Can neural networks predict stock market? (VN 30 Index Stock Forecast)


Abstract

We evaluate VN 30 Index prediction models with Deductive Inference (ML) and Lasso Regression1,2,3,4 and conclude that the VN 30 Index stock is predictable in the short/long term. According to price forecasts for (n+8 weeks) period: The dominant strategy among neural network is to Hold VN 30 Index stock.


Keywords: VN 30 Index, VN 30 Index, stock forecast, machine learning based prediction, risk rating, buy-sell behaviour, stock analysis, target price analysis, options and futures.

Key Points

  1. Is it better to buy and sell or hold?
  2. What are the most successful trading algorithms?
  3. Prediction Modeling

VN 30 Index Target Price Prediction Modeling Methodology

We consider VN 30 Index Stock Decision Process with Lasso Regression where A is the set of discrete actions of VN 30 Index stock holders, F is the set of discrete states, P : S × F × S → R is the transition probability distribution, R : S × F → R is the reaction function, and γ ∈ [0, 1] is a move factor for expectation.1,2,3,4


F(Lasso Regression)5,6,7= p a 1 p a 2 p 1 n p j 1 p j 2 p j n p k 1 p k 2 p k n p n 1 p n 2 p n n X R(Deductive Inference (ML)) X S(n):→ (n+8 weeks) S = s 1 s 2 s 3

n:Time series to forecast

p:Price signals of VN 30 Index stock

j:Nash equilibria

k:Dominated move

a:Best response for target price

 

For further technical information as per how our model work we invite you to visit the article below: 

How do AC Investment Research machine learning (predictive) algorithms actually work?

VN 30 Index Stock Forecast (Buy or Sell) for (n+8 weeks)

Sample Set: Neural Network
Stock/Index: VN 30 Index VN 30 Index
Time series to forecast n: 07 Sep 2022 for (n+8 weeks)

According to price forecasts for (n+8 weeks) period: The dominant strategy among neural network is to Hold VN 30 Index stock.

X axis: *Likelihood% (The higher the percentage value, the more likely the event will occur.)

Y axis: *Potential Impact% (The higher the percentage value, the more likely the price will deviate.)

Z axis (Yellow to Green): *Technical Analysis%


Conclusions

VN 30 Index assigned short-term Ba2 & long-term B3 forecasted stock rating. We evaluate the prediction models Deductive Inference (ML) with Lasso Regression1,2,3,4 and conclude that the VN 30 Index stock is predictable in the short/long term. According to price forecasts for (n+8 weeks) period: The dominant strategy among neural network is to Hold VN 30 Index stock.

Financial State Forecast for VN 30 Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*Ba2B3
Operational Risk 8133
Market Risk6131
Technical Analysis8857
Fundamental Analysis6848
Risk Unsystematic4768

Prediction Confidence Score

Trust metric by Neural Network: 92 out of 100 with 730 signals.

References

  1. Rosenbaum PR, Rubin DB. 1983. The central role of the propensity score in observational studies for causal effects. Biometrika 70:41–55
  2. R. Williams. Simple statistical gradient-following algorithms for connectionist reinforcement learning. Ma- chine learning, 8(3-4):229–256, 1992
  3. Barkan O. 2016. Bayesian neural word embedding. arXiv:1603.06571 [math.ST]
  4. Arjovsky M, Bottou L. 2017. Towards principled methods for training generative adversarial networks. arXiv:1701.04862 [stat.ML]
  5. Brailsford, T.J. R.W. Faff (1996), "An evaluation of volatility forecasting techniques," Journal of Banking Finance, 20, 419–438.
  6. Sutton RS, Barto AG. 1998. Reinforcement Learning: An Introduction. Cambridge, MA: MIT Press
  7. V. Borkar and R. Jain. Risk-constrained Markov decision processes. IEEE Transaction on Automatic Control, 2014
Frequently Asked QuestionsQ: What is the prediction methodology for VN 30 Index stock?
A: VN 30 Index stock prediction methodology: We evaluate the prediction models Deductive Inference (ML) and Lasso Regression
Q: Is VN 30 Index stock a buy or sell?
A: The dominant strategy among neural network is to Hold VN 30 Index Stock.
Q: Is VN 30 Index stock a good investment?
A: The consensus rating for VN 30 Index is Hold and assigned short-term Ba2 & long-term B3 forecasted stock rating.
Q: What is the consensus rating of VN 30 Index stock?
A: The consensus rating for VN 30 Index is Hold.
Q: What is the prediction period for VN 30 Index stock?
A: The prediction period for VN 30 Index is (n+8 weeks)

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