Prediction of International Stock Market Movements Using a Statistical Time Series Analysis Method

Shareef, Jehan Kadhim

ISBN 10: 0692498109 / ISBN 13: 9780692498101

Published by United Scholars Publication, 2015

About this Item

112 pages. 9.00x6.00x0.26 inches. In Stock.

Seller Inventory # zk0692498109

Bibliographic Details

• Title: Prediction of International Stock Market Movements Using a Statistical Time Series Analysis Method
• Publisher: United Scholars Publication
• Publication Date: 2015
• Language: English
• ISBN 10: 0692498109
• ISBN 13: 9780692498101
• Binding: Paperback
• Condition: Brand New

About this title

Synopsis

In this book we have used econometric time series models to model and forecast the development in closing prices of the main international stock markets. These are New York, London, Tokyo and Shanghai stock markets. The time series data set includes the trading days from 1st January, 2008 to 31st December, 2012 i.e. (5 years). After pre-processing the data to substitute the missing values using interpolation method and converting all closing prices to USD currency, the first attempt of this research employs the Auto Regressive Moving Average (ARMA) framework, which has been used to model a time series data set. It is found that the model can be used to fit the data in the estimation period. The Root Mean Square Error (RMSE) is used to find an estimating order of the parameter in ARMA model i.e. r, m proper values. The forecasting process is constructed based on the ARMA model to forecast the future value for the data indices in the period (2010-2012) in New York, London, Tokyo, and Shanghai stock markets. The idea of forecasting in this work is predicting two-days-ahead closing price based on previous two years closing price for each two days. The forecasting is very important in the analysis of economic and industrial time series, and in selling and buying movement. The money was invested in these stock markets and the results made it clear that the investment in London stock market is the best investment.