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Net Asset Value (NAV) Prediction using Dense Residual Models | ||
| Journal of Information Technology Management | ||
| دوره 15، Special Issue: EIntelligent and Security for Communication, Computing Application (ISCCA-2022)، 2023، صفحه 111-138 اصل مقاله (2.36 M) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22059/jitm.2023.95249 | ||
| نویسندگان | ||
| Mohd Raagib Shakeel* 1؛ Taufeeque Ahmad Siddiqui1؛ Shahzad Alam2؛ Mohammad Kashif2؛ Mohd Anas Khan3 | ||
| 1Department of Management Studies, Faculty of Management studies, Jamia Millia Islamia, New Delhi-110025, India. | ||
| 2Department of Computer Engineering, Faculty of Engineering and Technology, Jamia Millia Islamia,New Delhi-110025, India. | ||
| 3Department of Computer Engineering, Jamia Millia Islamia University, Delhi, India. | ||
| چکیده | ||
| Net Asset Value (NAV) has long been a key performance metric for mutual fund investors. Due to the considerable fluctuation in the NAV value, it is risky for investors to make investment decisions. As a result, accurate and reliable NAV forecasts can help investors make better decisions and profit. In this research, we have analysed and compared the NAV prediction performance of our proposed deep learning models, such as N-BEATS and NBSL, with the FLANN model in both univariate and multivariate settings for five Indian mutual funds for forecast periods of 15, 20, 45, 63, 126, and 252 days using RMSE, MAPE, and R2 as evaluation metrics. A large forecast horizon was chosen to assess the model's consistency, reliability, and accuracy. The result reveals that the N-BEATS model outperforms the FLANN and NBSL models in the univariate setting for all datasets and all prediction horizons. In a multivariate setting, the outcome demonstrates that the N-BEATS model outperforms the FLANN model across all datasets and prediction horizons. The result also shows that, as the number of forecast days grew, our suggested models, notably N-BEATS, maintained consistency and attained the highest R2 value throughout the longest forecast duration. | ||
| کلیدواژهها | ||
| Net Asset Value؛ NAV prediction؛ Mutual Funds؛ N-BEATS؛ FLANN؛ LSTM | ||
| مراجع | ||
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