Forecasting Nifty Index Futures Returns using Neural Network and ARIMA Models

M. Kumar and M. Thenmozhi (India)

Keywords

Neural network; ARIMA; Forecasting; Stock index futures

Abstract

In this study forecasting of the NIFTY stock index futures returns is carried out using backpropagation and recurrent neural network model and a linear ARIMA model. A comparison of different models shows that for NIFTY index futures returns backpropagation neural network model outperforms the recurrent neural network and the traditional ARIMA models. Moreover recurrent neural network models outperform the traditional ARIMA models. A 3-2-1 neural network architecture is best fit for forecasting futures returns.

Important Links:

• DOI:
• From Proceeding (437) Financial Engineering and Applications - 2004

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