Time Series Prediction : Predicting Stock Price

Understand

Time series forecasting is widely used in a multitude of domains.

• In this paper, we present four models to predict the stock price using the SPX index as input time series data.
• The martingale and ordinary linear models require the strongest assumption in stationarity which we use as baseline models.
• The generalized linear model requires lesser assumptions but is unable to outperform the martingale.