chapter  Chapter 7
24 Pages

Analysis of BSE Sensex Using Statistical and Computational Tools

WithSoumya Chatterjee, Indranil Mukherjee

Financial markets and financial data have been studied from different perspectives employing various types of tools. Principal component analysis is applied to the 18 return datasets obtained from both the original raw datasets and the detrended datasets. Tools drawn from advanced statistical mechanics and computational sciences were utilized to achieve our objectives. Data from the Indian stock markets have been analysed to understand these markets. Owing to the high growth rate of its economy, India provides an ideal platform for such analysis. The analysis of BSE and Nifty data revealed the existence of power law behaviour. The magnitudes are found to fluctuate around the zero value and the density of the peaks keep changing with time. The only noticable change in the characteristics of the two graphs is the reduction in the peak number in any corresponding period. Tools drawn from advanced statistical mechanics and computational sciences were utilized to achieve our objectives.