BIST 100 Index Research Report

## Summary

Stock markets are affected by many uncertainties and interrelated economic and political factors at both local and global levels. The key to successful stock market forecasting is achieving best results with minimum required input data. To determine the set of relevant factors for making accurate predictions is a complicated task and so regular stock market analysis is very essential. More specifically, the stock market's movements are analyzed and predicted in order to retrieve knowledge that could guide investors on when to buy and sell. We evaluate BIST 100 Index prediction models with Modular Neural Network (Emotional Trigger/Responses Analysis) and Statistical Hypothesis Testing1,2,3,4 and conclude that the BIST 100 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 Buy BIST 100 Index stock.

## Key Points

1. How can neural networks improve predictions?
2. How can neural networks improve predictions?
3. Trust metric by Neural Network

## BIST 100 Index Target Price Prediction Modeling Methodology

We consider BIST 100 Index Stock Decision Process with Modular Neural Network (Emotional Trigger/Responses Analysis) where A is the set of discrete actions of BIST 100 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(Statistical Hypothesis Testing)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 (Emotional Trigger/Responses Analysis)) X S(n):→ (n+16 weeks) $\stackrel{\to }{R}=\left({r}_{1},{r}_{2},{r}_{3}\right)$

n:Time series to forecast

p:Price signals of BIST 100 Index stock

j:Nash equilibria (Neural Network)

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?

## BIST 100 Index Stock Forecast (Buy or Sell) for (n+16 weeks)

Sample Set: Neural Network
Stock/Index: BIST 100 Index BIST 100 Index
Time series to forecast n: 25 Nov 2022 for (n+16 weeks)

According to price forecasts for (n+16 weeks) period: The dominant strategy among neural network is to Buy BIST 100 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 BIST 100 Index

1. The expected credit losses on a loan commitment shall be discounted using the effective interest rate, or an approximation thereof, that will be applied when recognising the financial asset resulting from the loan commitment. This is because for the purpose of applying the impairment requirements, a financial asset that is recognised following a draw down on a loan commitment shall be treated as a continuation of that commitment instead of as a new financial instrument. The expected credit losses on the financial asset shall therefore be measured considering the initial credit risk of the loan commitment from the date that the entity became a party to the irrevocable commitment.
2. The definition of a derivative refers to non-financial variables that are not specific to a party to the contract. These include an index of earthquake losses in a particular region and an index of temperatures in a particular city. Non-financial variables specific to a party to the contract include the occurrence or non-occurrence of a fire that damages or destroys an asset of a party to the contract. A change in the fair value of a non-financial asset is specific to the owner if the fair value reflects not only changes in market prices for such assets (a financial variable) but also the condition of the specific non-financial asset held (a non-financial variable). For example, if a guarantee of the residual value of a specific car exposes the guarantor to the risk of changes in the car's physical condition, the change in that residual value is specific to the owner of the car.
3. When rebalancing a hedging relationship, an entity shall update its analysis of the sources of hedge ineffectiveness that are expected to affect the hedging relationship during its (remaining) term (see paragraph B6.4.2). The documentation of the hedging relationship shall be updated accordingly.
4. An entity may manage and evaluate the performance of a group of financial liabilities or financial assets and financial liabilities in such a way that measuring that group at fair value through profit or loss results in more relevant information. The focus in this instance is on the way the entity manages and evaluates performance, instead of on the nature of its financial instruments.

*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

BIST 100 Index assigned short-term B2 & long-term B2 forecasted stock rating. We evaluate the prediction models Modular Neural Network (Emotional Trigger/Responses Analysis) with Statistical Hypothesis Testing1,2,3,4 and conclude that the BIST 100 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 Buy BIST 100 Index stock.

### Financial State Forecast for BIST 100 Index BIST 100 Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*B2B2
Operational Risk 3238
Market Risk6940
Technical Analysis6471
Fundamental Analysis7059
Risk Unsystematic3639

### Prediction Confidence Score

Trust metric by Neural Network: 79 out of 100 with 671 signals.

## References

1. Arora S, Li Y, Liang Y, Ma T. 2016. RAND-WALK: a latent variable model approach to word embeddings. Trans. Assoc. Comput. Linguist. 4:385–99
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3. J. Z. Leibo, V. Zambaldi, M. Lanctot, J. Marecki, and T. Graepel. Multi-agent Reinforcement Learning in Sequential Social Dilemmas. In Proceedings of the 16th International Conference on Autonomous Agents and Multiagent Systems (AAMAS 2017), Sao Paulo, Brazil, 2017
4. Bengio Y, Ducharme R, Vincent P, Janvin C. 2003. A neural probabilistic language model. J. Mach. Learn. Res. 3:1137–55
5. Cortes C, Vapnik V. 1995. Support-vector networks. Mach. Learn. 20:273–97
6. S. Bhatnagar, H. Prasad, and L. Prashanth. Stochastic recursive algorithms for optimization, volume 434. Springer, 2013
7. Akgiray, V. (1989), "Conditional heteroscedasticity in time series of stock returns: Evidence and forecasts," Journal of Business, 62, 55–80.
Frequently Asked QuestionsQ: What is the prediction methodology for BIST 100 Index stock?
A: BIST 100 Index stock prediction methodology: We evaluate the prediction models Modular Neural Network (Emotional Trigger/Responses Analysis) and Statistical Hypothesis Testing
Q: Is BIST 100 Index stock a buy or sell?
A: The dominant strategy among neural network is to Buy BIST 100 Index Stock.
Q: Is BIST 100 Index stock a good investment?
A: The consensus rating for BIST 100 Index is Buy and assigned short-term B2 & long-term B2 forecasted stock rating.
Q: What is the consensus rating of BIST 100 Index stock?
A: The consensus rating for BIST 100 Index is Buy.
Q: What is the prediction period for BIST 100 Index stock?
A: The prediction period for BIST 100 Index is (n+16 weeks)