Modelling A.I. in Economics

How do you know when a stock will go up or down? (AFL Stock Forecast) (Forecast)

Social media comments have in the past had an instantaneous effect on stock markets. This paper investigates the sentiments expressed on the social media platform Twitter and their pr edictive impact on the Stock Market. We evaluate Aflac prediction models with Modular Neural Network (Market News Sentiment Analysis) and Sign Test1,2,3,4 and conclude that the AFL stock is predictable in the short/long term. According to price forecasts for (n+3 month) period: The dominant strategy among neural network is to Hold AFL stock.


Keywords: AFL, Aflac, 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. How do predictive algorithms actually work?
  3. Can machine learning predict?

AFL Target Price Prediction Modeling Methodology

Understanding the pattern of financial activities and predicting their development and changes are research hotspots in academic and financial circles. Because financial data contain complex, incomplete and fuzzy information, predicting their development trends is an extremely difficult challenge. Fluctuations in financial data depend on a myriad of correlated constantly changing factors. Therefore, predicting and analysing financial data are a nonlinear, time-dependent problem. Deep neural networks (DNNs) combine the advantages of deep learning (DL) and neural networks and can be used to solve nonlinear problems more satisfactorily compared to conventional machine learning algorithms. We consider Aflac Stock Decision Process with Sign Test where A is the set of discrete actions of AFL 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(Sign Test)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(Modular Neural Network (Market News Sentiment Analysis)) X S(n):→ (n+3 month) e x rx

n:Time series to forecast

p:Price signals of AFL 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?

AFL Stock Forecast (Buy or Sell) for (n+3 month)

Sample Set: Neural Network
Stock/Index: AFL Aflac
Time series to forecast n: 30 Oct 2022 for (n+3 month)

According to price forecasts for (n+3 month) period: The dominant strategy among neural network is to Hold AFL 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 Aflac

  1. The accounting for the time value of options in accordance with paragraph 6.5.15 applies only to the extent that the time value relates to the hedged item (aligned time value). The time value of an option relates to the hedged item if the critical terms of the option (such as the nominal amount, life and underlying) are aligned with the hedged item. Hence, if the critical terms of the option and the hedged item are not fully aligned, an entity shall determine the aligned time value, ie how much of the time value included in the premium (actual time value) relates to the hedged item (and therefore should be treated in accordance with paragraph 6.5.15). An entity determines the aligned time value using the valuation of the option that would have critical terms that perfectly match the hedged item.
  2. An entity shall apply this Standard for annual periods beginning on or after 1 January 2018. Earlier application is permitted. If an entity elects to apply this Standard early, it must disclose that fact and apply all of the requirements in this Standard at the same time (but see also paragraphs 7.1.2, 7.2.21 and 7.3.2). It shall also, at the same time, apply the amendments in Appendix C.
  3. When an entity discontinues measuring the financial instrument that gives rise to the credit risk, or a proportion of that financial instrument, at fair value through profit or loss, that financial instrument's fair value at the date of discontinuation becomes its new carrying amount. Subsequently, the same measurement that was used before designating the financial instrument at fair value through profit or loss shall be applied (including amortisation that results from the new carrying amount). For example, a financial asset that had originally been classified as measured at amortised cost would revert to that measurement and its effective interest rate would be recalculated based on its new gross carrying amount on the date of discontinuing measurement at fair value through profit or loss.
  4. If there is a hedging relationship between a non-derivative monetary asset and a non-derivative monetary liability, changes in the foreign currency component of those financial instruments are presented in profit or loss.

*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

Aflac assigned short-term B1 & long-term Ba2 forecasted stock rating. We evaluate the prediction models Modular Neural Network (Market News Sentiment Analysis) with Sign Test1,2,3,4 and conclude that the AFL stock is predictable in the short/long term. According to price forecasts for (n+3 month) period: The dominant strategy among neural network is to Hold AFL stock.

Financial State Forecast for AFL Aflac Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*B1Ba2
Operational Risk 3649
Market Risk7444
Technical Analysis6082
Fundamental Analysis5983
Risk Unsystematic7983

Prediction Confidence Score

Trust metric by Neural Network: 87 out of 100 with 772 signals.

References

  1. Bottomley, P. R. Fildes (1998), "The role of prices in models of innovation diffusion," Journal of Forecasting, 17, 539–555.
  2. Ashley, R. (1988), "On the relative worth of recent macroeconomic forecasts," International Journal of Forecasting, 4, 363–376.
  3. Bickel P, Klaassen C, Ritov Y, Wellner J. 1998. Efficient and Adaptive Estimation for Semiparametric Models. Berlin: Springer
  4. Hartford J, Lewis G, Taddy M. 2016. Counterfactual prediction with deep instrumental variables networks. arXiv:1612.09596 [stat.AP]
  5. A. Tamar, Y. Glassner, and S. Mannor. Policy gradients beyond expectations: Conditional value-at-risk. In AAAI, 2015
  6. Hastie T, Tibshirani R, Friedman J. 2009. The Elements of Statistical Learning. Berlin: Springer
  7. V. Konda and J. Tsitsiklis. Actor-Critic algorithms. In Proceedings of Advances in Neural Information Processing Systems 12, pages 1008–1014, 2000
Frequently Asked QuestionsQ: What is the prediction methodology for AFL stock?
A: AFL stock prediction methodology: We evaluate the prediction models Modular Neural Network (Market News Sentiment Analysis) and Sign Test
Q: Is AFL stock a buy or sell?
A: The dominant strategy among neural network is to Hold AFL Stock.
Q: Is Aflac stock a good investment?
A: The consensus rating for Aflac is Hold and assigned short-term B1 & long-term Ba2 forecasted stock rating.
Q: What is the consensus rating of AFL stock?
A: The consensus rating for AFL is Hold.
Q: What is the prediction period for AFL stock?
A: The prediction period for AFL is (n+3 month)

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