1. A Study of Indian Stock Market using Matrix Variate Dynamic Model
- Author
-
Prabhat K. Dwivedi and Amit Kumar
- Subjects
Coronavirus disease 2019 (COVID-19) ,Computer science ,Estimation theory ,02 engineering and technology ,Kalman filter ,01 natural sciences ,symbols.namesake ,Random variate ,Gaussian noise ,0103 physical sciences ,Expectation–maximization algorithm ,0202 electrical engineering, electronic engineering, information engineering ,Econometrics ,symbols ,020201 artificial intelligence & image processing ,Stock market ,010306 general physics ,Stock (geology) - Abstract
Our aim is to study Indian stock market data using matrix variate dynamic model (MVDM). We need a model which preserves non-linear structure and the complexity of stock market data. MVDM has some structure preserving property which helps in understanding behaviour of stock data. We model MVDM by taking latent and observed data as a matrix variate with Gaussian noise. We use expectation maximization iterative techniques for parameter estimation. MVDM prediction accuracy is more except during major political events and COVID-19 period.
- Published
- 2020