How accurate is machine learning in stock market? (KOSPI Index Stock Forecast)


Abstract

We evaluate KOSPI Index prediction models with Statistical Inference (ML) and Stepwise Regression1,2,3,4 and conclude that the KOSPI Index stock is predictable in the short/long term. According to price forecasts for (n+1 year) period: The dominant strategy among neural network is to Hold KOSPI Index stock.


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

Key Points

  1. Why do we need predictive models?
  2. Understanding Buy, Sell, and Hold Ratings
  3. Market Risk

KOSPI Index Target Price Prediction Modeling Methodology

We consider KOSPI Index Stock Decision Process with Stepwise Regression where A is the set of discrete actions of KOSPI 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(Stepwise 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(Statistical Inference (ML)) X S(n):→ (n+1 year) e x rx

n:Time series to forecast

p:Price signals of KOSPI 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?

KOSPI Index Stock Forecast (Buy or Sell) for (n+1 year)

Sample Set: Neural Network
Stock/Index: KOSPI Index KOSPI Index
Time series to forecast n: 01 Sep 2022 for (n+1 year)

According to price forecasts for (n+1 year) period: The dominant strategy among neural network is to Hold KOSPI 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

KOSPI Index assigned short-term B2 & long-term Ba3 forecasted stock rating. We evaluate the prediction models Statistical Inference (ML) with Stepwise Regression1,2,3,4 and conclude that the KOSPI Index stock is predictable in the short/long term. According to price forecasts for (n+1 year) period: The dominant strategy among neural network is to Hold KOSPI Index stock.

Financial State Forecast for KOSPI Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*B2Ba3
Operational Risk 3967
Market Risk8561
Technical Analysis3650
Fundamental Analysis7552
Risk Unsystematic3175

Prediction Confidence Score

Trust metric by Neural Network: 91 out of 100 with 507 signals.

References

  1. J. Harb and D. Precup. Investigating recurrence and eligibility traces in deep Q-networks. In Deep Reinforcement Learning Workshop, NIPS 2016, Barcelona, Spain, 2016.
  2. M. J. Hausknecht and P. Stone. Deep recurrent Q-learning for partially observable MDPs. CoRR, abs/1507.06527, 2015
  3. Athey S. 2019. The impact of machine learning on economics. In The Economics of Artificial Intelligence: An Agenda, ed. AK Agrawal, J Gans, A Goldfarb. Chicago: Univ. Chicago Press. In press
  4. Tibshirani R, Hastie T. 1987. Local likelihood estimation. J. Am. Stat. Assoc. 82:559–67
  5. Bell RM, Koren Y. 2007. Lessons from the Netflix prize challenge. ACM SIGKDD Explor. Newsl. 9:75–79
  6. Dimakopoulou M, Zhou Z, Athey S, Imbens G. 2018. Balanced linear contextual bandits. arXiv:1812.06227 [cs.LG]
  7. Athey S, Tibshirani J, Wager S. 2016b. Generalized random forests. arXiv:1610.01271 [stat.ME]
Frequently Asked QuestionsQ: What is the prediction methodology for KOSPI Index stock?
A: KOSPI Index stock prediction methodology: We evaluate the prediction models Statistical Inference (ML) and Stepwise Regression
Q: Is KOSPI Index stock a buy or sell?
A: The dominant strategy among neural network is to Hold KOSPI Index Stock.
Q: Is KOSPI Index stock a good investment?
A: The consensus rating for KOSPI Index is Hold and assigned short-term B2 & long-term Ba3 forecasted stock rating.
Q: What is the consensus rating of KOSPI Index stock?
A: The consensus rating for KOSPI Index is Hold.
Q: What is the prediction period for KOSPI Index stock?
A: The prediction period for KOSPI Index is (n+1 year)

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