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dc.contributor.authorKumar, Saurabh-
dc.contributor.authorDhingra, Dhwani-
dc.date.accessioned2021-08-31T10:06:18Z-
dc.date.available2021-08-31T10:06:18Z-
dc.date.issued2021-05-31-
dc.identifier.urihttp://dspace.dtu.ac.in:8080/jspui/handle/repository/18471-
dc.descriptionSECTION 1 - INTRODUCTION Equity Market is a marketplace through which shares of public-owned companies are issued and traded through exchanges or over-the-counter markets. This market provides the financial support that these companies require to grow their business who are the issuers of the equity. While on the other hand, it also helps the investors in receiving an ownership in the company with the potential to gain maximum return on their investment. According to Researchers around the globe, Indian Economy is a developing economy with immensely volatile equity market. This volatile behavior of the Indian Equity Market could be the due to the implication of a single variable or due to the collaboration of multiple variables. Such variables could be among the following - number of securities available, number of trades, volume of trades and total traded value, prices of securities, securities’ return on investment, impact of the macroeconomic conditions such as Gross Domestic Product (GDP), Inflation, Interest Rates, Employment Rate, Monetary Policy, Fiscal Policy etc. One could say that Indian Financial Market has risen to a whole new level even during the COVID-19 pandemic, but that does not imply that the volatile aspect is depreciating. It is due to this volatile nature, prediction of equity market to a certain degree is necessary to prepare for the black swan event if it happens. Corporate Bond Market is a marketplace through which the companies receive capital to run their businesses by issuing corporate bonds to the investors. When an investor buys a corporate bond, the companies provide several interest payments at a fixed or a variable interest rate along with the original investment when the bond is matured. Researchers have been trying to correlate the Corporate Bond Market with the Equity Market in various countries for the past few decades. Major studies have been conducted with respect to countries with developed economies such as United States, United Kingdom, France, Germany, Japan etc. But each study has its limitation that it can never be generalized over another countries’ economic environment. There are various reasons for such limitations, some of them could be the impact of macroeconomic variables like Gross Domestic Product (GDP), Consumer Price Index (CPI), Wholesale Price Index (WPI), Interest Rates, Employment Rate, Monetary Policy, Fiscal Policy etc. Researchers believe that the Equity Market may have some correlation or dependency with Bond Market, Derivatives Market, Commodity Market etc. The primary objective for our study is to analyze the interdependency of the financial market’s instruments within the Indian Economy using Machine Learning Algorithms. The instruments of financial markets could be Equity Market, Bond Market, Derivatives Market, Commodity Market while we focus on the Equity Market and a segment of Bond Market called Corporate Bond Market. Machine Learning Algorithms ranges from Regression Analysis, Classification, Clustering, Association Rule Mining, Support Vector Machines, Random Forest to Deep Learning Techniques such as Recurrent Neural Networks, Convolutional Neural Networks etc. In our study, the Page | 7 major focus is on the Application of Regression Analysis and Generalized Addictive Models with Cubic Regression Spline to develop our model. For the Performance Evaluation of our Models, we have restricted ourselves to use Root Mean Square Error Loss (RMSE) and Mean Absolute Error Loss (MAE) along with the Correlational Analysis to provide insights at the pre-modeling stage. The structure of the study is as follows – • Section 2 provides the literature review needed to understand the problem statement and outlines the research gap that the study tries to fulfil. • Section 3 discusses the proposed model that needs to be developed to carry out the study. • Section 4 explores the developed model itself. • Section 5 discusses the result of the study. • Section 6 concludes the study with possibly outlining the future work. • Section 7 cites the references used in the study. • Section 8 provides the model developed in R.en_US
dc.description.abstractOver the past decades, researchers around the globe have been trying to understand the volatile behavior of the equity market by analyzing the stock prices, daily percentage returns, traded volumes, bid ask spread of the stock, impact of macroeconomic conditions, impact of the bond market, sentiment analysis of the post and tweets on the various social media platforms. These types of studies have been performed on various stock exchanges like New York Stock Exchange, NASDAQ, London Stock Exchange, and various others. Researchers have found that it is not possible to study one market to derive insights and apply its findings over another market. The primary objective for our study is to analyze the interdependency of the financial market’s instruments within the Indian Economy using Machine Learning Algorithms. The instruments of financial markets could be Equity Market, Bond Market, Derivatives Market, Commodity Market while we focus on the Equity Market and a segment of Bond Market called Corporate Bond Market. Machine Learning Algorithms ranges from Regression Analysis, Classification, Clustering, Association Rule Mining, Support Vector Machines, Random Forest to Deep Learning Techniques such as Recurrent Neural Networks, Convolutional Neural Networks etc. In our study, the major focus is on the Application of Regression Analysis and Generalized Addictive Models with Cubic Regression Spline to develop our model. For Performance Evaluation of our Models, we have restricted ourselves to Root Mean Square Error Loss (RMSE) and Mean Absolute Error Loss (MAE) along with the Correlational Analysis to provide insights at the pre-modeling stage.en_US
dc.language.isoenen_US
dc.subjectEquity Marketen_US
dc.subjectCorporate Bond Marketen_US
dc.subjectRegression Analysisen_US
dc.subjectGeneralized Addictive Modelsen_US
dc.titleAnalyzing the Interdependency of Financial Market’s Instruments within the Indian Economy using Machine Learning Algorithmsen_US
dc.typeThesisen_US
Appears in Collections:MBA

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