Modelling A.I. in Economics

Bovespa Index Bovespa Index Stock Forecast (Forecast)

Bovespa Index Research Report

Summary

Different machine learning algorithms are discussed in this literature review. These algorithms can be used for predicting the stock market. The prediction of the stock market is one of the challenging tasks that must have to be handled. In this paper, it is discussed how the machine learning algorithms can be used for predicting the stock value. We evaluate Bovespa Index prediction models with Modular Neural Network (Market Volatility Analysis) and Beta1,2,3,4 and conclude that the Bovespa 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 Hold Bovespa Index stock.

Key Points

  1. Understanding Buy, Sell, and Hold Ratings
  2. How do you know when a stock will go up or down?
  3. Can neural networks predict stock market?

Bovespa Index Target Price Prediction Modeling Methodology

We consider Bovespa Index Stock Decision Process with Modular Neural Network (Market Volatility Analysis) 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(Beta)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 (Market Volatility Analysis)) X S(n):→ (n+16 weeks) i = 1 n r i

n:Time series to forecast

p:Price signals of Bovespa 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?

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

Sample Set: Neural Network
Stock/Index: Bovespa Index Bovespa 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 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. If an entity previously accounted at cost (in accordance with IAS 39), for an investment in an equity instrument that does not have a quoted price in an active market for an identical instrument (ie a Level 1 input) (or for a derivative asset that is linked to and must be settled by delivery of such an equity instrument) it shall measure that instrument at fair value at the date of initial application. Any difference between the previous carrying amount and the fair value shall be recognised in the opening retained earnings (or other component of equity, as appropriate) of the reporting period that includes the date of initial application.
  2. For example, Entity A, whose functional currency is its local currency, has a firm commitment to pay FC150,000 for advertising expenses in nine months' time and a firm commitment to sell finished goods for FC150,000 in 15 months' time. Entity A enters into a foreign currency derivative that settles in nine months' time under which it receives FC100 and pays CU70. Entity A has no other exposures to FC. Entity A does not manage foreign currency risk on a net basis. Hence, Entity A cannot apply hedge accounting for a hedging relationship between the foreign currency derivative and a net position of FC100 (consisting of FC150,000 of the firm purchase commitment—ie advertising services—and FC149,900 (of the FC150,000) of the firm sale commitment) for a nine-month period.
  3. For the purpose of determining whether a forecast transaction (or a component thereof) is highly probable as required by paragraph 6.3.3, an entity shall assume that the interest rate benchmark on which the hedged cash flows (contractually or non-contractually specified) are based is not altered as a result of interest rate benchmark reform.
  4. If subsequently an entity reasonably expects that the alternative benchmark rate will not be separately identifiable within 24 months from the date the entity designated it as a non-contractually specified risk component for the first time, the entity shall cease applying the requirement in paragraph 6.9.11 to that alternative benchmark rate and discontinue hedge accounting prospectively from the date of that reassessment for all hedging relationships in which the alternative benchmark rate was designated as a noncontractually specified risk component.

*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 B3 & long-term Ba3 forecasted stock rating. We evaluate the prediction models Modular Neural Network (Market Volatility Analysis) with Beta1,2,3,4 and conclude that the Bovespa 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 Hold Bovespa Index stock.

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

Rating Short-Term Long-Term Senior
Outlook*B3Ba3
Operational Risk 4085
Market Risk3539
Technical Analysis6262
Fundamental Analysis6573
Risk Unsystematic3673

Prediction Confidence Score

Trust metric by Neural Network: 83 out of 100 with 453 signals.

References

  1. Athey S, Tibshirani J, Wager S. 2016b. Generalized random forests. arXiv:1610.01271 [stat.ME]
  2. Tibshirani R. 1996. Regression shrinkage and selection via the lasso. J. R. Stat. Soc. B 58:267–88
  3. C. Wu and Y. Lin. Minimizing risk models in Markov decision processes with policies depending on target values. Journal of Mathematical Analysis and Applications, 231(1):47–67, 1999
  4. Bell RM, Koren Y. 2007. Lessons from the Netflix prize challenge. ACM SIGKDD Explor. Newsl. 9:75–79
  5. Bottomley, P. R. Fildes (1998), "The role of prices in models of innovation diffusion," Journal of Forecasting, 17, 539–555.
  6. Thomas P, Brunskill E. 2016. Data-efficient off-policy policy evaluation for reinforcement learning. In Pro- ceedings of the International Conference on Machine Learning, pp. 2139–48. La Jolla, CA: Int. Mach. Learn. Soc.
  7. V. Konda and J. Tsitsiklis. Actor-Critic algorithms. In Proceedings of Advances in Neural Information Processing Systems 12, pages 1008–1014, 2000
Frequently Asked QuestionsQ: What is the prediction methodology for Bovespa Index stock?
A: Bovespa Index stock prediction methodology: We evaluate the prediction models Modular Neural Network (Market Volatility Analysis) and Beta
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 B3 & long-term Ba3 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+16 weeks)

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