Modelling Indian market index using the method of system identification

Ranjan Chaudhuri

International Journal of Business Forecasting and Marketing Intelligence, 2009, vol. 1, issue 2, 164-180

Abstract: The article introduces the concept of the dynamics of Indian stock market based on innovative reasoning, which precedes by forming an expectation and verifying it by the proper use of informational data set, composed of the available knowledge and intuitive observation. It deals with an application of the cybernetic method of recursive dynamic least square instrument variable algorithm with online parameter tracking adaptability for online modelling of short term national market index movement, with a timeslot of one-day having interacting variables such as market price indices of market-dominating fundamentals of industrial production. The present investigation unfolds the traditions of controls and systems in estimation, identification and exploitation of structures to develop efficient algorithms providing opportunities of significant research in system science. The work presented here formalises a specific dynamic situation, namely the construction of a finite dimensional process for daily movement of national market index.

Keywords: modelling; financial markets; macroeconomic forecasting; system identification; Indian stock market; India; market index movements. (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijbfmi:v:1:y:2009:i:2:p:164-180

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