Modelling A.I. in Economics

Buy, Sell, or Hold? (S&P/ASX 200 Index Stock Forecast)

Forecasting stock exchange rates is an important financial problem that is receiving increasing attention. During the last few years, a number of neural network models and hybrid models have been proposed for obtaining accurate prediction results, in an attempt to outperform the traditional linear and nonlinear approaches. This paper evaluates the effectiveness of neural network models which are known to be dynamic and effective in stock-market predictions. We evaluate S&P/ASX 200 Index prediction models with Multi-Task Learning (ML) and Stepwise Regression1,2,3,4 and conclude that the S&P/ASX 200 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 S&P/ASX 200 Index stock.


Keywords: S&P/ASX 200 Index, S&P/ASX 200 Index, stock forecast, machine learning based prediction, risk rating, buy-sell behaviour, stock analysis, target price analysis, options and futures.

Key Points

  1. Can neural networks predict stock market?
  2. Can stock prices be predicted?
  3. What is prediction in deep learning?

S&P/ASX 200 Index Target Price Prediction Modeling Methodology

This paper addresses problem of predicting direction of movement of stock and stock price index. The study compares four prediction models, Artificial Neural Network (ANN), Support Vector Machine (SVM), random forest and naive-Bayes with two approaches for input to these models. We consider S&P/ASX 200 Index Stock Decision Process with Stepwise Regression where A is the set of discrete actions of S&P/ASX 200 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(Multi-Task Learning (ML)) X S(n):→ (n+6 month) S = s 1 s 2 s 3

n:Time series to forecast

p:Price signals of S&P/ASX 200 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?

S&P/ASX 200 Index Stock Forecast (Buy or Sell) for (n+6 month)

Sample Set: Neural Network
Stock/Index: S&P/ASX 200 Index S&P/ASX 200 Index
Time series to forecast n: 04 Oct 2022 for (n+6 month)

According to price forecasts for (n+6 month) period: The dominant strategy among neural network is to Sell S&P/ASX 200 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

S&P/ASX 200 Index assigned short-term Ba3 & long-term B1 forecasted stock rating. We evaluate the prediction models Multi-Task Learning (ML) with Stepwise Regression1,2,3,4 and conclude that the S&P/ASX 200 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 S&P/ASX 200 Index stock.

Financial State Forecast for S&P/ASX 200 Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*Ba3B1
Operational Risk 8284
Market Risk5159
Technical Analysis5839
Fundamental Analysis7636
Risk Unsystematic6167

Prediction Confidence Score

Trust metric by Neural Network: 82 out of 100 with 631 signals.

References

  1. F. A. Oliehoek, M. T. J. Spaan, and N. A. Vlassis. Optimal and approximate q-value functions for decentralized pomdps. J. Artif. Intell. Res. (JAIR), 32:289–353, 2008
  2. V. Mnih, K. Kavukcuoglu, D. Silver, A. Rusu, J. Veness, M. Bellemare, A. Graves, M. Riedmiller, A. Fidjeland, G. Ostrovski, S. Petersen, C. Beattie, A. Sadik, I. Antonoglou, H. King, D. Kumaran, D. Wierstra, S. Legg, and D. Hassabis. Human-level control through deep reinforcement learning. Nature, 518(7540):529–533, 02 2015.
  3. Hastie T, Tibshirani R, Friedman J. 2009. The Elements of Statistical Learning. Berlin: Springer
  4. Dimakopoulou M, Zhou Z, Athey S, Imbens G. 2018. Balanced linear contextual bandits. arXiv:1812.06227 [cs.LG]
  5. Mikolov T, Yih W, Zweig G. 2013c. Linguistic regularities in continuous space word representations. In Pro- ceedings of the 2013 Conference of the North American Chapter of the Association for Computational Linguistics: Human Language Technologies, pp. 746–51. New York: Assoc. Comput. Linguist.
  6. Hill JL. 2011. Bayesian nonparametric modeling for causal inference. J. Comput. Graph. Stat. 20:217–40
  7. Dimakopoulou M, Zhou Z, Athey S, Imbens G. 2018. Balanced linear contextual bandits. arXiv:1812.06227 [cs.LG]
Frequently Asked QuestionsQ: What is the prediction methodology for S&P/ASX 200 Index stock?
A: S&P/ASX 200 Index stock prediction methodology: We evaluate the prediction models Multi-Task Learning (ML) and Stepwise Regression
Q: Is S&P/ASX 200 Index stock a buy or sell?
A: The dominant strategy among neural network is to Sell S&P/ASX 200 Index Stock.
Q: Is S&P/ASX 200 Index stock a good investment?
A: The consensus rating for S&P/ASX 200 Index is Sell and assigned short-term Ba3 & long-term B1 forecasted stock rating.
Q: What is the consensus rating of S&P/ASX 200 Index stock?
A: The consensus rating for S&P/ASX 200 Index is Sell.
Q: What is the prediction period for S&P/ASX 200 Index stock?
A: The prediction period for S&P/ASX 200 Index is (n+6 month)



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