This paper presents a scheme using Differential Evolution based Functional Link Artificial Neural Network (FLANN) to predict the Indian Stock Market Indices. The Model uses Back-Propagation (BP) algorithm and Differential Evolution (DE) algorithm respectively for predicting the Stock Price Indices for one day, one week, two weeks and one month in advance. The Indian stock prices i.e. BSE (Bomba...

In this paper, we investigate the statistical properties of the waiting times between two successive price changes above a fixed threshold (or a fixed point) for the indices of Shanghai Stock Exchange and Shenzhen Stock Exchange. The database is from the indices of Shanghai and Shenzhen in the 10-year period from January 1997 to December 2006, and the empirical research shows that the distribut...

K-means clustering algorithm has been used to classify major world stock market indices as well as most important assets in the Warsaw stock exchange (GPW). In addition, to obtain information about mutual connections between indices and stocks, the Granger-causality test has been applied and the Pearson R correlation coefficients have been calculated. It has been found that the three procedures...

Abstract—The purpose of this paper is to investigate the relationship among the key macroeconomic variables and Islamic stock market in India. This study is based on the time series data of financial years 2009-2015 to explore the consistency of relationship between macroeconomic variables and Shariah Indices. The ADF (Augmented Dickey–Fuller Test Statistic) and PP (Phillips–Perron Test Statist...

An adaptation of two well-established measures of changes in financial markets return and volatility is presented for the analysis of changes: (a) in consumer confidence about national economies, and (b) in sentiments articulated in financial news stories text and extracted automatically by counting the frequency of polarity words. This analysis is then compared and contrasted with the changes ...

Using data from world stock exchange indices prior to and during periods of global financial crises, clusters and networks of indices are built for asset graphs based on distance thresholds and diverse periods of time, so that it is then possible to analyze how clusters are formed according to correlations among indices and how they evolve in time, particularly during times of financial crises....

This paper proposes an approach to the intraday analysis of diversified world stock accumulation indices. The growth optimal portfolio (GOP) is used as reference unit or benchmark in a continuous financial market model. Diversified portfolios, covering the world stock market, are constructed and shown to approximate the GOP, providing the basis for a range of financial applications. The normali...

This study tests the random walk hypothesis for the Indian stock market. Using 19 years of monthly data on six indices from the National Stock Exchange (NSE) and the Bombay Stock Exchange (BSE), this study applies three different unit root tests with two structural breaks to analyse the random walk hypothesis. We find that unit root tests that allow for two structural breaks alone are not able ...