Modelling A.I. in Economics

Can we predict stock market using machine learning? (SMI Index Stock Forecast) (Forecast)

The prediction of a stock market direction may serve as an early recommendation system for short-term investors and as an early financial distress warning system for long-term shareholders. We evaluate SMI Index prediction models with Modular Neural Network (CNN Layer) and Ridge Regression1,2,3,4 and conclude that the SMI Index stock is predictable in the short/long term. According to price forecasts for (n+6 month) period: The dominant strategy among neural network is to Buy SMI Index stock.


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

Key Points

  1. How accurate is machine learning in stock market?
  2. What statistical methods are used to analyze data?
  3. Game Theory

SMI Index Target Price Prediction Modeling Methodology

Prediction of future movement of stock prices has always been a challenging task for the researchers. While the advocates of the efficient market hypothesis (EMH) believe that it is impossible to design any predictive framework that can accurately predict the movement of stock prices, there are seminal work in the literature that have clearly demonstrated that the seemingly random movement patterns in the time series of a stock price can be predicted with a high level of accuracy. We consider SMI Index Stock Decision Process with Ridge Regression where A is the set of discrete actions of SMI 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(Ridge 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(Modular Neural Network (CNN Layer)) X S(n):→ (n+6 month) i = 1 n r i

n:Time series to forecast

p:Price signals of SMI 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?

SMI Index Stock Forecast (Buy or Sell) for (n+6 month)

Sample Set: Neural Network
Stock/Index: SMI Index SMI Index
Time series to forecast n: 26 Sep 2022 for (n+6 month)

According to price forecasts for (n+6 month) period: The dominant strategy among neural network is to Buy SMI 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

SMI Index assigned short-term B1 & long-term Baa2 forecasted stock rating. We evaluate the prediction models Modular Neural Network (CNN Layer) with Ridge Regression1,2,3,4 and conclude that the SMI Index stock is predictable in the short/long term. According to price forecasts for (n+6 month) period: The dominant strategy among neural network is to Buy SMI Index stock.

Financial State Forecast for SMI Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*B1Baa2
Operational Risk 4968
Market Risk4765
Technical Analysis4074
Fundamental Analysis6884
Risk Unsystematic8778

Prediction Confidence Score

Trust metric by Neural Network: 82 out of 100 with 751 signals.

References

  1. Hastie T, Tibshirani R, Tibshirani RJ. 2017. Extended comparisons of best subset selection, forward stepwise selection, and the lasso. arXiv:1707.08692 [stat.ME]
  2. Chernozhukov V, Chetverikov D, Demirer M, Duflo E, Hansen C, Newey W. 2017. Double/debiased/ Neyman machine learning of treatment effects. Am. Econ. Rev. 107:261–65
  3. Bessler, D. A. S. W. Fuller (1993), "Cointegration between U.S. wheat markets," Journal of Regional Science, 33, 481–501.
  4. L. Prashanth and M. Ghavamzadeh. Actor-critic algorithms for risk-sensitive MDPs. In Proceedings of Advances in Neural Information Processing Systems 26, pages 252–260, 2013.
  5. Bai J, Ng S. 2002. Determining the number of factors in approximate factor models. Econometrica 70:191–221
  6. Scholkopf B, Smola AJ. 2001. Learning with Kernels: Support Vector Machines, Regularization, Optimization, and Beyond. Cambridge, MA: MIT Press
  7. Barrett, C. B. (1997), "Heteroscedastic price forecasting for food security management in developing countries," Oxford Development Studies, 25, 225–236.
Frequently Asked QuestionsQ: What is the prediction methodology for SMI Index stock?
A: SMI Index stock prediction methodology: We evaluate the prediction models Modular Neural Network (CNN Layer) and Ridge Regression
Q: Is SMI Index stock a buy or sell?
A: The dominant strategy among neural network is to Buy SMI Index Stock.
Q: Is SMI Index stock a good investment?
A: The consensus rating for SMI Index is Buy and assigned short-term B1 & long-term Baa2 forecasted stock rating.
Q: What is the consensus rating of SMI Index stock?
A: The consensus rating for SMI Index is Buy.
Q: What is the prediction period for SMI Index stock?
A: The prediction period for SMI Index is (n+6 month)

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