Modelling A.I. in Economics

Can we predict stock market using machine learning? (ALGM Stock Forecast)

As stock data is characterized by highly noisy and non-stationary, stock price prediction is regarded as a knotty problem. In this paper, we propose new two-stage ensemble models by combining empirical mode decomposition (EMD) (or variational mode decomposition (VMD)), extreme learning machine (ELM) and improved harmony search (IHS) algorithm for stock price prediction, which are respectively named EMD–ELM–IHS and VMD–ELM–IHS. We evaluate Allegro MicroSystems prediction models with Transductive Learning (ML) and Pearson Correlation1,2,3,4 and conclude that the ALGM 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 Hold ALGM stock.


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

Key Points

  1. Which neural network is best for prediction?
  2. What is neural prediction?
  3. Is it better to buy and sell or hold?

ALGM Target Price Prediction Modeling Methodology

Stock prediction with data mining techniques is one of the most important issues in finance being investigated by researchers across the globe. Data mining techniques can be used extensively in the financial markets to help investors make qualitative decision. One of the techniques is artificial neural network (ANN). However, in the application of ANN for predicting the financial market the use of technical analysis variables for stock prediction is predominant. In this paper, we present a hybridized approach which combines the use of the variables of technical and fundamental analysis of stock market indicators for prediction of future price of stock in order to improve on the existing approaches. We consider Allegro MicroSystems Stock Decision Process with Pearson Correlation where A is the set of discrete actions of ALGM 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(Pearson Correlation)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(Transductive Learning (ML)) X S(n):→ (n+6 month) i = 1 n s i

n:Time series to forecast

p:Price signals of ALGM 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?

ALGM Stock Forecast (Buy or Sell) for (n+6 month)

Sample Set: Neural Network
Stock/Index: ALGM Allegro MicroSystems
Time series to forecast n: 16 Oct 2022 for (n+6 month)

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

Allegro MicroSystems assigned short-term B3 & long-term B1 forecasted stock rating. We evaluate the prediction models Transductive Learning (ML) with Pearson Correlation1,2,3,4 and conclude that the ALGM 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 Hold ALGM stock.

Financial State Forecast for ALGM Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*B3B1
Operational Risk 5471
Market Risk4134
Technical Analysis5072
Fundamental Analysis6380
Risk Unsystematic3332

Prediction Confidence Score

Trust metric by Neural Network: 79 out of 100 with 844 signals.

References

  1. E. Altman, K. Avrachenkov, and R. N ́u ̃nez-Queija. Perturbation analysis for denumerable Markov chains with application to queueing models. Advances in Applied Probability, pages 839–853, 2004
  2. Holland PW. 1986. Statistics and causal inference. J. Am. Stat. Assoc. 81:945–60
  3. Mikolov T, Sutskever I, Chen K, Corrado GS, Dean J. 2013b. Distributed representations of words and phrases and their compositionality. In Advances in Neural Information Processing Systems, Vol. 26, ed. Z Ghahramani, M Welling, C Cortes, ND Lawrence, KQ Weinberger, pp. 3111–19. San Diego, CA: Neural Inf. Process. Syst. Found.
  4. Y. Le Tallec. Robust, risk-sensitive, and data-driven control of Markov decision processes. PhD thesis, Massachusetts Institute of Technology, 2007.
  5. D. Bertsekas. Nonlinear programming. Athena Scientific, 1999.
  6. Matzkin RL. 1994. Restrictions of economic theory in nonparametric methods. In Handbook of Econometrics, Vol. 4, ed. R Engle, D McFadden, pp. 2523–58. Amsterdam: Elsevier
  7. F. A. Oliehoek and C. Amato. A Concise Introduction to Decentralized POMDPs. SpringerBriefs in Intelligent Systems. Springer, 2016
Frequently Asked QuestionsQ: What is the prediction methodology for ALGM stock?
A: ALGM stock prediction methodology: We evaluate the prediction models Transductive Learning (ML) and Pearson Correlation
Q: Is ALGM stock a buy or sell?
A: The dominant strategy among neural network is to Hold ALGM Stock.
Q: Is Allegro MicroSystems stock a good investment?
A: The consensus rating for Allegro MicroSystems is Hold and assigned short-term B3 & long-term B1 forecasted stock rating.
Q: What is the consensus rating of ALGM stock?
A: The consensus rating for ALGM is Hold.
Q: What is the prediction period for ALGM stock?
A: The prediction period for ALGM is (n+6 month)

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