SET Index Options & Futures Prediction

The main objective of this research is to predict the market performance on day closing using different machine learning techniques. The prediction model uses different attributes as an input and predicts market as Positive & Negative. We evaluate SET Index prediction models with Modular Neural Network (News Feed Sentiment Analysis) and Linear Regression1,2,3,4 and conclude that the SET Index stock is predictable in the short/long term. According to price forecasts for (n+16 weeks) period: The dominant strategy among neural network is to Sell SET Index stock.


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

Key Points

  1. Prediction Modeling
  2. Nash Equilibria
  3. Can we predict stock market using machine learning?

SET Index Target Price Prediction Modeling Methodology

In the finance world stock trading is one of the most important activities. Stock market prediction is an act of trying to determine the future value of a stock other financial instrument traded on a financial exchange. This paper explains the prediction of a stock using Machine Learning. The technical and fundamental or the time series analysis is used by the most of the stockbrokers while making the stock predictions. We consider SET Index Stock Decision Process with Linear Regression where A is the set of discrete actions of SET 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(Linear Regression)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 (News Feed Sentiment Analysis)) X S(n):→ (n+16 weeks) e x rx

n:Time series to forecast

p:Price signals of SET 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?

SET Index Stock Forecast (Buy or Sell) for (n+16 weeks)

Sample Set: Neural Network
Stock/Index: SET Index SET Index
Time series to forecast n: 13 Oct 2022 for (n+16 weeks)

According to price forecasts for (n+16 weeks) period: The dominant strategy among neural network is to Sell SET 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

SET Index assigned short-term Ba3 & long-term Ba3 forecasted stock rating. We evaluate the prediction models Modular Neural Network (News Feed Sentiment Analysis) with Linear Regression1,2,3,4 and conclude that the SET Index stock is predictable in the short/long term. According to price forecasts for (n+16 weeks) period: The dominant strategy among neural network is to Sell SET Index stock.

Financial State Forecast for SET Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*Ba3Ba3
Operational Risk 3669
Market Risk8085
Technical Analysis8658
Fundamental Analysis4339
Risk Unsystematic7362

Prediction Confidence Score

Trust metric by Neural Network: 85 out of 100 with 467 signals.

References

  1. M. L. Littman. Friend-or-foe q-learning in general-sum games. In Proceedings of the Eighteenth International Conference on Machine Learning (ICML 2001), Williams College, Williamstown, MA, USA, June 28 - July 1, 2001, pages 322–328, 2001
  2. C. Szepesvári. Algorithms for Reinforcement Learning. Synthesis Lectures on Artificial Intelligence and Machine Learning. Morgan & Claypool Publishers, 2010
  3. Chen, C. L. Liu (1993), "Joint estimation of model parameters and outlier effects in time series," Journal of the American Statistical Association, 88, 284–297.
  4. Allen, P. G. (1994), "Economic forecasting in agriculture," International Journal of Forecasting, 10, 81–135.
  5. Bessler, D. A. S. W. Fuller (1993), "Cointegration between U.S. wheat markets," Journal of Regional Science, 33, 481–501.
  6. G. J. Laurent, L. Matignon, and N. L. Fort-Piat. The world of independent learners is not Markovian. Int. J. Know.-Based Intell. Eng. Syst., 15(1):55–64, 2011
  7. K. Boda, J. Filar, Y. Lin, and L. Spanjers. Stochastic target hitting time and the problem of early retirement. Automatic Control, IEEE Transactions on, 49(3):409–419, 2004
Frequently Asked QuestionsQ: What is the prediction methodology for SET Index stock?
A: SET Index stock prediction methodology: We evaluate the prediction models Modular Neural Network (News Feed Sentiment Analysis) and Linear Regression
Q: Is SET Index stock a buy or sell?
A: The dominant strategy among neural network is to Sell SET Index Stock.
Q: Is SET Index stock a good investment?
A: The consensus rating for SET Index is Sell and assigned short-term Ba3 & long-term Ba3 forecasted stock rating.
Q: What is the consensus rating of SET Index stock?
A: The consensus rating for SET Index is Sell.
Q: What is the prediction period for SET Index stock?
A: The prediction period for SET Index is (n+16 weeks)

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