Modelling A.I. in Economics

Can stock prices be predicted? (LON:PAF Stock Forecast)

Prediction of future movement of stock prices has been a subject matter of many research work. In this work, we propose a hybrid approach for stock price prediction using machine learning and deep learning-based methods. We evaluate PAN AFRICAN RESOURCES PLC prediction models with Modular Neural Network (CNN Layer) and Ridge Regression1,2,3,4 and conclude that the LON:PAF 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 LON:PAF stock.


Keywords: LON:PAF, PAN AFRICAN RESOURCES PLC, stock forecast, machine learning based prediction, risk rating, buy-sell behaviour, stock analysis, target price analysis, options and futures.

Key Points

  1. What is the best way to predict stock prices?
  2. Is now good time to invest?
  3. Nash Equilibria

LON:PAF Target Price Prediction Modeling Methodology

Neural networks, as an intelligent data mining method, have been used in many different challenging pattern recognition problems such as stock market prediction. However, there is no formal method to determine the optimal neural network for prediction purpose in the literature. In this paper, two kinds of neural networks, a feed forward multi layer Perceptron (MLP) and an Elman recurrent network, are used to predict a company's stock value based on its stock share value history. We consider PAN AFRICAN RESOURCES PLC Stock Decision Process with Ridge Regression where A is the set of discrete actions of LON:PAF 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(Ridge 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(Modular Neural Network (CNN Layer)) X S(n):→ (n+3 month) i = 1 n r i

n:Time series to forecast

p:Price signals of LON:PAF 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?

LON:PAF Stock Forecast (Buy or Sell) for (n+3 month)


Sample Set: Neural Network
Stock/Index: LON:PAF PAN AFRICAN RESOURCES PLC
Time series to forecast n: 09 Nov 2022 for (n+3 month)

According to price forecasts for (n+3 month) period: The dominant strategy among neural network is to Hold LON:PAF 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 PAN AFRICAN RESOURCES PLC

  1. Time value of money is the element of interest that provides consideration for only the passage of time. That is, the time value of money element does not provide consideration for other risks or costs associated with holding the financial asset. In order to assess whether the element provides consideration for only the passage of time, an entity applies judgement and considers relevant factors such as the currency in which the financial asset is denominated and the period for which the interest rate is set.
  2. The decision of an entity to designate a financial asset or financial liability as at fair value through profit or loss is similar to an accounting policy choice (although, unlike an accounting policy choice, it is not required to be applied consistently to all similar transactions). When an entity has such a choice, paragraph 14(b) of IAS 8 requires the chosen policy to result in the financial statements providing reliable and more relevant information about the effects of transactions, other events and conditions on the entity's financial position, financial performance or cash flows. For example, in the case of designation of a financial liability as at fair value through profit or loss, paragraph 4.2.2 sets out the two circumstances when the requirement for more relevant information will be met. Accordingly, to choose such designation in accordance with paragraph 4.2.2, the entity needs to demonstrate that it falls within one (or both) of these two circumstances.
  3. The assessment of whether lifetime expected credit losses should be recognised is based on significant increases in the likelihood or risk of a default occurring since initial recognition (irrespective of whether a financial instrument has been repriced to reflect an increase in credit risk) instead of on evidence of a financial asset being credit-impaired at the reporting date or an actual default occurring. Generally, there will be a significant increase in credit risk before a financial asset becomes credit-impaired or an actual default occurs.
  4. An alternative benchmark rate designated as a non-contractually specified risk component that is not separately identifiable (see paragraphs 6.3.7(a) and B6.3.8) at the date it is designated shall be deemed to have met that requirement at that date, if, and only if, the entity reasonably expects the alternative benchmark rate will be separately identifiable within 24 months. The 24-month period applies to each alternative benchmark rate separately and starts from the date the entity designates the alternative benchmark rate as a non-contractually specified risk component for the first time (ie the 24- month period applies on a rate-by-rate basis).

*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

PAN AFRICAN RESOURCES PLC assigned short-term B1 & long-term Ba2 forecasted stock rating. We evaluate the prediction models Modular Neural Network (CNN Layer) with Ridge Regression1,2,3,4 and conclude that the LON:PAF 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 LON:PAF stock.

Financial State Forecast for LON:PAF PAN AFRICAN RESOURCES PLC Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*B1Ba2
Operational Risk 5179
Market Risk7965
Technical Analysis3646
Fundamental Analysis7486
Risk Unsystematic6066

Prediction Confidence Score

Trust metric by Neural Network: 76 out of 100 with 859 signals.

References

  1. A. Tamar, D. Di Castro, and S. Mannor. Policy gradients with variance related risk criteria. In Proceedings of the Twenty-Ninth International Conference on Machine Learning, pages 387–396, 2012.
  2. V. Borkar. Q-learning for risk-sensitive control. Mathematics of Operations Research, 27:294–311, 2002.
  3. Chernozhukov V, Demirer M, Duflo E, Fernandez-Val I. 2018b. Generic machine learning inference on heteroge- nous treatment effects in randomized experiments. NBER Work. Pap. 24678
  4. V. Mnih, A. P. Badia, M. Mirza, A. Graves, T. P. Lillicrap, T. Harley, D. Silver, and K. Kavukcuoglu. Asynchronous methods for deep reinforcement learning. In Proceedings of the 33nd International Conference on Machine Learning, ICML 2016, New York City, NY, USA, June 19-24, 2016, pages 1928–1937, 2016
  5. N. B ̈auerle and A. Mundt. Dynamic mean-risk optimization in a binomial model. Mathematical Methods of Operations Research, 70(2):219–239, 2009.
  6. Athey S, Imbens G, Wager S. 2016a. Efficient inference of average treatment effects in high dimensions via approximate residual balancing. arXiv:1604.07125 [math.ST]
  7. S. J. Russell and P. Norvig. Artificial Intelligence: A Modern Approach. Prentice Hall, Englewood Cliffs, NJ, 3nd edition, 2010
Frequently Asked QuestionsQ: What is the prediction methodology for LON:PAF stock?
A: LON:PAF stock prediction methodology: We evaluate the prediction models Modular Neural Network (CNN Layer) and Ridge Regression
Q: Is LON:PAF stock a buy or sell?
A: The dominant strategy among neural network is to Hold LON:PAF Stock.
Q: Is PAN AFRICAN RESOURCES PLC stock a good investment?
A: The consensus rating for PAN AFRICAN RESOURCES PLC is Hold and assigned short-term B1 & long-term Ba2 forecasted stock rating.
Q: What is the consensus rating of LON:PAF stock?
A: The consensus rating for LON:PAF is Hold.
Q: What is the prediction period for LON:PAF stock?
A: The prediction period for LON:PAF is (n+3 month)



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