Modelling A.I. in Economics

Can we predict stock market using machine learning? (CBOE Volatility Index Stock Forecast) (Forecast)

Impact of many factors on the stock prices makes the stock prediction a difficult and highly complicated task. In this paper, machine learning techniques have been applied for the stock price prediction in order to overcome such difficulties. In the implemented work, five models have been developed and their performances are compared in predicting the stock market trends. We evaluate CBOE Volatility Index prediction models with Modular Neural Network (CNN Layer) and Paired T-Test1,2,3,4 and conclude that the CBOE Volatility 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 CBOE Volatility Index stock.


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

Key Points

  1. How do you decide buy or sell a stock?
  2. Buy, Sell and Hold Signals
  3. Why do we need predictive models?

CBOE Volatility Index Target Price Prediction Modeling Methodology

In today's economy, there is a profound impact of the stock market or equity market. Prediction of stock prices is extremely complex, chaotic, and the presence of a dynamic environment makes it a great challenge. Behavioural finance suggests that decision-making process of investors is to a very great extent influenced by the emotions and sentiments in response to a particular news. Thus, to support the decisions of the investors, we have presented an approach combining two distinct fields for analysis of stock exchange. We consider CBOE Volatility Index Stock Decision Process with Paired T-Test where A is the set of discrete actions of CBOE Volatility 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(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 (CNN Layer)) X S(n):→ (n+3 month) i = 1 n a i

n:Time series to forecast

p:Price signals of CBOE Volatility 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?

CBOE Volatility Index Stock Forecast (Buy or Sell) for (n+3 month)


Sample Set: Neural Network
Stock/Index: CBOE Volatility Index CBOE Volatility Index
Time series to forecast n: 04 Nov 2022 for (n+3 month)

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

  1. For example, an entity may use this condition to designate financial liabilities as at fair value through profit or loss if it meets the principle in paragraph 4.2.2(b) and the entity has financial assets and financial liabilities that share one or more risks and those risks are managed and evaluated on a fair value basis in accordance with a documented policy of asset and liability management. An example could be an entity that has issued 'structured products' containing multiple embedded derivatives and manages the resulting risks on a fair value basis using a mix of derivative and non-derivative financial instruments
  2. The requirements in paragraphs 6.8.4–6.8.8 may cease to apply at different times. Therefore, in applying paragraph 6.9.1, an entity may be required to amend the formal designation of its hedging relationships at different times, or may be required to amend the formal designation of a hedging relationship more than once. When, and only when, such a change is made to the hedge designation, an entity shall apply paragraphs 6.9.7–6.9.12 as applicable. An entity also shall apply paragraph 6.5.8 (for a fair value hedge) or paragraph 6.5.11 (for a cash flow hedge) to account for any changes in the fair value of the hedged item or the hedging instrument.
  3. An entity shall amend a hedging relationship as required in paragraph 6.9.1 by the end of the reporting period during which a change required by interest rate benchmark reform is made to the hedged risk, hedged item or hedging instrument. For the avoidance of doubt, such an amendment to the formal designation of a hedging relationship constitutes neither the discontinuation of the hedging relationship nor the designation of a new hedging relationship.
  4. If an entity has applied paragraph 7.2.6 then at the date of initial application the entity shall recognise any difference between the fair value of the entire hybrid contract at the date of initial application and the sum of the fair values of the components of the hybrid contract at the date of initial application in the opening retained earnings (or other component of equity, as appropriate) of the reporting period that includes the date of initial application.

*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

CBOE Volatility Index assigned short-term B1 & long-term B1 forecasted stock rating. We evaluate the prediction models Modular Neural Network (CNN Layer) with Paired T-Test1,2,3,4 and conclude that the CBOE Volatility 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 CBOE Volatility Index stock.

Financial State Forecast for CBOE Volatility Index CBOE Volatility Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*B1B1
Operational Risk 6783
Market Risk6284
Technical Analysis5349
Fundamental Analysis8238
Risk Unsystematic4343

Prediction Confidence Score

Trust metric by Neural Network: 76 out of 100 with 483 signals.

References

  1. S. Bhatnagar, H. Prasad, and L. Prashanth. Stochastic recursive algorithms for optimization, volume 434. Springer, 2013
  2. Hastie T, Tibshirani R, Friedman J. 2009. The Elements of Statistical Learning. Berlin: Springer
  3. H. Kushner and G. Yin. Stochastic approximation algorithms and applications. Springer, 1997.
  4. F. A. Oliehoek, M. T. J. Spaan, and N. A. Vlassis. Optimal and approximate q-value functions for decentralized pomdps. J. Artif. Intell. Res. (JAIR), 32:289–353, 2008
  5. Semenova V, Goldman M, Chernozhukov V, Taddy M. 2018. Orthogonal ML for demand estimation: high dimensional causal inference in dynamic panels. arXiv:1712.09988 [stat.ML]
  6. M. L. Littman. Markov games as a framework for multi-agent reinforcement learning. In Ma- chine Learning, Proceedings of the Eleventh International Conference, Rutgers University, New Brunswick, NJ, USA, July 10-13, 1994, pages 157–163, 1994
  7. Athey S, Bayati M, Imbens G, Zhaonan Q. 2019. Ensemble methods for causal effects in panel data settings. NBER Work. Pap. 25675
Frequently Asked QuestionsQ: What is the prediction methodology for CBOE Volatility Index stock?
A: CBOE Volatility Index stock prediction methodology: We evaluate the prediction models Modular Neural Network (CNN Layer) and Paired T-Test
Q: Is CBOE Volatility Index stock a buy or sell?
A: The dominant strategy among neural network is to Hold CBOE Volatility Index Stock.
Q: Is CBOE Volatility Index stock a good investment?
A: The consensus rating for CBOE Volatility Index is Hold and assigned short-term B1 & long-term B1 forecasted stock rating.
Q: What is the consensus rating of CBOE Volatility Index stock?
A: The consensus rating for CBOE Volatility Index is Hold.
Q: What is the prediction period for CBOE Volatility Index stock?
A: The prediction period for CBOE Volatility Index is (n+3 month)

Premium

  • Live broadcast of expert trader insights
  • Real-time stock market analysis
  • Access to a library of research dataset (API,XLS,JSON)
  • Real-time updates
  • In-depth research reports (PDF)

Login
This project is licensed under the license; additional terms may apply.