use ARIMA models to predict stock prices Are there any books or compilation of research papers that discuss application of ARIMA models to forecast prices in financial markets I.e stocks,commodities,futures,options etc.
I found this one but was hoping for some more examples:
http://softcomp.ee.ntou.edu.tw/publications/conference/arima_nn.pdf
 A: The closest you'll get is probably one of Ruey S. Tsay's books; for example, Analysis of Financial Time Series. This books covers ARIMA models in Chapter 2 and then goes on to discuss other, arguably more appropriate, models for modelling financial time-series. 
As noted in the comments by the reference to the work of Eugene Fama, predicting stock prices is a difficult endeavor, so it's not likely to find any book, let alone one focusing solely on ARIMA models, telling you the grand secret! Even it claimed to do so, you'd be wise to exercise some caution.
That said, you may find the literature on momentum trading strategies of interest. For example, see this recent paper Currency Momentum Strategies by Lukas Menkhoff, Lucio Sarno, Maik Schmeling, and Andreas Schrimpf. And, if I'm not mistaken, the seminal paper in this area of finance is a 1993 Journal of Finance paper Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency by Jegadeesh and Titman.
The standard sort of textbook on options and other financial instruments that's used at Universities is the John C. Hull book Options, Futures, and Other Derivatives. I don't recall the book covering ARIMA models directly, but it did touch upon ARCH and GARCH models as well as the EWMA (exponentially weighted moving average) model. Obviously, the book provides details of how to price various options via the famous Black–Scholes formula and variations of it, but it would be difficult to imagine seeing how to implement use of that in a practical setting - the setting you probably have in mind. Nevertheless, it may be worth knowing about since you mentioned options and futures.
