The authors report no conflicts of interest. AQR Capital Management is a global investment management firm that may or may not apply similar investment techniques or methods of analysis as described here. The views expressed here are those of the authors and not necessarily those of AQR. Lasse Heje Pedersen gratefully acknowledges support from Center for Financial Frictions (Grant No. DNRF102).
Abstract-Regression analysis is one of the popular method used for prediction and forecasting. Regression analysis is also used to understand which among the independent variables are related to the dependent variable, and to explore the forms of these relationships. In recent times, Artificial Neural Network has been successfully used in modeling financial time series due to its ability to model easily any type of parametric or nonparametric process and automatically and optimally transform the input data. In this paper ,the interaction effects of the various economic factors influencing the Net Asset Values of the Indian Mutual Funds was evaluated and the future NAV's were forecasted for the following years using Regression Analysis and Artificial Neural Network and the performance of the two methods were compared based on standard statistical measures such as MAPE, RMSE, etc. Validity of the models were tested and the future NAV values of the mutual fund has been forecasted.
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