How accurate is machine learning in stock market? (SZSE Component Index Stock Forecast)

Development of linguistic technologies and penetration of social media provide powerful possibilities to investigate users' moods and psychological states of people. In this paper we discussed possibility to improve accuracy of stock market indicators predictions by using data about psychological states of Twitter users. For analysis of psychological states we used lexicon-based approach. We evaluate SZSE Component Index prediction models with Modular Neural Network (Social Media Sentiment Analysis) and Wilcoxon Rank-Sum Test^1,2,3,4 and conclude that the SZSE Component 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 Sell SZSE Component Index stock.

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

Key Points

1. Trading Interaction
2. How do you know when a stock will go up or down?
3. What are main components of Markov decision process?

SZSE Component Index Target Price Prediction Modeling Methodology

Several intelligent data mining approaches, including neural networks, have been widely employed by academics during the last decade. In today's rapidly evolving economy, stock market data prediction and analysis play a significant role. Several non-linear models like neural network, generalized autoregressive conditional heteroskedasticity (GARCH) and autoregressive conditional heteroscedasticity (ARCH) as well as linear models like Auto- Regressive Integrated Moving Average (ARIMA), Moving Average (MA) and Auto Regressive (AR) may be used for stock forecasting. We consider SZSE Component Index Stock Decision Process with Wilcoxon Rank-Sum Test where A is the set of discrete actions of SZSE Component 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 Rank-Sum Test)^5,6,7= $\begin{array}{cccc}{p}_{\mathrm{a}1}& p_{\mathrm{a}2}& \dots & p_{1n}\\ & ⋮\\ p_{j1}& p_{j2}& \dots & p_{jn}\\ & ⋮\\ p_{k1}& p_{k2}& \dots & p_{kn}\\ & ⋮\\ p_{n1}& p_{n2}& \dots & p_{nn}\end{array}$ X R(Modular Neural Network (Social Media Sentiment Analysis)) X S(n):→ (n+16 weeks) $\begin{array}{l}\int r^s\mathrm{rs}\end{array}$

n:Time series to forecast

p:Price signals of SZSE Component 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?

SZSE Component Index Stock Forecast (Buy or Sell) for (n+16 weeks)

Sample Set: Neural Network
Stock/Index: SZSE Component Index SZSE Component Index
Time series to forecast n: 30 Oct 2022 for (n+16 weeks)

According to price forecasts for (n+16 weeks) period: The dominant strategy among neural network is to Sell SZSE Component 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 SZSE Component Index

1. For hedges other than hedges of foreign currency risk, when an entity designates a non-derivative financial asset or a non-derivative financial liability measured at fair value through profit or loss as a hedging instrument, it may only designate the non-derivative financial instrument in its entirety or a proportion of it.
2. When an entity separates the foreign currency basis spread from a financial instrument and excludes it from the designation of that financial instrument as the hedging instrument (see paragraph 6.2.4(b)), the application guidance in paragraphs B6.5.34–B6.5.38 applies to the foreign currency basis spread in the same manner as it is applied to the forward element of a forward contract.
3. Adjusting the hedge ratio by decreasing the volume of the hedging instrument does not affect how the changes in the value of the hedged item are measured. The measurement of the changes in the fair value of the hedging instrument related to the volume that continues to be designated also remains unaffected. However, from the date of rebalancing, the volume by which the hedging instrument was decreased is no longer part of the hedging relationship. For example, if an entity originally hedged the price risk of a commodity using a derivative volume of 100 tonnes as the hedging instrument and reduces that volume by 10 tonnes on rebalancing, a nominal amount of 90 tonnes of the hedging instrument volume would remain (see paragraph B6.5.16 for the consequences for the derivative volume (ie the 10 tonnes) that is no longer a part of the hedging relationship).
4. An entity shall apply Prepayment Features with Negative Compensation (Amendments to IFRS 9) retrospectively in accordance with IAS 8, except as specified in paragraphs 7.2.30–7.2.34

*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

SZSE Component Index assigned short-term Caa2 & long-term B3 forecasted stock rating. We evaluate the prediction models Modular Neural Network (Social Media Sentiment Analysis) with Wilcoxon Rank-Sum Test^1,2,3,4 and conclude that the SZSE Component 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 Sell SZSE Component Index stock.

Financial State Forecast for SZSE Component Index SZSE Component Index Stock Options & Futures

Rating	Short-Term	Long-Term Senior
Outlook*	Caa2	B3
Operational Risk	31	44
Market Risk	36	64
Technical Analysis	43	32
Fundamental Analysis	40	53
Risk Unsystematic	73	35

Prediction Confidence Score

Trust metric by Neural Network: 91 out of 100 with 780 signals.

References

1. R. Rockafellar and S. Uryasev. Conditional value-at-risk for general loss distributions. Journal of Banking and Finance, 26(7):1443 – 1471, 2002
2. R. Sutton, D. McAllester, S. Singh, and Y. Mansour. Policy gradient methods for reinforcement learning with function approximation. In Proceedings of Advances in Neural Information Processing Systems 12, pages 1057–1063, 2000
3. V. Konda and J. Tsitsiklis. Actor-Critic algorithms. In Proceedings of Advances in Neural Information Processing Systems 12, pages 1008–1014, 2000
4. Ruiz FJ, Athey S, Blei DM. 2017. SHOPPER: a probabilistic model of consumer choice with substitutes and complements. arXiv:1711.03560 [stat.ML]
5. Banerjee, A., J. J. Dolado, J. W. Galbraith, D. F. Hendry (1993), Co-integration, Error-correction, and the Econometric Analysis of Non-stationary Data. Oxford: Oxford University Press.
6. A. Eck, L. Soh, S. Devlin, and D. Kudenko. Potential-based reward shaping for finite horizon online POMDP planning. Autonomous Agents and Multi-Agent Systems, 30(3):403–445, 2016
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 Questions

Q: What is the prediction methodology for SZSE Component Index stock?
A: SZSE Component Index stock prediction methodology: We evaluate the prediction models Modular Neural Network (Social Media Sentiment Analysis) and Wilcoxon Rank-Sum Test
Q: Is SZSE Component Index stock a buy or sell?
A: The dominant strategy among neural network is to Sell SZSE Component Index Stock.
Q: Is SZSE Component Index stock a good investment?
A: The consensus rating for SZSE Component Index is Sell and assigned short-term Caa2 & long-term B3 forecasted stock rating.
Q: What is the consensus rating of SZSE Component Index stock?
A: The consensus rating for SZSE Component Index is Sell.
Q: What is the prediction period for SZSE Component Index stock?
A: The prediction period for SZSE Component Index is (n+16 weeks)

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