Machine Learning stock prediction: Bovespa Index Stock Prediction

Stock market predictions are one of the challenging tasks for financial investors across the globe. This challenge is due to the uncertainty and volatility of the stock prices in the market. Due to technology and globalization of business and financial markets it is important to predict the stock prices more quickly and accurately. Last few years there has been much improvement in the field of Neural Network (NN) applications in business and financial markets. Artificial Neural Network (ANN) methods are mostly implemented and play a vital role in decision making for stock market predictions. We evaluate Bovespa Index prediction models with Deductive Inference (ML) and Independent T-Test^1,2,3,4 and conclude that the Bovespa Index 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 Hold Bovespa Index stock.

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

Key Points

1. Buy, Sell and Hold Signals
2. Should I buy stocks now or wait amid such uncertainty?
3. Decision Making

Bovespa Index Target Price Prediction Modeling Methodology

Investors raise profit from stock market by maximising gains and minimising loses. The profit is difficult to raise because of the volatile nature of stock market prices. Predictive modelling allows investors to make informed decisions. We consider Bovespa Index Stock Decision Process with Independent T-Test where A is the set of discrete actions of Bovespa 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= $\begin{array}{cccc}{p}_{\mathrm{a}1}& p_{\mathrm{a}2}& \dots & p_{1n}\\ & ⋮\\ p_{j1}& p_{j2}& \dots & p_{jn}\\ & ⋮\\ p_{k1}& p_{k2}& \dots & p_{kn}\\ & ⋮\\ p_{n1}& p_{n2}& \dots & p_{nn}\end{array}$ X R(Deductive Inference (ML)) X S(n):→ (n+1 year) $R=\left(\begin{array}{ccc}1& 0& 0\\ 0& 1& 0\\ 0& 0& 1\end{array}\right)$

n:Time series to forecast

p:Price signals of Bovespa 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?

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

Sample Set: Neural Network
Stock/Index: Bovespa Index Bovespa Index
Time series to forecast n: 30 Oct 2022 for (n+1 year)

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

1. When measuring the fair values of the part that continues to be recognised and the part that is derecognised for the purposes of applying paragraph 3.2.13, an entity applies the fair value measurement requirements in IFRS 13 Fair Value Measurement in addition to paragraph 3.2.14.
2. When a group of items that constitute a net position is designated as a hedged item, an entity shall designate the overall group of items that includes the items that can make up the net position. An entity is not permitted to designate a non-specific abstract amount of a net position. For example, an entity has a group of firm sale commitments in nine months' time for FC100 and a group of firm purchase commitments in 18 months' time for FC120. The entity cannot designate an abstract amount of a net position up to FC20. Instead, it must designate a gross amount of purchases and a gross amount of sales that together give rise to the hedged net position. An entity shall designate gross positions that give rise to the net position so that the entity is able to comply with the requirements for the accounting for qualifying hedging relationships.
3. For floating-rate financial assets and floating-rate financial liabilities, periodic re-estimation of cash flows to reflect the movements in the market rates of interest alters the effective interest rate. If a floating-rate financial asset or a floating-rate financial liability is recognised initially at an amount equal to the principal receivable or payable on maturity, re-estimating the future interest payments normally has no significant effect on the carrying amount of the asset or the liability.
4. Conversely, if the critical terms of the hedging instrument and the hedged item are not closely aligned, there is an increased level of uncertainty about the extent of offset. Consequently, the hedge effectiveness during the term of the hedging relationship is more difficult to predict. In such a situation it might only be possible for an entity to conclude on the basis of a quantitative assessment that an economic relationship exists between the hedged item and the hedging instrument (see paragraphs B6.4.4–B6.4.6). In some situations a quantitative assessment might also be needed to assess whether the hedge ratio used for designating the hedging relationship meets the hedge effectiveness requirements (see paragraphs B6.4.9–B6.4.11). An entity can use the same or different methods for those two different purposes.

*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

Bovespa Index assigned short-term Baa2 & long-term B3 forecasted stock rating. We evaluate the prediction models Deductive Inference (ML) with Independent T-Test^1,2,3,4 and conclude that the Bovespa Index 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 Hold Bovespa Index stock.

Financial State Forecast for Bovespa Index Bovespa Index Stock Options & Futures

Rating	Short-Term	Long-Term Senior
Outlook*	Baa2	B3
Operational Risk	85	41
Market Risk	67	67
Technical Analysis	68	31
Fundamental Analysis	60	34
Risk Unsystematic	86	34

Prediction Confidence Score

Trust metric by Neural Network: 73 out of 100 with 605 signals.

References

1. White H. 1992. Artificial Neural Networks: Approximation and Learning Theory. Oxford, UK: Blackwell
2. Dudik M, Langford J, Li L. 2011. Doubly robust policy evaluation and learning. In Proceedings of the 28th International Conference on Machine Learning, pp. 1097–104. La Jolla, CA: Int. Mach. Learn. Soc.
3. O. Bardou, N. Frikha, and G. Pag`es. Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. Monte Carlo Methods and Applications, 15(3):173–210, 2009.
4. A. Tamar and S. Mannor. Variance adjusted actor critic algorithms. arXiv preprint arXiv:1310.3697, 2013.
5. Knox SW. 2018. Machine Learning: A Concise Introduction. Hoboken, NJ: Wiley
6. R. Williams. Simple statistical gradient-following algorithms for connectionist reinforcement learning. Ma- chine learning, 8(3-4):229–256, 1992
7. Mnih A, Hinton GE. 2007. Three new graphical models for statistical language modelling. In International Conference on Machine Learning, pp. 641–48. La Jolla, CA: Int. Mach. Learn. Soc.

Frequently Asked Questions

Q: What is the prediction methodology for Bovespa Index stock?
A: Bovespa Index stock prediction methodology: We evaluate the prediction models Deductive Inference (ML) and Independent T-Test
Q: Is Bovespa Index stock a buy or sell?
A: The dominant strategy among neural network is to Hold Bovespa Index Stock.
Q: Is Bovespa Index stock a good investment?
A: The consensus rating for Bovespa Index is Hold and assigned short-term Baa2 & long-term B3 forecasted stock rating.
Q: What is the consensus rating of Bovespa Index stock?
A: The consensus rating for Bovespa Index is Hold.
Q: What is the prediction period for Bovespa Index stock?
A: The prediction period for Bovespa Index is (n+1 year)

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