• Login
    • Library Home
    View Item 
    •   BracU IR
    • Department of Economics and Social Sciences (ESS)
    • Masters of Social Sciences in Economics
    • Theses (MSS in Economics)
    • View Item
    •   BracU IR
    • Department of Economics and Social Sciences (ESS)
    • Masters of Social Sciences in Economics
    • Theses (MSS in Economics)
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Forecasting market movement in Dhaka Stock Exchange: LSTM vs. ARIMA

    Thumbnail
    View/Open
    18175001.pdf (2.153Mb)
    Date
    2019-04
    Publisher
    Brac University
    Author
    Chakraborty, Pranjal
    Metadata
    Show full item record
    URI
    http://hdl.handle.net/10361/12335
    Abstract
    This paper creates and examines the performance of LSTM models against ARIMA models, using Dhaka Stock Exchange data from beginning of 2000 to the beginning of 2019. An algorithm has been designed to simultaneously train and test the models using datasets of 340 companies of the market. The empirical result shows the absolute dominance of ARIMA over LSTM, which contradicts some previous works. At the end, we try to discuss the possible reasons behind the unsatisfactory performance of LSTM and explore some of the possible future expansions and extensions of the current work.
    Keywords
    Long short-term memory; Autoregressive integrated moving average; Econometrics; Data mining; Deep learning; Neural network; Machine learning; Dhaka Stock Exchange; Capital market; Artificial intelligence
     
    LC Subject Headings
    Marketing
     
    Description
    This thesis is submitted in a partial fulfillment of the requirements for the degree of Masters of Science in Applied Economics, 2019.
     
    Cataloged from PDF version of thesis.
     
    Includes bibliographical references (pages 34-35).
    Department
    Department of Economics and Social Sciences, Brac University
    Collections
    • Theses (MSS in Economics)

    Copyright © 2008-2019 Ayesha Abed Library, Brac University 
    Contact Us | Send Feedback
     

     

    Policy Guidelines

    • BracU Policy
    • Publisher Policy

    Browse

    All of BracU Institutional RepositoryCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

    My Account

    LoginRegister

    Statistics

    View Usage Statistics

    Copyright © 2008-2019 Ayesha Abed Library, Brac University 
    Contact Us | Send Feedback