A Novel Approach towards the Analysis of Stochastic High Frequency Data Analysis using ARIMA Model

7 Pages Posted: 7 May 2019

See all articles by Lokesh Kumar Shrivastav

Lokesh Kumar Shrivastav

Guru Gobind Singh Indraprastha (GGSIP) University, Students

Ravinder Kumar

Guru Gobind Singh Indraprastha University

Date Written: April 26, 2019

Abstract

Conventionally, ARIMA (Autoregressive Integrated Moving Average) has been one of the most accepted, used and fundamental model in field of time series analysis and prediction. However, the ARIMA is a parametric model that cannot easily capture the nonlinear nature. In spite of these deficiencies, it has been used and applied in the terms of time series analysis and prediction to set bench mark for further and advanced comparative analysis and prediction. Maximum number of the available reviewed paper and chapter has its own kind of limits as they concentrates on the particular application of financial market or explores machine learning tools and techniques that was applied on the particular dataset. This study will provide a comparative study of some relevant existing tools and the techniques applied in the area of the financial market analysis. The main aim of this study is: (i) a comparative study of the recent available model of the area, (ii) Provide a generalized modeling for the stock market analysis and prediction (iii) review of the fundamental and futuristic challenges of the field (iv) Realization of the model by the use of fundamental and generalized ARIMA model.

Suggested Citation

Kumar Shrivastav, Lokesh and Kumar, Ravinder, A Novel Approach towards the Analysis of Stochastic High Frequency Data Analysis using ARIMA Model (April 26, 2019). International Journal of Information Systems & Management Science, Vol. 2, No. 2, 2019, Available at SSRN: https://ssrn.com/abstract=3378518

Lokesh Kumar Shrivastav (Contact Author)

Guru Gobind Singh Indraprastha (GGSIP) University, Students ( email )

Delhi
India

Ravinder Kumar

Guru Gobind Singh Indraprastha University ( email )

New Delhi
India

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