Technical analysis of bse-30 index constituents and comparision of predition with actuals

Abstract

This study paper introduces a new method of technical analysis to predict future price movements of the stock market. It focuses more towards volume analysis than price analysis of the market. More precisely, it uses the new method of volume analysis together with few existing price analysis methods for predicting future prices. Statistical model ARIMA (p, d, q) with 0=p, d, q=2 has been used for time series analysis of the volume. The new method has been used against 30 constituent stocks of BSE-30 INDEX for a period of one year. Our study shows ARIMA based volume analysis together with price indicators, specifically MACD, performs better in forecasting future movements of the market. It has a significant edge over Moving Average Convergence Divergence (MACD) and Rate of Change (ROC) indicators of trading as well as over passive Buy and Hold strategy of share trading.