A tumultuous outlook of Pakistan’s stock market-KSE 30 through machine learning identification of volatile equities
Speaker: Nazish Shahid
Affiliation: Forman Christian College (Pakistan)
Abstract
To identify the market components contributing to ticklish credit loss, the annual equity returns of Pakistan Stock Exchange (PSX)-KSE 30 will be assessed through Machine Learning (ML) calibration techniques. Assets’ co-movement with respect to market index will be examined in reference to auto-correlation phenomenon prior to the use of one-factor Capital Asset Pricing Model (CAPM). ‘Is it effective to incorporate the technique of longer overlapped time period returns in the results as compared to daily returns for future investment decisions?’ will be briefly contemplated. Moreover, the identification of assets, conducted in the first part of analysis, will be compared with optimized portfolio equities obtained through active-returns’ risk-return ratio against the market benchmark.
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