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Cointegration Of Nasdaq And Sensex Data

COINTEGRATION OF NASDAQ AND SENSEX DATA

Thesis submitted to the
Indian Institute of technology Kharagpur
in partial fulfillment
for the award of the degree

of

Master of Science
In
Statistics & Informatics

By
Satyajit Karmakar
07SI4005

Under the guidance of

Prof. Anjan Sarkar

[pic]

Department of Mathematics
INDIAN INSTITUTE OF TECHNOLOGY, KHARAGPUR
KHARAGPUR-721302, INDIA
NOVEMBER 2008

CERTIFICATE

This is to certify that this project entitled “Cointegration of Nasdaq and Sensex Data” has been successfully completed by Satyajit Karmakar (07SI4005) under my guidance and supervision, in partial fulfillment of the requirement for the degree of Masters of Science in Statistics & Informatics in the Department of Mathematics, Indian Institute of Technology Kharagpur.

Anjan Sarkar
Professor
November 2008 Department of Mathematics
I.I.T KHARAGPUR

ACKNOWLEDGEMENTS

I express my deep acknowledgement and profound sense of gratitude to my project supervisor Prof Anjan Sarkar, Department of Mathematics, Indian Institute of Technology, Kharagpur,and Prof Kaushik Bhattacharya,IIM,Lucknow, for their inspiring guidance, helpful suggestions and persistent encouragement.

He regularly spared time for me inspite of his own engagements and guided me throughout all the difficulties that I faced. Most important of all, the interest he took in this work, was motivation enough for me to develop an interest in the subject.

I would also like to thank some of my seniors and friends for their cooperation at appropriate time...