How do you predict if a stock will go up or down? (MOEX Russia Index Stock Prediction)

Short - term price movements, contribute a considerable measure to the unpredictability of the securities exchanges. Accurately predicting the price fluctuations in stock market is a huge economical advantage. The aforementioned task is generally achieved by analyzing the company, this is called as fundamental analysis. Another method, which is undergoing a lot of research work recently, is to create a predictive algorithmic model using machine learning. To train machines to take trading decisions in such short - period of time, the latter method needs to be adopted. Deep Neural Networks, being the most exceptional innovation in Machine Learning, have been utilized to develop a short-term prediction model. We evaluate MOEX Russia Index prediction models with Active Learning (ML) and Independent T-Test1,2,3,4 and conclude that the MOEX Russia Index stock is predictable in the short/long term. According to price forecasts for (n+6 month) period: The dominant strategy among neural network is to Hold MOEX Russia Index stock.


Keywords: MOEX Russia Index, MOEX Russia 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
  2. Stock Forecast Based On a Predictive Algorithm
  3. Operational Risk

MOEX Russia Index Target Price Prediction Modeling Methodology

In recent years there has been a significant growth of interest in the incorporation of historical series of variables related to stock prediction into mathematical models or computational algorithms in order to generate predictions or indications about expected price movements. We consider MOEX Russia Index Stock Decision Process with Independent T-Test where A is the set of discrete actions of MOEX Russia 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(Independent T-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(Active Learning (ML)) X S(n):→ (n+6 month) i = 1 n a i

n:Time series to forecast

p:Price signals of MOEX Russia Index stock

j:Nash equilibria

k:Dominated move

a:Best response for target price

 

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How do AC Investment Research machine learning (predictive) algorithms actually work?

MOEX Russia Index Stock Forecast (Buy or Sell) for (n+6 month)

Sample Set: Neural Network
Stock/Index: MOEX Russia Index MOEX Russia Index
Time series to forecast n: 26 Oct 2022 for (n+6 month)

According to price forecasts for (n+6 month) period: The dominant strategy among neural network is to Hold MOEX Russia 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 MOEX Russia Index

  1. IFRS 15, issued in May 2014, amended paragraphs 3.1.1, 4.2.1, 5.1.1, 5.2.1, 5.7.6, B3.2.13, B5.7.1, C5 and C42 and deleted paragraph C16 and its related heading. Paragraphs 5.1.3 and 5.7.1A, and a definition to Appendix A, were added. An entity shall apply those amendments when it applies IFRS 15.
  2. A regular way purchase or sale gives rise to a fixed price commitment between trade date and settlement date that meets the definition of a derivative. However, because of the short duration of the commitment it is not recognised as a derivative financial instrument. Instead, this Standard provides for special accounting for such regular way contracts (see paragraphs 3.1.2 and B3.1.3–B3.1.6).
  3. To make that determination, an entity must assess whether it expects that the effects of changes in the liability's credit risk will be offset in profit or loss by a change in the fair value of another financial instrument measured at fair value through profit or loss. Such an expectation must be based on an economic relationship between the characteristics of the liability and the characteristics of the other financial instrument.
  4. A regular way purchase or sale gives rise to a fixed price commitment between trade date and settlement date that meets the definition of a derivative. However, because of the short duration of the commitment it is not recognised as a derivative financial instrument. Instead, this Standard provides for special accounting for such regular way contracts (see paragraphs 3.1.2 and B3.1.3–B3.1.6).

*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

MOEX Russia Index assigned short-term Ba3 & long-term Ba2 forecasted stock rating. We evaluate the prediction models Active Learning (ML) with Independent T-Test1,2,3,4 and conclude that the MOEX Russia Index stock is predictable in the short/long term. According to price forecasts for (n+6 month) period: The dominant strategy among neural network is to Hold MOEX Russia Index stock.

Financial State Forecast for MOEX Russia Index MOEX Russia Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*Ba3Ba2
Operational Risk 5347
Market Risk8365
Technical Analysis5662
Fundamental Analysis4573
Risk Unsystematic7888

Prediction Confidence Score

Trust metric by Neural Network: 75 out of 100 with 544 signals.

References

  1. Wu X, Kumar V, Quinlan JR, Ghosh J, Yang Q, et al. 2008. Top 10 algorithms in data mining. Knowl. Inform. Syst. 14:1–37
  2. Lai TL, Robbins H. 1985. Asymptotically efficient adaptive allocation rules. Adv. Appl. Math. 6:4–22
  3. M. J. Hausknecht and P. Stone. Deep recurrent Q-learning for partially observable MDPs. CoRR, abs/1507.06527, 2015
  4. Chipman HA, George EI, McCulloch RE. 2010. Bart: Bayesian additive regression trees. Ann. Appl. Stat. 4:266–98
  5. Jiang N, Li L. 2016. Doubly robust off-policy value evaluation for reinforcement learning. In Proceedings of the 33rd International Conference on Machine Learning, pp. 652–61. La Jolla, CA: Int. Mach. Learn. Soc.
  6. 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
  7. Dudik M, Erhan D, Langford J, Li L. 2014. Doubly robust policy evaluation and optimization. Stat. Sci. 29:485–511
Frequently Asked QuestionsQ: What is the prediction methodology for MOEX Russia Index stock?
A: MOEX Russia Index stock prediction methodology: We evaluate the prediction models Active Learning (ML) and Independent T-Test
Q: Is MOEX Russia Index stock a buy or sell?
A: The dominant strategy among neural network is to Hold MOEX Russia Index Stock.
Q: Is MOEX Russia Index stock a good investment?
A: The consensus rating for MOEX Russia Index is Hold and assigned short-term Ba3 & long-term Ba2 forecasted stock rating.
Q: What is the consensus rating of MOEX Russia Index stock?
A: The consensus rating for MOEX Russia Index is Hold.
Q: What is the prediction period for MOEX Russia Index stock?
A: The prediction period for MOEX Russia Index is (n+6 month)

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