发帖
雷达卡
英文标题：
《An Investigation of the Structural Characteristics of the Indian IT
Sector and the Capital Goods Sector: An Application of the R Programming in
Time Series Decomposition and Forecasting》
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作者：
Jaydip Sen and Tamal Datta Chaudhuri
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最新提交年份：
2017
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英文摘要：
Time series analysis and forecasting of stock market prices has been a very active area of research over the last two decades. Availability of extremely fast and parallel architecture of computing and sophisticated algorithms has made it possible to extract, store, process and analyze high volume stock market time series data very efficiently. In this paper, we have used time series data of the two sectors of the Indian economy: Information Technology and Capital Goods for the period January 2009 till April 2016 and have studied the relationships of these two time series with the time series of DJIA index, NIFTY index and the US Dollar to Indian Rupee exchange rate. We establish by graphical and statistical tests that while the IT sector of India has a strong association with DJIA index and the Dollar to Rupee exchange rate, the Indian CG sector exhibits a strong association with the NIFTY index. We contend that these observations corroborate our hypotheses that the Indian IT sector is strongly coupled with the world economy whereas the CG sector of India reflects internal economic growth of India. We also present several models of regression between the time series which exhibit strong association among them. The effectiveness of these models have been demonstrated by very low values of their forecasting errors.
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中文摘要：
过去二十年来，股票市场价格的时间序列分析和预测一直是一个非常活跃的研究领域。极快、并行的计算体系结构和复杂算法的可用性使得能够非常高效地提取、存储、处理和分析大量股票市场时间序列数据。在本文中，我们使用了2009年1月至2016年4月期间印度经济两个部门的时间序列数据：信息技术和资本货物，并研究了这两个时间序列与DJIA指数、NIFTY指数和美元对印度卢比汇率的时间序列的关系。我们通过图形和统计测试确定，虽然印度的IT部门与道琼斯工业平均指数和美元兑卢比汇率密切相关，但印度的CG部门与NIFTY指数密切相关。我们认为，这些观察结果证实了我们的假设，即印度IT部门与世界经济紧密耦合，而印度CG部门反映了印度的内部经济增长。我们还提出了几个时间序列之间的回归模型，这些模型之间具有很强的关联性。这些模型的预测误差值很低，证明了其有效性。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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