Forecasting of Indian Stock Market Index S&P CNX Nifty 50 Using Artificial Intelligence
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
Dr. Ashvin Ramchandra Dave
Pandit Deendayal Petroleum University
May 15, 2011
Behavioral & Experimental Finance eJournal, Vol. 3, No. 79, May 27, 2011
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%.
Number of Pages in PDF File: 15
Date posted: June 3, 2011 ; Last revised: December 18, 2011