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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Forecasting Stock Prices Using an Auto Regressive Exogenous model

Hjort, Måns, Andersson, Lukas January 2023 (has links)
This project aimed to evaluate the effectiveness of the Auto Regressive Exogenous(ARX) model in forecasting stock prices and contribute to research on statisticalmodels in predicting stock prices. An ARX model is a type of linear regression modelused in time series analysis to forecast future values based on past values and externalinput signals. In this study, the ARX model was used to forecast the closing pricesof stocks listed on the OMX Stockholm 30 (OMXS30*) excluding Essity, Evolution,and Sinch, using historical data from 2016-01-01 to 2020-01-01 obtained from YahooFinance. The model was trained using the least squares approach with a control signal that filtersoutliers in the data. This was done by modeling the ARX model using optimizationtheory and then solving that optimization problem using Gurobi OptimizationSoftware. Subsequently, the accuracy of the model was tested by predicting prices in aperiod based on past values and the exogenous input variable. The results indicated that the ARX model was not suitable for predicting stock priceswhile considering short time periods.

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