How Do You Pick a Stock? (S&P/TSX Composite Index Stock Forecast)

The categorization of high dimensional data present a fascinating challenge to machine learning models as frequent number of highly correlated dimensions or attributes can affect the accuracy of classification model. In this paper, the problem of high dimensionality of stock exchange is investigated to predict the market trends by applying the principal component analysis (PCA) with linear regression. PCA can help to improve the predictive performance of machine learning methods while reducing the redundancy among the data. We evaluate S&P/TSX Composite Index prediction models with Modular Neural Network (Financial Sentiment Analysis) and Wilcoxon Rank-Sum Test^1,2,3,4 and conclude that the S&P/TSX Composite Index 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 S&P/TSX Composite Index stock.

Keywords: S&P/TSX Composite Index, S&P/TSX Composite Index, stock forecast, machine learning based prediction, risk rating, buy-sell behaviour, stock analysis, target price analysis, options and futures.

Key Points

1. Understanding Buy, Sell, and Hold Ratings
2. How do you pick a stock?
3. Can stock prices be predicted?

S&P/TSX Composite Index Target Price Prediction Modeling Methodology

A speculator on a Stock Market, aside from having money to spare, needs at least one other thing — a means of producing accurate and understandable predictions ahead of others in the Market, so that a tactical and price advantage can be gained. This work demonstrates that it is possible to predict one such Market to a high degree of accuracy. We consider S&P/TSX Composite Index Stock Decision Process with Wilcoxon Rank-Sum Test where A is the set of discrete actions of S&P/TSX Composite 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 (Financial Sentiment Analysis)) X S(n):→ (n+3 month) $\begin{array}{l}\int e^x\mathrm{rx}\end{array}$

n:Time series to forecast

p:Price signals of S&P/TSX Composite 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?

S&P/TSX Composite Index Stock Forecast (Buy or Sell) for (n+3 month)

Sample Set: Neural Network
Stock/Index: S&P/TSX Composite Index S&P/TSX Composite Index
Time series to forecast n: 04 Oct 2022 for (n+3 month)

According to price forecasts for (n+3 month) period: The dominant strategy among neural network is to Hold S&P/TSX Composite 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%

Conclusions

S&P/TSX Composite Index assigned short-term B3 & long-term Ba3 forecasted stock rating. We evaluate the prediction models Modular Neural Network (Financial Sentiment Analysis) with Wilcoxon Rank-Sum Test^1,2,3,4 and conclude that the S&P/TSX Composite Index 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 S&P/TSX Composite Index stock.

Financial State Forecast for S&P/TSX Composite Index Stock Options & Futures

Rating	Short-Term	Long-Term Senior
Outlook*	B3	Ba3
Operational Risk	39	74
Market Risk	39	72
Technical Analysis	51	89
Fundamental Analysis	84	39
Risk Unsystematic	43	54

Prediction Confidence Score

Trust metric by Neural Network: 85 out of 100 with 745 signals.

References

1. Van der Vaart AW. 2000. Asymptotic Statistics. Cambridge, UK: Cambridge Univ. Press
2. Canova, F. B. E. Hansen (1995), "Are seasonal patterns constant over time? A test for seasonal stability," Journal of Business and Economic Statistics, 13, 237–252.
3. Chen X. 2007. Large sample sieve estimation of semi-nonparametric models. In Handbook of Econometrics, Vol. 6B, ed. JJ Heckman, EE Learner, pp. 5549–632. Amsterdam: Elsevier
4. M. Sobel. The variance of discounted Markov decision processes. Applied Probability, pages 794–802, 1982
5. L. Prashanth and M. Ghavamzadeh. Actor-critic algorithms for risk-sensitive MDPs. In Proceedings of Advances in Neural Information Processing Systems 26, pages 252–260, 2013.
6. E. Altman. Constrained Markov decision processes, volume 7. CRC Press, 1999
7. M. J. Hausknecht and P. Stone. Deep recurrent Q-learning for partially observable MDPs. CoRR, abs/1507.06527, 2015

Frequently Asked Questions

Q: What is the prediction methodology for S&P/TSX Composite Index stock?
A: S&P/TSX Composite Index stock prediction methodology: We evaluate the prediction models Modular Neural Network (Financial Sentiment Analysis) and Wilcoxon Rank-Sum Test
Q: Is S&P/TSX Composite Index stock a buy or sell?
A: The dominant strategy among neural network is to Hold S&P/TSX Composite Index Stock.
Q: Is S&P/TSX Composite Index stock a good investment?
A: The consensus rating for S&P/TSX Composite Index is Hold and assigned short-term B3 & long-term Ba3 forecasted stock rating.
Q: What is the consensus rating of S&P/TSX Composite Index stock?
A: The consensus rating for S&P/TSX Composite Index is Hold.
Q: What is the prediction period for S&P/TSX Composite Index stock?
A: The prediction period for S&P/TSX Composite Index is (n+3 month)

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