Application of Time Series on Financial Market



Teh, Hui Hong (2016) Application of Time Series on Financial Market. Final Year Project (Bachelor), Tunku Abdul Rahman University College.

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It is no news that the global economic crisis has led to shortage of financial resources and to a general downturn in stock prices across the globe. Forecasting stock prices will provide a way to anticipate and perhaps avoid the risk of a large adverse change in prices. Stock price forecasting is a popular and important topic in financial and academic studies. Time series analysis is the most common and fundamental method to perform this task. In this project, I had studied a few models of time series analysis and applied to a real company’s stock price data for investigation. The time series models used in this project was ARIMA. At the end of the project, the better model for the specific stock at the time will be chosen after the results had been compared. The most suitable model selected will be used for future stock price prediction. After finishing for the documentation part, I had programmed stock price forecasting website to generate the results machinery after finishing studies on the application of time series in stock market. Visual Basic (VB) .NET will be selected as the framework for the website. Besides, the IBM® SPSS® Forecasting software is integrated with the framework to provide results of analysis and forecasting. The algorithm proposed in this project can potentially outperform the conventional time series analysis in stock price forecasting. Key words: Forecasting, stock price, time series, ARIMA.

Item Type: Final Year Project
Subjects: Science > Computer Science
Science > Mathematics
Faculties: Faculty of Applied Sciences and Computing > Bachelor of Science (Honours) in Management Mathematics with Computing
Depositing User: Library Staff
Date Deposited: 08 Aug 2019 02:51
Last Modified: 17 Mar 2022 03:02