Predicting SET50 stock prices using CARIMA (Cross Correlation ARIMA)

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dc.contributor.authorWichaidit, Sornpon
dc.contributor.authorKittitornkun, Surin
dc.date.accessioned2026-08-06T10:13:28Z
dc.date.available2026-08-06T10:13:28Z
dc.date.issued2016-02-08
dc.description.abstractInvesting in stocks is one of the most popular approaches for money investment. This paper aims to predict short-term stock prices of SET50 of Stock Exchange of Thailand (SET). The proposed method is called CARIMA (Cross Correlation Autoregressive Integrated Moving Average. The basic idea of CARIMA is to find the most highly correlated s tock t o predict the target one in addition to ARIMA predicted price. The results of CARIMA model yield better price trends (measured by 10-day correlation coefficient) while % MAEs (Mean Absolute Errors) are quite similar with those of ARIMA.
dc.identifier.citationIcsec 2015 19th International Computer Science and Engineering Conference Hybrid Cloud Computing A New Approach for Big Data Era, 2016
dc.identifier.doi10.1109/ICSEC.2015.7401453
dc.identifier.other2-s2.0-84964402894
dc.identifier.urihttps://dspace.kmitl.ac.th/handle/123456789/6782
dc.sourceIcsec 2015 19th International Computer Science and Engineering Conference Hybrid Cloud Computing A New Approach for Big Data Era
dc.subjectARIMA
dc.subjectCorrelation
dc.subjectPrediction
dc.subjectStock
dc.subjectTime Series
dc.titlePredicting SET50 stock prices using CARIMA (Cross Correlation ARIMA)
dc.typeConference Paper

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