This study addresses problem of predicting direction of movement of stock price and stock market index for Indian stock markets. The study compares four prediction models, Artificial Neural Network (ANN), Support Vector Machine (SVM), Random Forest (RF) and Naive Bayes (NB) with two approaches for input to these models. The first approach for input data involves computation of ten technical par...

Abstract This study investigates the short- and long-term effects of various sources uncertainty on share prices key exchanges in emerging nations. The sample comprises monthly time series data from January 2017 to December 2021 for China, India, Russia, Brazil. contains a version Autoregressive-Distributive-Lag (ARDL) with error correction as well other relevant approaches series. Economic pol...

In the recent years, the use of GARCH type (especially, ARMA-GARCH) models and computational-intelligence-based techniques—Support Vector Machine (SVM) and Relevance Vector Machine (RVM) have been successfully used for financial forecasting. This paper deals with the application of ARMA-GARCH, recurrent SVM (RSVM) and recurrent RVM (RRVM) in volatility forecasting. Based on RSVM and RRVM, two G...

The modern computing technology makes data gathering and storage easier. This creates new range of problems and challenges for data analysis. Detection of outliers in time series data has gained much attention in recent years. We present a new approach based on clustering techniques for outlier. The Expectation Maximization clusters (EM-Cluster) a l g o r i t h m is used to find the “optimal” p...

This paper proposes a hybrid model, evolutionary functional link neural fuzzy model (EFLNF), to forecast financial time series where the parameters are optimized by two most efficient evolutionary algorithms: (a) genetic algorithm (GA) and (b) particle swarm optimization (PSO). When the periodicity is just one day, PSO produces a better result than that of GA. But the gap in the performance bet...

<span>The portfolio selection problem is one of the most common problems which drawn attention experts field in recent decades. The mean variance optimization aims to minimize (risk) and maximize expected return. In case linear constraints, can be solved by variants Markowitz. But many constraints such as cardinality, transaction cost, make so vital that conventional techniques are not go...

In this paper, we propose a new approach to analyze financial contagion using causality-based complex network and value-at-risk (VaR). We innovatively combine the use of VaR an expected shortfall (ES)-based causality with impulse response analysis discover features contagion. improve current research methods by building Granger on ES conclusions drawn from as foundational step before analysis. ...

Post LPG, the Foreign Institutional Investors (FIIs) Investments, has created a massive impression on Indian Equity market as well economy, contributing toward several financial reforms of Government, RBI and SEBI, to major extent, dancing tune of, various other global economic crisis, name few, US subprime demonetization in India Covid ’19 pandemic lockdown. The recent Covid-19 triggered fears...

Abstract In this paper, a case study was performed with an aim to analyze the asset returns for two different companies and risk from capital projects using standard pricing method. To demonstrate how present values of future cash flows are influenced by discount rates when debt-to-equity structure ratio is varied between 0 2.5 debt-to-equity. The breakeven sensitivity also conducted in relatio...