What is MOEX Russia Index stock prediction?


Abstract

We evaluate MOEX Russia Index prediction models with Inductive Learning (ML) and Wilcoxon Sign-Rank Test1,2,3,4 and conclude that the MOEX Russia 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 Sell MOEX Russia Index stock.


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

Key Points

  1. Can stock prices be predicted?
  2. What is a prediction confidence?
  3. Operational Risk

MOEX Russia Index Target Price Prediction Modeling Methodology

We consider MOEX Russia Index Stock Decision Process with Wilcoxon Sign-Rank Test where A is the set of discrete actions of MOEX Russia 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(Wilcoxon Sign-Rank Test)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(Inductive Learning (ML)) X S(n):→ (n+6 month) R = 1 0 0 0 1 0 0 0 1

n:Time series to forecast

p:Price signals of MOEX Russia Index stock

j:Nash equilibria

k:Dominated move

a:Best response for target price

 

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

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

Sample Set: Neural Network
Stock/Index: MOEX Russia Index MOEX Russia Index
Time series to forecast n: 06 Sep 2022 for (n+6 month)

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

MOEX Russia Index assigned short-term B3 & long-term B1 forecasted stock rating. We evaluate the prediction models Inductive Learning (ML) with Wilcoxon Sign-Rank Test1,2,3,4 and conclude that the MOEX Russia 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 Sell MOEX Russia Index stock.

Financial State Forecast for MOEX Russia Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*B3B1
Operational Risk 3771
Market Risk6564
Technical Analysis4848
Fundamental Analysis6933
Risk Unsystematic4064

Prediction Confidence Score

Trust metric by Neural Network: 73 out of 100 with 465 signals.

References

  1. Jacobs B, Donkers B, Fok D. 2014. Product Recommendations Based on Latent Purchase Motivations. Rotterdam, Neth.: ERIM
  2. Dudik M, Erhan D, Langford J, Li L. 2014. Doubly robust policy evaluation and optimization. Stat. Sci. 29:485–511
  3. Efron B, Hastie T, Johnstone I, Tibshirani R. 2004. Least angle regression. Ann. Stat. 32:407–99
  4. Bottou L. 2012. Stochastic gradient descent tricks. In Neural Networks: Tricks of the Trade, ed. G Montavon, G Orr, K-R Müller, pp. 421–36. Berlin: Springer
  5. Clements, M. P. D. F. Hendry (1997), "An empirical study of seasonal unit roots in forecasting," International Journal of Forecasting, 13, 341–355.
  6. Mullainathan S, Spiess J. 2017. Machine learning: an applied econometric approach. J. Econ. Perspect. 31:87–106
  7. Arjovsky M, Bottou L. 2017. Towards principled methods for training generative adversarial networks. arXiv:1701.04862 [stat.ML]
Frequently Asked QuestionsQ: What is the prediction methodology for MOEX Russia Index stock?
A: MOEX Russia Index stock prediction methodology: We evaluate the prediction models Inductive Learning (ML) and Wilcoxon Sign-Rank Test
Q: Is MOEX Russia Index stock a buy or sell?
A: The dominant strategy among neural network is to Sell MOEX Russia Index Stock.
Q: Is MOEX Russia Index stock a good investment?
A: The consensus rating for MOEX Russia Index is Sell and assigned short-term B3 & long-term B1 forecasted stock rating.
Q: What is the consensus rating of MOEX Russia Index stock?
A: The consensus rating for MOEX Russia Index is Sell.
Q: What is the prediction period for MOEX Russia Index stock?
A: The prediction period for MOEX Russia Index is (n+6 month)

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