WIG20 Index Research Report

## Summary

Accurate stock market prediction is of great interest to investors; however, stock markets are driven by volatile factors such as microblogs and news that make it hard to predict stock market index based on merely the historical data. The enormous stock market volatility emphasizes the need to effectively assess the role of external factors in stock prediction. Stock markets can be predicted using machine learning algorithms on information contained in social media and financial news, as this data can change investors' behavior. We evaluate WIG20 Index prediction models with Transfer Learning (ML) and Wilcoxon Rank-Sum Test1,2,3,4 and conclude that the WIG20 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 WIG20 Index stock.

## Key Points

1. What is neural prediction?
2. Can machine learning predict?
3. Decision Making

## WIG20 Index Target Price Prediction Modeling Methodology

We consider WIG20 Index Stock Decision Process with Transfer Learning (ML) where A is the set of discrete actions of WIG20 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 Rank-Sum Test)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(Transfer Learning (ML)) X S(n):→ (n+16 weeks) $\begin{array}{l}\int {e}^{x}\mathrm{rx}\end{array}$

n:Time series to forecast

p:Price signals of WIG20 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?

## WIG20 Index Stock Forecast (Buy or Sell) for (n+16 weeks)

Sample Set: Neural Network
Stock/Index: WIG20 Index WIG20 Index
Time series to forecast n: 23 Nov 2022 for (n+16 weeks)

According to price forecasts for (n+16 weeks) period: The dominant strategy among neural network is to Hold WIG20 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 WIG20 Index

1. The assessment of whether an economic relationship exists includes an analysis of the possible behaviour of the hedging relationship during its term to ascertain whether it can be expected to meet the risk management objective. The mere existence of a statistical correlation between two variables does not, by itself, support a valid conclusion that an economic relationship exists.
2. All investments in equity instruments and contracts on those instruments must be measured at fair value. However, in limited circumstances, cost may be an appropriate estimate of fair value. That may be the case if insufficient more recent information is available to measure fair value, or if there is a wide range of possible fair value measurements and cost represents the best estimate of fair value within that range.
3. An entity that first applies these amendments at the same time it first applies this Standard shall apply paragraphs 7.2.1–7.2.28 instead of paragraphs 7.2.31–7.2.34.
4. For the purpose of applying paragraphs B4.1.11(b) and B4.1.12(b), irrespective of the event or circumstance that causes the early termination of the contract, a party may pay or receive reasonable compensation for that early termination. For example, a party may pay or receive reasonable compensation when it chooses to terminate the contract early (or otherwise causes the early termination to occur).

*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

WIG20 Index assigned short-term B2 & long-term B1 forecasted stock rating. We evaluate the prediction models Transfer Learning (ML) with Wilcoxon Rank-Sum Test1,2,3,4 and conclude that the WIG20 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 WIG20 Index stock.

### Financial State Forecast for WIG20 Index WIG20 Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*B2B1
Operational Risk 7434
Market Risk4760
Technical Analysis3951
Fundamental Analysis3261
Risk Unsystematic7278

### Prediction Confidence Score

Trust metric by Neural Network: 77 out of 100 with 615 signals.

## References

1. Dimakopoulou M, Athey S, Imbens G. 2017. Estimation considerations in contextual bandits. arXiv:1711.07077 [stat.ML]
2. K. Boda and J. Filar. Time consistent dynamic risk measures. Mathematical Methods of Operations Research, 63(1):169–186, 2006
3. T. Shardlow and A. Stuart. A perturbation theory for ergodic Markov chains and application to numerical approximations. SIAM journal on numerical analysis, 37(4):1120–1137, 2000
4. Chamberlain G. 2000. Econometrics and decision theory. J. Econom. 95:255–83
5. Angrist JD, Pischke JS. 2008. Mostly Harmless Econometrics: An Empiricist's Companion. Princeton, NJ: Princeton Univ. Press
6. Athey S, Imbens GW. 2017a. The econometrics of randomized experiments. In Handbook of Economic Field Experiments, Vol. 1, ed. E Duflo, A Banerjee, pp. 73–140. Amsterdam: Elsevier
7. M. Puterman. Markov Decision Processes: Discrete Stochastic Dynamic Programming. Wiley, New York, 1994.
Frequently Asked QuestionsQ: What is the prediction methodology for WIG20 Index stock?
A: WIG20 Index stock prediction methodology: We evaluate the prediction models Transfer Learning (ML) and Wilcoxon Rank-Sum Test
Q: Is WIG20 Index stock a buy or sell?
A: The dominant strategy among neural network is to Hold WIG20 Index Stock.
Q: Is WIG20 Index stock a good investment?
A: The consensus rating for WIG20 Index is Hold and assigned short-term B2 & long-term B1 forecasted stock rating.
Q: What is the consensus rating of WIG20 Index stock?
A: The consensus rating for WIG20 Index is Hold.
Q: What is the prediction period for WIG20 Index stock?
A: The prediction period for WIG20 Index is (n+16 weeks)

What are the top stocks to invest in right now?
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*See the machine learning based stock market analysis and AC Invest Rank which indicates potential outperformance based on earning estimate revisions and surprises.
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