Predictive Analytics of Stock Market as a Time Series

Abstract

This paper presents a new methodology and a comparative study using past stock market data that can help businesses take investing or divesting decisions in critical situations in the future. These may be like the COVID-19 pandemic, where market volatility is extremely high, thus creating an urgent need for better decision support systems to minimise loss and ensure better profits. The results of the study are based on the comparison of different configurations of ARIMAX, Prophet, LSTM and Bidirectional LSTM Models trained on historical NSE data. By understanding the correlation and variations in the data processing and model training parameters, we have successfully proposed a LSTM neural network model training and optimising method which could successfully help businesses take both long and short term profitable decisions before and after big financial and market crises with a respective accuracy of 98.60 percent and 96.97 percent.