compared with buy and hold returns of the index. The model generated returns of 33.42% against buy and hold return of -4.25%.

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Date posted: June 3, 2011 ; Last revised: December 18, 2011

Suggested Citation

Desai, Jay and Desai, Kinjal Jay and Joshi, Nisarg A and Juneja, Aashish and Dave, Dr. Ashvin Ramchandra, Forecasting of Indian Stock Market Index S&P CNX Nifty 50 Using Artificial Intelligence (May 15, 2011). Behavioral & Experimental Finance eJournal, Vol. 3, No. 79, May 27, 2011. Available at SSRN: http://ssrn.com/abstract=1842283

Contact Information

Jay Desai (Contact Author)
Shri Chimanbhai Patel Institute of Management & Research ( email )
Opp. Karnavati Club
S G Highway
Ahmedabad, 380015
India
Kinjal Jay Desai
Corporate Solutions Group, SBI Life Insurance Co. Ltd. ( email )
401, Rain Drops Building
Opp.Cargo Motors, C.G.RO
Ahmedabad, Gujarat 380015
India
Nisarg A Joshi
Shri Chimanbhai Patel Institute of Management & Research ( email )
Opp. Karnavati Club,
S.G. Highway
Ahmedabad, 380015
India
Ashish Jeet Juneja
Oracle India ( email )
Oracle India Pvt Ltd
7th Floor Tower C DLF Cyber City
Gurgoan, Haryana 122002
India
+919899599694 (Phone)
9899599694 (Fax)
HOME PAGE: http://www.oracle.com
Dr. Ashvin Ramchandra Dave
Pandit Deendayal Petroleum University ( email )
Raisan
Gandhinagar
Gandhinagar, 380015
India
+91-79-23275237 (Phone)
Feedback to SSRN


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