Can we predict stock market using machine learning? (NSE MMFL Stock Forecast)

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 evaluate MM Forgings Limited prediction models with Modular Neural Network (Market Direction Analysis) and Paired T-Test1,2,3,4 and conclude that the NSE MMFL stock is predictable in the short/long term. According to price forecasts for (n+1 year) period: The dominant strategy among neural network is to Sell NSE MMFL stock.


Keywords: NSE MMFL, MM Forgings Limited, stock forecast, machine learning based prediction, risk rating, buy-sell behaviour, stock analysis, target price analysis, options and futures.

Key Points

  1. Can statistics predict the future?
  2. Can neural networks predict stock market?
  3. Is now good time to invest?

NSE MMFL Target Price Prediction Modeling Methodology

Stocks are possibly the most popular financial instrument invented for building wealth and are the centerpiece of any investment portfolio. The advances in trading technology has opened up the markets so that nowadays nearly anybody can own stocks. From last few decades, there seen explosive increase in the average person's interest for stock market. In a financially explosive market, as the stock market, it is important to have a very accurate prediction of a future trend. Because of the financial crisis and recording profits, it is compulsory to have a secure prediction of the values of the stocks. Predicting a non-linear signal requires progressive algorithms of machine learning with help of Artificial Intelligence (AI). We consider MM Forgings Limited Stock Decision Process with Paired T-Test where A is the set of discrete actions of NSE MMFL 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(Paired T-Test)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 Direction Analysis)) X S(n):→ (n+1 year) r s rs

n:Time series to forecast

p:Price signals of NSE MMFL stock

j:Nash equilibria

k:Dominated move

a:Best response for target price

 

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How do AC Investment Research machine learning (predictive) algorithms actually work?

NSE MMFL Stock Forecast (Buy or Sell) for (n+1 year)


Sample Set: Neural Network
Stock/Index: NSE MMFL MM Forgings Limited
Time series to forecast n: 11 Nov 2022 for (n+1 year)

According to price forecasts for (n+1 year) period: The dominant strategy among neural network is to Sell NSE MMFL 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 MM Forgings Limited

  1. That the transferee is unlikely to sell the transferred asset does not, of itself, mean that the transferor has retained control of the transferred asset. However, if a put option or guarantee constrains the transferee from selling the transferred asset, then the transferor has retained control of the transferred asset. For example, if a put option or guarantee is sufficiently valuable it constrains the transferee from selling the transferred asset because the transferee would, in practice, not sell the transferred asset to a third party without attaching a similar option or other restrictive conditions. Instead, the transferee would hold the transferred asset so as to obtain payments under the guarantee or put option. Under these circumstances the transferor has retained control of the transferred asset.
  2. To calculate the change in the value of the hedged item for the purpose of measuring hedge ineffectiveness, an entity may use a derivative that would have terms that match the critical terms of the hedged item (this is commonly referred to as a 'hypothetical derivative'), and, for example for a hedge of a forecast transaction, would be calibrated using the hedged price (or rate) level. For example, if the hedge was for a two-sided risk at the current market level, the hypothetical derivative would represent a hypothetical forward contract that is calibrated to a value of nil at the time of designation of the hedging relationship. If the hedge was for example for a one-sided risk, the hypothetical derivative would represent the intrinsic value of a hypothetical option that at the time of designation of the hedging relationship is at the money if the hedged price level is the current market level, or out of the money if the hedged price level is above (or, for a hedge of a long position, below) the current market level. Using a hypothetical derivative is one possible way of calculating the change in the value of the hedged item. The hypothetical derivative replicates the hedged item and hence results in the same outcome as if that change in value was determined by a different approach. Hence, using a 'hypothetical derivative' is not a method in its own right but a mathematical expedient that can only be used to calculate the value of the hedged item. Consequently, a 'hypothetical derivative' cannot be used to include features in the value of the hedged item that only exist in the hedging instrument (but not in the hedged item). An example is debt denominated in a foreign currency (irrespective of whether it is fixed-rate or variable-rate debt). When using a hypothetical derivative to calculate the change in the value of such debt or the present value of the cumulative change in its cash flows, the hypothetical derivative cannot simply impute a charge for exchanging different currencies even though actual derivatives under which different currencies are exchanged might include such a charge (for example, cross-currency interest rate swaps).
  3. To the extent that a transfer of a financial asset does not qualify for derecognition, the transferee does not recognise the transferred asset as its asset. The transferee derecognises the cash or other consideration paid and recognises a receivable from the transferor. If the transferor has both a right and an obligation to reacquire control of the entire transferred asset for a fixed amount (such as under a repurchase agreement), the transferee may measure its receivable at amortised cost if it meets the criteria in paragraph 4.1.2.
  4. If a call option right retained by an entity prevents a transferred asset from being derecognised and the entity measures the transferred asset at fair value, the asset continues to be measured at its fair value. The associated liability is measured at (i) the option exercise price less the time value of the option if the option is in or at the money, or (ii) the fair value of the transferred asset less the time value of the option if the option is out of the money. The adjustment to the measurement of the associated liability ensures that the net carrying amount of the asset and the associated liability is the fair value of the call option right. For example, if the fair value of the underlying asset is CU80, the option exercise price is CU95 and the time value of the option is CU5, the carrying amount of the associated liability is CU75 (CU80 – CU5) and the carrying amount of the transferred asset is CU80 (ie its fair value)

*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

MM Forgings Limited assigned short-term B1 & long-term Ba2 forecasted stock rating. We evaluate the prediction models Modular Neural Network (Market Direction Analysis) with Paired T-Test1,2,3,4 and conclude that the NSE MMFL stock is predictable in the short/long term. According to price forecasts for (n+1 year) period: The dominant strategy among neural network is to Sell NSE MMFL stock.

Financial State Forecast for NSE MMFL MM Forgings Limited Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*B1Ba2
Operational Risk 4377
Market Risk7987
Technical Analysis3039
Fundamental Analysis6150
Risk Unsystematic8181

Prediction Confidence Score

Trust metric by Neural Network: 74 out of 100 with 507 signals.

References

  1. Chernozhukov V, Escanciano JC, Ichimura H, Newey WK. 2016b. Locally robust semiparametric estimation. arXiv:1608.00033 [math.ST]
  2. Varian HR. 2014. Big data: new tricks for econometrics. J. Econ. Perspect. 28:3–28
  3. Bengio Y, Schwenk H, Senécal JS, Morin F, Gauvain JL. 2006. Neural probabilistic language models. In Innovations in Machine Learning: Theory and Applications, ed. DE Holmes, pp. 137–86. Berlin: Springer
  4. S. J. Russell and A. Zimdars. Q-decomposition for reinforcement learning agents. In Machine Learning, Proceedings of the Twentieth International Conference (ICML 2003), August 21-24, 2003, Washington, DC, USA, pages 656–663, 2003.
  5. Künzel S, Sekhon J, Bickel P, Yu B. 2017. Meta-learners for estimating heterogeneous treatment effects using machine learning. arXiv:1706.03461 [math.ST]
  6. M. J. Hausknecht and P. Stone. Deep recurrent Q-learning for partially observable MDPs. CoRR, abs/1507.06527, 2015
  7. Athey S, Mobius MM, Pál J. 2017c. The impact of aggregators on internet news consumption. Unpublished manuscript, Grad. School Bus., Stanford Univ., Stanford, CA
Frequently Asked QuestionsQ: What is the prediction methodology for NSE MMFL stock?
A: NSE MMFL stock prediction methodology: We evaluate the prediction models Modular Neural Network (Market Direction Analysis) and Paired T-Test
Q: Is NSE MMFL stock a buy or sell?
A: The dominant strategy among neural network is to Sell NSE MMFL Stock.
Q: Is MM Forgings Limited stock a good investment?
A: The consensus rating for MM Forgings Limited is Sell and assigned short-term B1 & long-term Ba2 forecasted stock rating.
Q: What is the consensus rating of NSE MMFL stock?
A: The consensus rating for NSE MMFL is Sell.
Q: What is the prediction period for NSE MMFL stock?
A: The prediction period for NSE MMFL is (n+1 year)

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