Does algo trading work? (MMM Stock Forecast)

In this paper a Bayesian regularized artificial neural network is proposed as a novel method to forecast financial market behavior. Daily market prices and financial technical indicators are utilized as inputs to predict the one day future closing price of individual stocks. The prediction of stock price movement is generally considered to be a challenging and important task for financial time series analysis. We evaluate 3M prediction models with Modular Neural Network (Market Direction Analysis) and Wilcoxon Rank-Sum Test1,2,3,4 and conclude that the MMM 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 Sell MMM stock.


Keywords: MMM, 3M, stock forecast, machine learning based prediction, risk rating, buy-sell behaviour, stock analysis, target price analysis, options and futures.

Key Points

  1. Can machine learning predict?
  2. Buy, Sell and Hold Signals
  3. Buy, Sell and Hold Signals

MMM Target Price Prediction Modeling Methodology

Stock market forecasting is considered to be a challenging topic among time series forecasting. This study proposes a novel two-stage ensemble machine learning model named SVR-ENANFIS for stock price prediction by combining features of support vector regression (SVR) and ensemble adaptive neuro fuzzy inference system (ENANFIS). We consider 3M Stock Decision Process with Wilcoxon Rank-Sum Test where A is the set of discrete actions of MMM 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(Wilcoxon Rank-Sum 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+16 weeks) i = 1 n r i

n:Time series to forecast

p:Price signals of MMM 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?

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


Sample Set: Neural Network
Stock/Index: MMM 3M
Time series to forecast n: 14 Nov 2022 for (n+16 weeks)

According to price forecasts for (n+16 weeks) period: The dominant strategy among neural network is to Sell MMM 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 3M

  1. As with all fair value measurements, an entity's measurement method for determining the portion of the change in the liability's fair value that is attributable to changes in its credit risk must make maximum use of relevant observable inputs and minimum use of unobservable inputs.
  2. In some cases, the qualitative and non-statistical quantitative information available may be sufficient to determine that a financial instrument has met the criterion for the recognition of a loss allowance at an amount equal to lifetime expected credit losses. That is, the information does not need to flow through a statistical model or credit ratings process in order to determine whether there has been a significant increase in the credit risk of the financial instrument. In other cases, an entity may need to consider other information, including information from its statistical models or credit ratings processes.
  3. In applying the effective interest method, an entity identifies fees that are an integral part of the effective interest rate of a financial instrument. The description of fees for financial services may not be indicative of the nature and substance of the services provided. Fees that are an integral part of the effective interest rate of a financial instrument are treated as an adjustment to the effective interest rate, unless the financial instrument is measured at fair value, with the change in fair value being recognised in profit or loss. In those cases, the fees are recognised as revenue or expense when the instrument is initially recognised.
  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

3M assigned short-term Ba3 & long-term Ba3 forecasted stock rating. We evaluate the prediction models Modular Neural Network (Market Direction Analysis) with Wilcoxon Rank-Sum Test1,2,3,4 and conclude that the MMM 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 Sell MMM stock.

Financial State Forecast for MMM 3M Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*Ba3Ba3
Operational Risk 5157
Market Risk6467
Technical Analysis8573
Fundamental Analysis6836
Risk Unsystematic5585

Prediction Confidence Score

Trust metric by Neural Network: 88 out of 100 with 737 signals.

References

  1. R. Sutton and A. Barto. Reinforcement Learning. The MIT Press, 1998
  2. Chernozhukov V, Escanciano JC, Ichimura H, Newey WK. 2016b. Locally robust semiparametric estimation. arXiv:1608.00033 [math.ST]
  3. J. Spall. Multivariate stochastic approximation using a simultaneous perturbation gradient approximation. IEEE Transactions on Automatic Control, 37(3):332–341, 1992.
  4. V. Borkar. Stochastic approximation: a dynamical systems viewpoint. Cambridge University Press, 2008
  5. Athey S, Imbens G. 2016. Recursive partitioning for heterogeneous causal effects. PNAS 113:7353–60
  6. 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
  7. Mnih A, Teh YW. 2012. A fast and simple algorithm for training neural probabilistic language models. In Proceedings of the 29th International Conference on Machine Learning, pp. 419–26. La Jolla, CA: Int. Mach. Learn. Soc.
Frequently Asked QuestionsQ: What is the prediction methodology for MMM stock?
A: MMM stock prediction methodology: We evaluate the prediction models Modular Neural Network (Market Direction Analysis) and Wilcoxon Rank-Sum Test
Q: Is MMM stock a buy or sell?
A: The dominant strategy among neural network is to Sell MMM Stock.
Q: Is 3M stock a good investment?
A: The consensus rating for 3M is Sell and assigned short-term Ba3 & long-term Ba3 forecasted stock rating.
Q: What is the consensus rating of MMM stock?
A: The consensus rating for MMM is Sell.
Q: What is the prediction period for MMM stock?
A: The prediction period for MMM is (n+16 weeks)

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