Forecasting Stock Price Student Case Study

Analytics Day 7th Dec 2013

Banking – BHEL .Engineering – Wyeth .Pharmacy • Recommend whether to Buy • Suggest what percentage to be invested if the total investment budget is 1 crore .Objective • To forecast the price of a stock into the next quarter in order to enable a pension plan to buy into it • The stocks to be considered are – SBI .

Data at Hand • Past Price on a monthly level for last 8 years – use data from Oct 2013 going back 2 years • Financial Ratios – last 8 quarters • Domestic or Foreign Institutional Purchases (last 4 years) • Promoter Purchase or Sales (last 4 years) • Stock Splits/ Bonus Shares • Dividend History • Correlations between the three stocks – – – – Data is available on bseindia.com or any other financial site Data is to be downloaded from the sites Correlations have to be computed Please commence downloading immediately on receipt of this ppt .

Technique to be Used • • • • • • • • Time Series Decomposition Moving Average Exponential Smoothing ARIMA Time Series Regression Vector Auto Regression Bayesian Methods Any other .

Delivery • A three month forecast into Dec 13 to Feb 14 using data up to Oct 31 2013 • Output of Analysis • Reason to use a particular technique • Assumptions made • Interpretation of Output • Out of sample validation – Use 7 quarters up to Sept 13 and validate for Oct 13 • Recommendation to buy or not • How much of the 1 crore to invest in each stock .

Judging Criteria • Accuracy of Prediction alone is not the sole criteria for judgment • Marks are awarded for :– – – – – – Problem articulation Data usage Technique used (reasons & assumptions) Knowledge of Sector being analyzed Quality of Recommendation Presentation & Reporting .

so long as the team comprises of students of the institution and help from the teaching staff • However we will entertain only 2 members to present the case if selected for the finals • You will be provided 15 minutes to present your case and a further 5 minutes for questions • Presentation must be done using power point slides .Team Composition • We do not restrict the team size.

in .Queries • Any questions to be sent to the email provided below • All queries to reach us on or before 18th Nov 2013 • All queries will be answered within 48 hours – Krishna Kumar – kkhww@yahoo.co.

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