Buy, sell or hold: PSEi Composite Index Stock Forecast

PSEi Composite Index Research Report

Summary

This study aims to predict the direction of stock prices by integrating time-varying effective transfer entropy (ETE) and various machine learning algorithms. At first, we explore that the ETE based on 3 and 6 months moving windows can be regarded as the market explanatory variable by analyzing the association between the financial crises and Granger-causal relationships among the stocks. We evaluate PSEi Composite Index prediction models with Multi-Instance Learning (ML) and Wilcoxon Sign-Rank Test^1,2,3,4 and conclude that the PSEi Composite Index stock is predictable in the short/long term. According to price forecasts for (n+4 weeks) period: The dominant strategy among neural network is to Hold PSEi Composite Index stock.

Key Points

1. Is it better to buy and sell or hold?
2. Game Theory
3. Market Outlook

PSEi Composite Index Target Price Prediction Modeling Methodology

We consider PSEi Composite Index Stock Decision Process with Multi-Instance Learning (ML) where A is the set of discrete actions of PSEi Composite 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(Wilcoxon Sign-Rank 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(Multi-Instance Learning (ML)) X S(n):→ (n+4 weeks) $\overrightarrow{R}=\left(r_1,r_2,r_3\right)$

n:Time series to forecast

p:Price signals of PSEi Composite 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?

PSEi Composite Index Stock Forecast (Buy or Sell) for (n+4 weeks)

Sample Set: Neural Network
Stock/Index: PSEi Composite Index PSEi Composite Index
Time series to forecast n: 21 Nov 2022 for (n+4 weeks)

According to price forecasts for (n+4 weeks) period: The dominant strategy among neural network is to Hold PSEi Composite 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 PSEi Composite Index

1. A layer component that includes a prepayment option is not eligible to be designated as a hedged item in a fair value hedge if the prepayment option's fair value is affected by changes in the hedged risk, unless the designated layer includes the effect of the related prepayment option when determining the change in the fair value of the hedged item.
2. To the extent that a transfer of a financial asset does not qualify for derecognition, the transferor's contractual rights or obligations related to the transfer are not accounted for separately as derivatives if recognising both the derivative and either the transferred asset or the liability arising from the transfer would result in recognising the same rights or obligations twice. For example, a call option retained by the transferor may prevent a transfer of financial assets from being accounted for as a sale. In that case, the call option is not separately recognised as a derivative asset.
3. When measuring hedge ineffectiveness, an entity shall consider the time value of money. Consequently, the entity determines the value of the hedged item on a present value basis and therefore the change in the value of the hedged item also includes the effect of the time value of money.
4. The accounting for the time value of options in accordance with paragraph 6.5.15 applies only to the extent that the time value relates to the hedged item (aligned time value). The time value of an option relates to the hedged item if the critical terms of the option (such as the nominal amount, life and underlying) are aligned with the hedged item. Hence, if the critical terms of the option and the hedged item are not fully aligned, an entity shall determine the aligned time value, ie how much of the time value included in the premium (actual time value) relates to the hedged item (and therefore should be treated in accordance with paragraph 6.5.15). An entity determines the aligned time value using the valuation of the option that would have critical terms that perfectly match the hedged item.

*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

PSEi Composite Index assigned short-term Ba3 & long-term Ba1 forecasted stock rating. We evaluate the prediction models Multi-Instance Learning (ML) with Wilcoxon Sign-Rank Test^1,2,3,4 and conclude that the PSEi Composite Index stock is predictable in the short/long term. According to price forecasts for (n+4 weeks) period: The dominant strategy among neural network is to Hold PSEi Composite Index stock.

Financial State Forecast for PSEi Composite Index PSEi Composite Index Stock Options & Futures

Rating	Short-Term	Long-Term Senior
Outlook*	Ba3	Ba1
Operational Risk	66	79
Market Risk	34	84
Technical Analysis	61	60
Fundamental Analysis	79	86
Risk Unsystematic	87	44

Prediction Confidence Score

Trust metric by Neural Network: 78 out of 100 with 501 signals.

References

1. L. Panait and S. Luke. Cooperative multi-agent learning: The state of the art. Autonomous Agents and Multi-Agent Systems, 11(3):387–434, 2005.
2. Farrell MH, Liang T, Misra S. 2018. Deep neural networks for estimation and inference: application to causal effects and other semiparametric estimands. arXiv:1809.09953 [econ.EM]
3. J. Hu and M. P. Wellman. Nash q-learning for general-sum stochastic games. Journal of Machine Learning Research, 4:1039–1069, 2003.
4. E. van der Pol and F. A. Oliehoek. Coordinated deep reinforcement learners for traffic light control. NIPS Workshop on Learning, Inference and Control of Multi-Agent Systems, 2016.
5. Matzkin RL. 1994. Restrictions of economic theory in nonparametric methods. In Handbook of Econometrics, Vol. 4, ed. R Engle, D McFadden, pp. 2523–58. Amsterdam: Elsevier
6. 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
7. R. Howard and J. Matheson. Risk sensitive Markov decision processes. Management Science, 18(7):356– 369, 1972

Frequently Asked Questions

Q: What is the prediction methodology for PSEi Composite Index stock?
A: PSEi Composite Index stock prediction methodology: We evaluate the prediction models Multi-Instance Learning (ML) and Wilcoxon Sign-Rank Test
Q: Is PSEi Composite Index stock a buy or sell?
A: The dominant strategy among neural network is to Hold PSEi Composite Index Stock.
Q: Is PSEi Composite Index stock a good investment?
A: The consensus rating for PSEi Composite Index is Hold and assigned short-term Ba3 & long-term Ba1 forecasted stock rating.
Q: What is the consensus rating of PSEi Composite Index stock?
A: The consensus rating for PSEi Composite Index is Hold.
Q: What is the prediction period for PSEi Composite Index stock?
A: The prediction period for PSEi Composite Index is (n+4 weeks)

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