50 citations · 57 across the 2 of their papers we have counts for
6 papers
Decomposition of Time Series Data to Check Consistency between Fund Style and Actual Fund Composition of Mutual Funds
Jaydip Sen, Tamal Datta Chaudhuri
We propose a novel approach for analysis of the composition of an equity mutual fund based on the time series decomposition of the price movements of the individual stocks of the f…
Artificial Neural Network and Time Series Modeling Based Approach to Forecasting the Exchange Rate in a Multivariate Framework
Tamal Datta Chaudhuri, Indranil Ghosh
Any discussion on exchange rate movements and forecasting should include explanatory variables from both the current account and the capital account of the balance of payments. In…
An Alternative Framework for Time Series Decomposition and Forecasting and its Relevance for Portfolio Choice: A Comparative Study of the Indian Consumer Durable and Small Cap Sectors
Jaydip Sen, Tamal Datta Chaudhuri
One of the challenging research problems in the domain of time series analysis and forecasting is making efficient and robust prediction of stock market prices. With rapid developm…
Using Clustering Method to Understand Indian Stock Market Volatility
Tamal Datta Chaudhuri, Indranil Ghosh
In this paper we use Clustering Method to understand whether stock market volatility can be predicted at all, and if so, when it can be predicted. The exercise has been performed f…
Forecasting Volatility in Indian Stock Market using Artificial Neural Network with Multiple Inputs and Outputs
Tamal Datta Chaudhuri, Indranil Ghosh
Volatility in stock markets has been extensively studied in the applied finance literature. In this paper, Artificial Neural Network models based on various back propagation algori…
A Framework for Predictive Analysis of Stock Market Indices : A Study of the Indian Auto Sector
Jaydip Sen, Tamal Datta Chaudhuri
Analysis and prediction of stock market time series data has attracted considerable interest from the research community over the last decade. Rapid development and evolution of so…