Decomposition of Time Series Data of Stock Markets and its Implications for Prediction – An Application for the Indian Auto Sector

Proceedings of the 2nd National Conference on Advances in Business Research and Practices (ABRMP 2016), January 8-9, 2016, Kolkata, INDIA.

14 Pages Posted: 11 Apr 2016 Last revised: 27 Apr 2016

See all articles by Jaydip Sen

Jaydip Sen

NSHM Knowledge Campus - School of Computing and Analytics

Tamal Chaudhuri

Calcutta Business School

Date Written: January 8, 2016

Abstract

With rapid development and evolution of sophisticated algorithms for statistical analysis of time series data, the research community has started spending considerable effort in technical analysis of such data. Forecasting is also an area which has witnessed a paradigm shift in its approach. In this work, we have used the time series of the index values of the Auto sector in India during January 2010 to December 2015 for a deeper understanding of the behavior of its three constituent components, e.g., the Trend, the Seasonal component, and the Random component. Based on this structural analysis, we have also designed three approaches for forecasting and also computed their accuracy in prediction using suitably chosen training and test data sets. The results clearly demonstrate the accuracy of our decomposition results and efficiency of our forecasting techniques, even in presence of a dominant Random component in the time series.

Keywords: Decomposition, Trend, Seasonal, Random, Holt Winters Forecasting model, Neural Network, Back Propagation Network, ARIMA, VAR, Bayesian Vector Autoregressive (BVAR) model

JEL Classification: G11, G14, G17, C63

Suggested Citation

Sen, Jaydip and Chaudhuri, Tamal, Decomposition of Time Series Data of Stock Markets and its Implications for Prediction – An Application for the Indian Auto Sector (January 8, 2016). Proceedings of the 2nd National Conference on Advances in Business Research and Practices (ABRMP 2016), January 8-9, 2016, Kolkata, INDIA.. Available at SSRN: https://ssrn.com/abstract=2762093

Jaydip Sen (Contact Author)

NSHM Knowledge Campus - School of Computing and Analytics ( email )

India

Tamal Chaudhuri

Calcutta Business School ( email )

Bishnupur
South 24 Parganas
Kolkata, West Bengal 743503
India

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