Model Comparison for the Prediction of Stock Prices in the NYSE

Victoria Switlyk, Junfeng Shang
2019 Journal of Mathematics and Statistics  
Junfeng Shang, Advisor The stock market is an integral part of investments as well as the economy as a whole. The prediction of stock prices is a exciting and challenging problem that has been considered by many due to the complexity and noise within the market as well as the potential profit that can be yielded from accurate predictions. The purpose of this study is to construct and compare models used for the prediction of weekly closing prices for some of the top stocks in the NYSE as well
more » ... the NYSE as well as to discuss the relationship between stock prices and the predictor variables. Relationships considered in the study include that with macroeconomic variables such as the Federal Funds Rate and the M1 money supply as well as market indexes such as the CBOE Volatility Index, the Wilshire 5000 Total Market Full Cap Index, the CBOE interest rate for 10-year T-notes and bonds, and NYSE commodity indexes including XOI and HUI. Models are built using methods of regression analysis and time series analysis. Models are analyzed and compared with one another by considering their predictive ability, accuracy, fit to the underlying model assumptions, and usefulness in application. The final models considered are a pooled regression model considering the median weekly closing price across all stocks, a varying intercept model considering the weekly closing price for each individual stock, and an ARIMA time series model that predicts the median weekly closing stock price based on past prices. iv ACKNOWLEDGMENTS I would like to acknowledge and thank my advisor Junfeng Shang for all of her help, advice, and mentoring throughout my studies. She is an amazing person to work with, and I cannot thank her enough. I would also like to thank my remaining committee, John Chen and Wei Ning, for their willingness to provide their assistance and expertise and for the dedication of their time.
doi:10.3844/jmssp.2019.233.249 fatcat:jnz7ykepqnendidy5m4j66iwna