Modelling A.I. in Economics

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

Prediction of future movement of stock prices has always been a challenging task for the researchers. While the advocates of the efficient market hypothesis (EMH) believe that it is impossible to design any predictive framework that can accurately predict the movement of stock prices, there are seminal work in the literature that have clearly demonstrated that the seemingly random movement patterns in the time series of a stock price can be predicted with a high level of accuracy. We evaluate Weyerhaeuser prediction models with Modular Neural Network (CNN Layer) and Spearman Correlation1,2,3,4 and conclude that the WY 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 WY stock.

Key Points

  1. What are the most successful trading algorithms?
  2. Market Outlook
  3. What is statistical models in machine learning?

WY Target Price Prediction Modeling Methodology

Development of linguistic technologies and penetration of social media provide powerful possibilities to investigate users' moods and psychological states of people. In this paper we discussed possibility to improve accuracy of stock market indicators predictions by using data about psychological states of Twitter users. For analysis of psychological states we used lexicon-based approach. We consider Weyerhaeuser Stock Decision Process with Spearman Correlation where A is the set of discrete actions of WY 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(Spearman Correlation)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+16 weeks) i = 1 n a i

n:Time series to forecast

p:Price signals of WY 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?

WY Stock Forecast (Buy or Sell) for (n+16 weeks)

Sample Set: Neural Network
Stock/Index: WY Weyerhaeuser
Time series to forecast n: 17 Nov 2022 for (n+16 weeks)

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

  1. The change in the value of the hedged item determined using a hypothetical derivative may also be used for the purpose of assessing whether a hedging relationship meets the hedge effectiveness requirements.
  2. If, at the date of initial application, it is impracticable (as defined in IAS 8) for an entity to assess whether the fair value of a prepayment feature was insignificant in accordance with paragraph B4.1.12(c) on the basis of the facts and circumstances that existed at the initial recognition of the financial asset, an entity shall assess the contractual cash flow characteristics of that financial asset on the basis of the facts and circumstances that existed at the initial recognition of the financial asset without taking into account the exception for prepayment features in paragraph B4.1.12. (See also paragraph 42S of IFRS 7.)
  3. At the date of initial application, an entity shall use reasonable and supportable information that is available without undue cost or effort to determine the credit risk at the date that a financial instrument was initially recognised (or for loan commitments and financial guarantee contracts at the date that the entity became a party to the irrevocable commitment in accordance with paragraph 5.5.6) and compare that to the credit risk at the date of initial application of this Standard.
  4. Rebalancing refers to the adjustments made to the designated quantities of the hedged item or the hedging instrument of an already existing hedging relationship for the purpose of maintaining a hedge ratio that complies with the hedge effectiveness requirements. Changes to designated quantities of a hedged item or of a hedging instrument for a different purpose do not constitute rebalancing for the purpose of this Standard

*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

Weyerhaeuser assigned short-term B1 & long-term B1 forecasted stock rating. We evaluate the prediction models Modular Neural Network (CNN Layer) with Spearman Correlation1,2,3,4 and conclude that the WY 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 WY stock.

Financial State Forecast for WY Weyerhaeuser Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*B1B1
Operational Risk 8833
Market Risk5543
Technical Analysis7066
Fundamental Analysis3885
Risk Unsystematic5760

Prediction Confidence Score

Trust metric by Neural Network: 83 out of 100 with 497 signals.

References

  1. Chernozhukov V, Chetverikov D, Demirer M, Duflo E, Hansen C, et al. 2018a. Double/debiased machine learning for treatment and structural parameters. Econom. J. 21:C1–68
  2. 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]
  3. Belsley, D. A. (1988), "Modelling and forecast reliability," International Journal of Forecasting, 4, 427–447.
  4. Imbens GW, Lemieux T. 2008. Regression discontinuity designs: a guide to practice. J. Econom. 142:615–35
  5. D. Bertsekas and J. Tsitsiklis. Neuro-dynamic programming. Athena Scientific, 1996.
  6. Bickel P, Klaassen C, Ritov Y, Wellner J. 1998. Efficient and Adaptive Estimation for Semiparametric Models. Berlin: Springer
  7. E. Altman, K. Avrachenkov, and R. N ́u ̃nez-Queija. Perturbation analysis for denumerable Markov chains with application to queueing models. Advances in Applied Probability, pages 839–853, 2004
Frequently Asked QuestionsQ: What is the prediction methodology for WY stock?
A: WY stock prediction methodology: We evaluate the prediction models Modular Neural Network (CNN Layer) and Spearman Correlation
Q: Is WY stock a buy or sell?
A: The dominant strategy among neural network is to Hold WY Stock.
Q: Is Weyerhaeuser stock a good investment?
A: The consensus rating for Weyerhaeuser is Hold and assigned short-term B1 & long-term B1 forecasted stock rating.
Q: What is the consensus rating of WY stock?
A: The consensus rating for WY is Hold.
Q: What is the prediction period for WY stock?
A: The prediction period for WY is (n+16 weeks)



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