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Can neural networks predict stock market? (PSEi Composite Index Stock Forecast)

This paper proposes genetic algorithms (GAs) approach to feature discretization and the determination of connection weights for artificial neural networks (ANNs) to predict the stock price index. Previous research proposed many hybrid models of ANN and GA for the method of training the network, feature subset selection, and topology optimization. We evaluate PSEi Composite Index prediction models with Active Learning (ML) and Chi-Square1,2,3,4 and conclude that the PSEi Composite 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 PSEi Composite Index stock.


Keywords: PSEi Composite Index, PSEi Composite 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. Can machine learning predict?
  3. Can neural networks predict stock market?

PSEi Composite Index Target Price Prediction Modeling Methodology

Three networks are compared for low false alarm stock trend predictions. Short-term trends, particularly attractive for neural network analysis, can be used profitably in scenarios such as option trading, but only with significant risk. Therefore, we focus on limiting false alarms, which improves the risk/reward ratio by preventing losses. To predict stock trends, we exploit time delay, recurrent, and probabilistic neural networks (TDNN, RNN, and PNN, respectively), utilizing conjugate gradient and multistream extended Kalman filter training for TDNN and RNN. We consider PSEi Composite Index Stock Decision Process with Chi-Square where A is the set of discrete actions of PSEi Composite 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(Chi-Square)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(Active Learning (ML)) X S(n):→ (n+16 weeks) S = s 1 s 2 s 3

n:Time series to forecast

p:Price signals of PSEi Composite 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?

PSEi Composite Index Stock Forecast (Buy or Sell) for (n+16 weeks)

Sample Set: Neural Network
Stock/Index: PSEi Composite Index PSEi Composite Index
Time series to forecast n: 11 Oct 2022 for (n+16 weeks)

According to price forecasts for (n+16 weeks) period: The dominant strategy among neural network is to Hold PSEi Composite 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

PSEi Composite Index assigned short-term Ba3 & long-term B2 forecasted stock rating. We evaluate the prediction models Active Learning (ML) with Chi-Square1,2,3,4 and conclude that the PSEi Composite 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 PSEi Composite Index stock.

Financial State Forecast for PSEi Composite Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*Ba3B2
Operational Risk 8039
Market Risk4348
Technical Analysis6434
Fundamental Analysis8280
Risk Unsystematic4654

Prediction Confidence Score

Trust metric by Neural Network: 84 out of 100 with 597 signals.

References

  1. Imbens GW, Rubin DB. 2015. Causal Inference in Statistics, Social, and Biomedical Sciences. Cambridge, UK: Cambridge Univ. Press
  2. Andrews, D. W. K. (1993), "Tests for parameter instability and structural change with unknown change point," Econometrica, 61, 821–856.
  3. C. Szepesvári. Algorithms for Reinforcement Learning. Synthesis Lectures on Artificial Intelligence and Machine Learning. Morgan & Claypool Publishers, 2010
  4. 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
  5. Breiman L, Friedman J, Stone CJ, Olshen RA. 1984. Classification and Regression Trees. Boca Raton, FL: CRC Press
  6. A. Tamar and S. Mannor. Variance adjusted actor critic algorithms. arXiv preprint arXiv:1310.3697, 2013.
  7. Belloni A, Chernozhukov V, Hansen C. 2014. High-dimensional methods and inference on structural and treatment effects. J. Econ. Perspect. 28:29–50
Frequently Asked QuestionsQ: What is the prediction methodology for PSEi Composite Index stock?
A: PSEi Composite Index stock prediction methodology: We evaluate the prediction models Active Learning (ML) and Chi-Square
Q: Is PSEi Composite Index stock a buy or sell?
A: The dominant strategy among neural network is to Hold PSEi Composite Index Stock.
Q: Is PSEi Composite Index stock a good investment?
A: The consensus rating for PSEi Composite Index is Hold and assigned short-term Ba3 & long-term B2 forecasted stock rating.
Q: What is the consensus rating of PSEi Composite Index stock?
A: The consensus rating for PSEi Composite Index is Hold.
Q: What is the prediction period for PSEi Composite Index stock?
A: The prediction period for PSEi Composite Index is (n+16 weeks)

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