Predictive Analytics in Capital Markets

Nitin Singh and Prakash Kumar Jha

Asian Economic and Financial Review, 2017, vol. 7, issue 3, 279-294

Abstract: The paper is a practical application of the random walk model on stock price behaviour. The academic literature has moved beyond this random walk approach and the recent focus is now much more on how to improve the forecasts. Since the performance of the random walk model has been contextual, it is desirable that the model is tested in different contexts. Our model shows good results in the Indian context. This model is also useful for traders and investors looking to predict stock prices in the immediate future as the model accounts for changes in the immediate past.

Keywords: Capital markets; Predictive analytics; Random walk; Time series; Stochastic process; Smoothing effect. (search for similar items in EconPapers)
Date: 2017
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