Forecasting banking sectors in Indian stock markets using machine intelligence

Abstract

The study analyze stock index closing from myriad set of technical and fundamental analysis variables extracted from real market data to assist forecast of market closing. For this, major service sector indices of Bombay stock exchange (BSE) and National stock exchange (NSE) with historical data were taken from banking industry. The predictive model performance of index closing using statistical procedures like automatic linear modeling, time-series based econometric forecasting, vector auto regression as with artificial neural network based models were simulated and analyzed. The results indicate that BSE had higher forecast accuracy using autoregressive models and market volatility factor had major influence. Whereas, NSE was impacted by quarterly performance that can be modeled using neural networks. The empirical results were contrasted with latest state-of-art research theories to provide agenda and future research challenges of market forecast systems. © 2019 - IOS Press and the authors. All rights reserved.