Stock Market (NIFTY) Forecasting using Machine Learning Analysis on Option Chain
Saurabh Gupta1, Vaishali2, Raghuvansh Tahlan3, Navya Sanjna Joshi4, Ritvik Agarwal5
1Dr Saurabh Gupta, Computer Science and Engineering Dr Akhlesh Das Gupta Institute of Technology and Management, New Delhi, India.
2Vaishali, Computer Science and Engineering Dr Akhlesh Das Gupta Institute of Technology and Management, New Delhi, India.
3Raghuvansh Tahlan, Computer Science and Engineering Dr Akhlesh Das Gupta Institute of Technology and Management, New Delhi, India.
4Navya Sanjna Joshi, Computer Science and Engineering Dr Akhlesh Das Gupta Institute of Technology and Management, New Delhi, India.
5Ritvik Agarwal, Computer Science and Engineering Dr Akhlesh Das Gupta Institute of Technology and Management, New Delhi, India.
Manuscript received on December 22, 2020. | Revised Manuscript received on December 30, 2020. | Manuscript published on January 30, 2021. | PP: 80-83 | Volume-9 Issue-5, January 2021. | Retrieval Number: 100.1/ijrte.E5155019521 | DOI: 10.35940/ijrte.E5155.019521
Open Access | Ethics and Policies | Cite | Mendeley
© The Authors. Blue Eyes Intelligence Engineering and Sciences Publication (BEIESP). This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
Abstract: Stock market prediction is a long-time intriguing topic to researchers from different fields. Stock market data is extremely volatile and hence laborious to model. In particular, innumerable studies have been conducted to predict the movement of stock market using Machine Learning algorithms such as Regression Techniques, Time Series Forecasting, Indices Modelling, Natural Language Processing and more, but there is still room for improvement. Also, Option chain and Options have been the subjects that not many have ventured into, leading us to this subject. Mainly, NIFTY and BANKNIFTY Options account for 70% of total derivatives traded and much more turnover than all stocks combined. This research paper attempts to figure out the utility of Option Chain in predicting the direction of movement in NIFTY. We have tried how different features from Option chain can be extracted, and the resulting problem can be solved using Machine Learning techniques and Deep Learning techniques.
Keywords: NIFTY Forecasting, Options, Option Chain, Stock Market Forecasting.