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

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

15 Pages Posted: 3 Jun 2011 Last revised: 18 Dec 2011

Dr.Jay Desai

B.K.School of Business Management, Gujarat University

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

Date Written: May 15, 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%.

Suggested Citation

Desai, Dr.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: https://ssrn.com/abstract=1842283

Jay Desai (Contact Author)

B.K.School of Business Management, Gujarat University ( email )

Navrangpura
Ahmedabad, Gujarat 380009
India

HOME PAGE: http://www.jaydesai.net

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)

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