Modelling A.I. in Economics

CAC 40 Index Target Price Forecast (Forecast)

Prediction of stock prices has been an important area of research for a long time. While supporters of the efficient market hypothesis believe that it is impossible to predict stock prices accurately, there are formal propositions demonstrating that accurate modeling and designing of appropriate variables may lead to models using which stock prices and stock price movement patterns can be very accurately predicted. We evaluate CAC 40 Index prediction models with Multi-Task Learning (ML) and Multiple Regression1,2,3,4 and conclude that the CAC 40 Index stock is predictable in the short/long term. According to price forecasts for (n+3 month) period: The dominant strategy among neural network is to Hold CAC 40 Index stock.


Keywords: CAC 40 Index, CAC 40 Index, stock forecast, machine learning based prediction, risk rating, buy-sell behaviour, stock analysis, target price analysis, options and futures.

Key Points

  1. Market Outlook
  2. How accurate is machine learning in stock market?
  3. Decision Making

CAC 40 Index Target Price Prediction Modeling Methodology

Machine learning is a branch of computer science that has the potential to transform epidemiologic sciences. Amid a growing focus on "Big Data," it offers epidemiologists new tools to tackle problems for which classical methods are not well-suited. In order to critically evaluate the value of integrating machine learning algorithms and existing methods, however, it is essential to address language and technical barriers between the two fields that can make it difficult for epidemiologists to read and assess machine learning studies. We consider CAC 40 Index Stock Decision Process with Multiple Regression where A is the set of discrete actions of CAC 40 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(Multiple 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(Multi-Task Learning (ML)) X S(n):→ (n+3 month) R = r 1 r 2 r 3

n:Time series to forecast

p:Price signals of CAC 40 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?

CAC 40 Index Stock Forecast (Buy or Sell) for (n+3 month)

Sample Set: Neural Network
Stock/Index: CAC 40 Index CAC 40 Index
Time series to forecast n: 02 Nov 2022 for (n+3 month)

According to price forecasts for (n+3 month) period: The dominant strategy among neural network is to Hold CAC 40 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 CAC 40 Index

  1. An entity need not undertake an exhaustive search for information but shall consider all reasonable and supportable information that is available without undue cost or effort and that is relevant to the estimate of expected credit losses, including the effect of expected prepayments. The information used shall include factors that are specific to the borrower, general economic conditions and an assessment of both the current as well as the forecast direction of conditions at the reporting date. An entity may use various sources of data, that may be both internal (entity-specific) and external. Possible data sources include internal historical credit loss experience, internal ratings, credit loss experience of other entities and external ratings, reports and statistics. Entities that have no, or insufficient, sources of entityspecific data may use peer group experience for the comparable financial instrument (or groups of financial instruments).
  2. Expected credit losses are a probability-weighted estimate of credit losses (ie the present value of all cash shortfalls) over the expected life of the financial instrument. A cash shortfall is the difference between the cash flows that are due to an entity in accordance with the contract and the cash flows that the entity expects to receive. Because expected credit losses consider the amount and timing of payments, a credit loss arises even if the entity expects to be paid in full but later than when contractually due.
  3. 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.
  4. If a collar, in the form of a purchased call and written put, prevents a transferred asset from being derecognised and the entity measures the asset at fair value, it continues to measure the asset at fair value. The associated liability is measured at (i) the sum of the call exercise price and fair value of the put option less the time value of the call option, if the call option is in or at the money, or (ii) the sum of the fair value of the asset and the fair value of the put option less the time value of the call option if the call option is out of the money. The adjustment to the associated liability ensures that the net carrying amount of the asset and the associated liability is the fair value of the options held and written by the entity. For example, assume an entity transfers a financial asset that is measured at fair value while simultaneously purchasing a call with an exercise price of CU120 and writing a put with an exercise price of CU80. Assume also that the fair value of the asset is CU100 at the date of the transfer. The time value of the put and call are CU1 and CU5 respectively. In this case, the entity recognises an asset of CU100 (the fair value of the asset) and a liability of CU96 [(CU100 + CU1) – CU5]. This gives a net asset value of CU4, which is the fair value of the options held and written by the entity.

*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

CAC 40 Index assigned short-term Ba2 & long-term B2 forecasted stock rating. We evaluate the prediction models Multi-Task Learning (ML) with Multiple Regression1,2,3,4 and conclude that the CAC 40 Index stock is predictable in the short/long term. According to price forecasts for (n+3 month) period: The dominant strategy among neural network is to Hold CAC 40 Index stock.

Financial State Forecast for CAC 40 Index CAC 40 Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*Ba2B2
Operational Risk 7668
Market Risk5835
Technical Analysis8976
Fundamental Analysis8452
Risk Unsystematic3331

Prediction Confidence Score

Trust metric by Neural Network: 82 out of 100 with 659 signals.

References

  1. C. Claus and C. Boutilier. The dynamics of reinforcement learning in cooperative multiagent systems. In Proceedings of the Fifteenth National Conference on Artificial Intelligence and Tenth Innovative Applications of Artificial Intelligence Conference, AAAI 98, IAAI 98, July 26-30, 1998, Madison, Wisconsin, USA., pages 746–752, 1998.
  2. Bamler R, Mandt S. 2017. Dynamic word embeddings via skip-gram filtering. In Proceedings of the 34th Inter- national Conference on Machine Learning, pp. 380–89. La Jolla, CA: Int. Mach. Learn. Soc.
  3. Vapnik V. 2013. The Nature of Statistical Learning Theory. Berlin: Springer
  4. Andrews, D. W. K. (1993), "Tests for parameter instability and structural change with unknown change point," Econometrica, 61, 821–856.
  5. Abadie A, Cattaneo MD. 2018. Econometric methods for program evaluation. Annu. Rev. Econ. 10:465–503
  6. Cheung, Y. M.D. Chinn (1997), "Further investigation of the uncertain unit root in GNP," Journal of Business and Economic Statistics, 15, 68–73.
  7. Knox SW. 2018. Machine Learning: A Concise Introduction. Hoboken, NJ: Wiley
Frequently Asked QuestionsQ: What is the prediction methodology for CAC 40 Index stock?
A: CAC 40 Index stock prediction methodology: We evaluate the prediction models Multi-Task Learning (ML) and Multiple Regression
Q: Is CAC 40 Index stock a buy or sell?
A: The dominant strategy among neural network is to Hold CAC 40 Index Stock.
Q: Is CAC 40 Index stock a good investment?
A: The consensus rating for CAC 40 Index is Hold and assigned short-term Ba2 & long-term B2 forecasted stock rating.
Q: What is the consensus rating of CAC 40 Index stock?
A: The consensus rating for CAC 40 Index is Hold.
Q: What is the prediction period for CAC 40 Index stock?
A: The prediction period for CAC 40 Index is (n+3 month)

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