Understanding and Predictive Modelling of Global Equity Markets: Initiatives at Calcutta Business School

Article by : Prof. Indranil Ghosh, Assistant Professor, Calcutta Business School

Examining and decoding the behavioral dynamics of equity markets of developed and emerging economies are extremely critical due to the inherent influence of financial markets in overall economic growth. Proper assessment of empirical characteristics of stock markets assists in developing efficient predictive modelling frameworks to generate accurate forecasts which in turn can help traders immensely. It acts as a competitive differentiator for organizations looking to gain competitive edge in turbulent market environment. Calcutta Business School in its endeavor to conduct world class research in the area of financial analytics, has established advanced computational intelligence laboratory equipped with software packages like SPSS, R, Python, Rapid-Miner, Weka, etc. and data repositories like CMIE Prowess, Metastock, etc. to enable students and faculty members to accomplish the task. Over the last three years, cutting edge research has been carried out at Calcutta Business School in the area of stock market prediction, portfolio management, pair trading, etc. Students are always encouraged to be actively involved in research and guided by faculty members. Students at Calcutta Business School have also participated and presented their research work in conferences of repute in India. Continuous effort is being put into assimilating the knowledge of research outcome in design of course curriculum in order to make students more practice and industry oriented at budding phase. Some of the recent published research work in this area are enlisted below:

1. Indranil Ghosh, Tamal Datta Chaudhuri (2017). Fractal Investigation and Maximal Overlap Discrete Wavelet Transformation (MODWT)-based Machine Learning Framework for Forecasting Exchange Rates. Studies in Microeconomics, Vol. 5(2), pp. 1-27.

2. Indranil Ghosh, Tamal Datta Chaudhuri (2016). Understanding and Forecasting Stock Market Volatility through Wavelet Decomposition, Statistical Learning and Econometric Methods. Presented at 4th International Conference in Business Analytics and Intelligence (ICBAI-2016), Held at IISC Bangalore, December 19-21, 2016.

3. Jaydip Sen, Tamal Datta Chaudhuri (2017), Understanding the Sectors of Indian Economy for Portfolio Choice. International Journal of Business Forecasting and Marketing Intelligence (in upcoming issue).

4. Jaydip Sen, Tamal Datta Chaudhuri (2017). Analysis and Forecasting of Financial Time Series Using R: Models and Application. Scholars' Press, Germany, ISBN: 978-3-330-65386-3.

5. Payal Pattnaik (2016). Using Wavelet Decomposition and Cross Correlation Analysis for Portfolio Formation. Presented at 8th International Conference on Strengthening Strategies, Shaping Policies and Empowering Personnel: Key to Organizational Competitiveness, Held at Prestige Institute of Management, Gwalior. (Student Contribution)