Should You Buy Now or Wait? KOSPI Index Stock Forecast

Abstract

We evaluate KOSPI Index prediction models with Modular Neural Network (DNN Layer) and Multiple Regression^1,2,3,4 and conclude that the KOSPI Index stock is predictable in the short/long term. According to price forecasts for (n+16 weeks) 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. Market Risk
2. What is Markov decision process in reinforcement learning?
3. Short/Long Term Stocks

KOSPI Index Target Price Prediction Modeling Methodology

We consider KOSPI Index Stock Decision Process with Multiple 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(Multiple Regression)^5,6,7= $\begin{array}{cccc}{p}_{\mathrm{a}1}& p_{\mathrm{a}2}& \dots & p_{1n}\\ & ⋮\\ p_{j1}& p_{j2}& \dots & p_{jn}\\ & ⋮\\ p_{k1}& p_{k2}& \dots & p_{kn}\\ & ⋮\\ p_{n1}& p_{n2}& \dots & p_{nn}\end{array}$ X R(Modular Neural Network (DNN Layer)) X S(n):→ (n+16 weeks) $R=\left(\begin{array}{ccc}1& 0& 0\\ 0& 1& 0\\ 0& 0& 1\end{array}\right)$

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+16 weeks)

Sample Set: Neural Network
Stock/Index: KOSPI Index KOSPI Index
Time series to forecast n: 02 Sep 2022 for (n+16 weeks)

According to price forecasts for (n+16 weeks) 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 B1 & long-term Baa2 forecasted stock rating. We evaluate the prediction models Modular Neural Network (DNN Layer) with Multiple Regression^1,2,3,4 and conclude that the KOSPI Index stock is predictable in the short/long term. According to price forecasts for (n+16 weeks) 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*	B1	Baa2
Operational Risk	87	56
Market Risk	61	80
Technical Analysis	46	73
Fundamental Analysis	39	82
Risk Unsystematic	77	71

Prediction Confidence Score

Trust metric by Neural Network: 86 out of 100 with 676 signals.

References

1. LeCun Y, Bengio Y, Hinton G. 2015. Deep learning. Nature 521:436–44
2. Bertsimas D, King A, Mazumder R. 2016. Best subset selection via a modern optimization lens. Ann. Stat. 44:813–52
3. Ashley, R. (1983), "On the usefulness of macroeconomic forecasts as inputs to forecasting models," Journal of Forecasting, 2, 211–223.
4. Firth JR. 1957. A synopsis of linguistic theory 1930–1955. In Studies in Linguistic Analysis (Special Volume of the Philological Society), ed. JR Firth, pp. 1–32. Oxford, UK: Blackwell
5. Dudik M, Erhan D, Langford J, Li L. 2014. Doubly robust policy evaluation and optimization. Stat. Sci. 29:485–511
6. Zou H, Hastie T. 2005. Regularization and variable selection via the elastic net. J. R. Stat. Soc. B 67:301–20
7. Hastie T, Tibshirani R, Wainwright M. 2015. Statistical Learning with Sparsity: The Lasso and Generalizations. New York: CRC Press

Frequently Asked Questions

Q: What is the prediction methodology for KOSPI Index stock?
A: KOSPI Index stock prediction methodology: We evaluate the prediction models Modular Neural Network (DNN Layer) and Multiple 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 B1 & long-term Baa2 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+16 weeks)

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