In this paper, we propose a robust and novel hybrid model for prediction of stock returns. The proposed model is constituted of two linear models: autoregressive moving average model, exponential smoothing model and a non-linear model: recurrent neural network. Training data for recurrent neural network is generated by a new regression model. Recurrent neural network produces satisfactory predictions as compared to linear models. With the goal to further improve the accuracy of predictions, the proposed hybrid prediction model merges predictions obtained from these three prediction based models. We evaluate Citigroup prediction models with Modular Neural Network (Market News Sentiment Analysis) and Chi-Square1,2,3,4 and conclude that the C stock is predictable in the short/long term. According to price forecasts for (n+1 year) period: The dominant strategy among neural network is to Buy C stock.

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

Key Points

1. Can stock prices be predicted?
2. How do you know when a stock will go up or down?
3. Stock Rating

C Target Price Prediction Modeling Methodology

In this paper, we introduce a new prediction model depend on Bidirectional Gated Recurrent Unit (BGRU). Our predictive model relies on both online financial news and historical stock prices data to predict the stock movements in the future. We consider Citigroup Stock Decision Process with Chi-Square where A is the set of discrete actions of C 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= $\begin{array}{cccc}{p}_{a1}& {p}_{a2}& \dots & {p}_{1n}\\ & ⋮\\ {p}_{j1}& {p}_{j2}& \dots & {p}_{jn}\\ & ⋮\\ {p}_{k1}& {p}_{k2}& \dots & {p}_{kn}\\ & ⋮\\ {p}_{n1}& {p}_{n2}& \dots & {p}_{nn}\end{array}$ X R(Modular Neural Network (Market News Sentiment Analysis)) X S(n):→ (n+1 year) $\stackrel{\to }{R}=\left({r}_{1},{r}_{2},{r}_{3}\right)$

n:Time series to forecast

p:Price signals of C 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?

C Stock Forecast (Buy or Sell) for (n+1 year)

Sample Set: Neural Network
Stock/Index: C Citigroup
Time series to forecast n: 18 Oct 2022 for (n+1 year)

According to price forecasts for (n+1 year) period: The dominant strategy among neural network is to Buy C 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

Citigroup assigned short-term B2 & long-term B1 forecasted stock rating. We evaluate the prediction models Modular Neural Network (Market News Sentiment Analysis) with Chi-Square1,2,3,4 and conclude that the C stock is predictable in the short/long term. According to price forecasts for (n+1 year) period: The dominant strategy among neural network is to Buy C stock.

Financial State Forecast for C Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*B2B1
Operational Risk 7144
Market Risk7753
Technical Analysis5087
Fundamental Analysis4169
Risk Unsystematic4933

Prediction Confidence Score

Trust metric by Neural Network: 75 out of 100 with 795 signals.

References

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2. Dietterich TG. 2000. Ensemble methods in machine learning. In Multiple Classifier Systems: First International Workshop, Cagliari, Italy, June 21–23, pp. 1–15. Berlin: Springer
3. Bewley, R. M. Yang (1998), "On the size and power of system tests for cointegration," Review of Economics and Statistics, 80, 675–679.
4. K. Boda and J. Filar. Time consistent dynamic risk measures. Mathematical Methods of Operations Research, 63(1):169–186, 2006
5. M. Babes, E. M. de Cote, and M. L. Littman. Social reward shaping in the prisoner's dilemma. In 7th International Joint Conference on Autonomous Agents and Multiagent Systems (AAMAS 2008), Estoril, Portugal, May 12-16, 2008, Volume 3, pages 1389–1392, 2008.
6. Mikolov T, Chen K, Corrado GS, Dean J. 2013a. Efficient estimation of word representations in vector space. arXiv:1301.3781 [cs.CL]
7. Belsley, D. A. (1988), "Modelling and forecast reliability," International Journal of Forecasting, 4, 427–447.
Frequently Asked QuestionsQ: What is the prediction methodology for C stock?
A: C stock prediction methodology: We evaluate the prediction models Modular Neural Network (Market News Sentiment Analysis) and Chi-Square
Q: Is C stock a buy or sell?
A: The dominant strategy among neural network is to Buy C Stock.
Q: Is Citigroup stock a good investment?
A: The consensus rating for Citigroup is Buy and assigned short-term B2 & long-term B1 forecasted stock rating.
Q: What is the consensus rating of C stock?
A: The consensus rating for C is Buy.
Q: What is the prediction period for C stock?
A: The prediction period for C is (n+1 year)