This study aims to predict the direction of stock prices by integrating time-varying effective transfer entropy (ETE) and various machine learning algorithms. At first, we explore that the ETE based on 3 and 6 months moving windows can be regarded as the market explanatory variable by analyzing the association between the financial crises and Granger-causal relationships among the stocks. We evaluate FTSE China A50 Index prediction models with Ensemble Learning (ML) and Pearson Correlation1,2,3,4 and conclude that the FTSE China A50 Index stock is predictable in the short/long term. According to price forecasts for (n+8 weeks) period: The dominant strategy among neural network is to Buy FTSE China A50 Index stock.

Keywords: FTSE China A50 Index, FTSE China A50 Index, stock forecast, machine learning based prediction, risk rating, buy-sell behaviour, stock analysis, target price analysis, options and futures.

## Key Points

1. Market Signals ## FTSE China A50 Index Target Price Prediction Modeling Methodology

Time series forecasting has been widely used to determine the future prices of stock, and the analysis and modeling of finance time series importantly guide investors' decisions and trades. In addition, in a dynamic environment such as the stock market, the nonlinearity of the time series is pronounced, immediately affecting the efficacy of stock price forecasts. Thus, this paper proposes an intelligent time series prediction system that uses sliding-window metaheuristic optimization for the purpose of predicting the stock prices. We consider FTSE China A50 Index Stock Decision Process with Pearson Correlation where A is the set of discrete actions of FTSE China A50 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(Pearson Correlation)5,6,7= $\begin{array}{cccc}{p}_{a1}& {p}_{a2}& \dots & {p}_{1n}\\ & ⋮\\ {p}_{j1}& {p}_{j2}& \dots & {p}_{jn}\\ & ⋮\\ {p}_{k1}& {p}_{k2}& \dots & {p}_{kn}\\ & ⋮\\ {p}_{n1}& {p}_{n2}& \dots & {p}_{nn}\end{array}$ X R(Ensemble Learning (ML)) X S(n):→ (n+8 weeks) $∑ i = 1 n a i$

n:Time series to forecast

p:Price signals of FTSE China A50 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?

## FTSE China A50 Index Stock Forecast (Buy or Sell) for (n+8 weeks)

Sample Set: Neural Network
Stock/Index: FTSE China A50 Index FTSE China A50 Index
Time series to forecast n: 27 Oct 2022 for (n+8 weeks)

According to price forecasts for (n+8 weeks) period: The dominant strategy among neural network is to Buy FTSE China A50 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%

## Adjusted IFRS* Prediction Methods for FTSE China A50 Index

1. An entity can also designate only changes in the cash flows or fair value of a hedged item above or below a specified price or other variable (a 'one-sided risk'). The intrinsic value of a purchased option hedging instrument (assuming that it has the same principal terms as the designated risk), but not its time value, reflects a one-sided risk in a hedged item. For example, an entity can designate the variability of future cash flow outcomes resulting from a price increase of a forecast commodity purchase. In such a situation, the entity designates only cash flow losses that result from an increase in the price above the specified level. The hedged risk does not include the time value of a purchased option, because the time value is not a component of the forecast transaction that affects profit or loss.
2. If, in applying paragraph 7.2.44, an entity reinstates a discontinued hedging relationship, the entity shall read references in paragraphs 6.9.11 and 6.9.12 to the date the alternative benchmark rate is designated as a noncontractually specified risk component for the first time as referring to the date of initial application of these amendments (ie the 24-month period for that alternative benchmark rate designated as a non-contractually specified risk component begins from the date of initial application of these amendments).
3. In accordance with the hedge effectiveness requirements, the hedge ratio of the hedging relationship must be the same as that resulting from the quantity of the hedged item that the entity actually hedges and the quantity of the hedging instrument that the entity actually uses to hedge that quantity of hedged item. Hence, if an entity hedges less than 100 per cent of the exposure on an item, such as 85 per cent, it shall designate the hedging relationship using a hedge ratio that is the same as that resulting from 85 per cent of the exposure and the quantity of the hedging instrument that the entity actually uses to hedge those 85 per cent. Similarly, if, for example, an entity hedges an exposure using a nominal amount of 40 units of a financial instrument, it shall designate the hedging relationship using a hedge ratio that is the same as that resulting from that quantity of 40 units (ie the entity must not use a hedge ratio based on a higher quantity of units that it might hold in total or a lower quantity of units) and the quantity of the hedged item that it actually hedges with those 40 units.
4. Changes in market conditions that give rise to market risk include changes in a benchmark interest rate, the price of another entity's financial instrument, a commodity price, a foreign exchange rate or an index of prices or rates.

*International Financial Reporting Standards (IFRS) are a set of accounting rules for the financial statements of public companies that are intended to make them consistent, transparent, and easily comparable around the world.

## Conclusions

FTSE China A50 Index assigned short-term B2 & long-term B1 forecasted stock rating. We evaluate the prediction models Ensemble Learning (ML) with Pearson Correlation1,2,3,4 and conclude that the FTSE China A50 Index stock is predictable in the short/long term. According to price forecasts for (n+8 weeks) period: The dominant strategy among neural network is to Buy FTSE China A50 Index stock.

### Financial State Forecast for FTSE China A50 Index FTSE China A50 Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*B2B1
Operational Risk 5861
Market Risk5873
Technical Analysis6941
Fundamental Analysis3844
Risk Unsystematic5271

### Prediction Confidence Score

Trust metric by Neural Network: 80 out of 100 with 810 signals.

## References

1. Dimakopoulou M, Zhou Z, Athey S, Imbens G. 2018. Balanced linear contextual bandits. arXiv:1812.06227 [cs.LG]
2. Breiman L, Friedman J, Stone CJ, Olshen RA. 1984. Classification and Regression Trees. Boca Raton, FL: CRC Press
3. D. Bertsekas. Nonlinear programming. Athena Scientific, 1999.
4. Akgiray, V. (1989), "Conditional heteroscedasticity in time series of stock returns: Evidence and forecasts," Journal of Business, 62, 55–80.
5. Jacobs B, Donkers B, Fok D. 2014. Product Recommendations Based on Latent Purchase Motivations. Rotterdam, Neth.: ERIM
6. Breiman L. 2001a. Random forests. Mach. Learn. 45:5–32
7. Brailsford, T.J. R.W. Faff (1996), "An evaluation of volatility forecasting techniques," Journal of Banking Finance, 20, 419–438.
Frequently Asked QuestionsQ: What is the prediction methodology for FTSE China A50 Index stock?
A: FTSE China A50 Index stock prediction methodology: We evaluate the prediction models Ensemble Learning (ML) and Pearson Correlation
Q: Is FTSE China A50 Index stock a buy or sell?
A: The dominant strategy among neural network is to Buy FTSE China A50 Index Stock.
Q: Is FTSE China A50 Index stock a good investment?
A: The consensus rating for FTSE China A50 Index is Buy and assigned short-term B2 & long-term B1 forecasted stock rating.
Q: What is the consensus rating of FTSE China A50 Index stock?
A: The consensus rating for FTSE China A50 Index is Buy.
Q: What is the prediction period for FTSE China A50 Index stock?
A: The prediction period for FTSE China A50 Index is (n+8 weeks)