Modelling A.I. in Economics

FTSE China A50 Index Target Price Prediction

Stock market prediction is the act of trying to determine the future value of a company stock or other financial instrument traded on a financial exchange. The successful prediction of a stock's future price will maximize investor's gains. This paper proposes a machine learning model to predict stock market price. We evaluate FTSE China A50 Index prediction models with Modular Neural Network (Speculative Sentiment Analysis) and Lasso Regression1,2,3,4 and conclude that the FTSE China A50 Index stock is predictable in the short/long term. According to price forecasts for (n+4 weeks) period: The dominant strategy among neural network is to Hold FTSE China A50 Index stock.


Keywords: FTSE China A50 Index, FTSE China A50 Index, stock forecast, machine learning based prediction, risk rating, buy-sell behaviour, stock analysis, target price analysis, options and futures.

Key Points

  1. Can stock prices be predicted?
  2. What is Markov decision process in reinforcement learning?
  3. How do you decide buy or sell a stock?

FTSE China A50 Index Target Price Prediction Modeling Methodology

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 consider FTSE China A50 Index Stock Decision Process with Lasso Regression where A is the set of discrete actions of FTSE China A50 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(Lasso 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 (Speculative Sentiment Analysis)) X S(n):→ (n+4 weeks) i = 1 n r i

n:Time series to forecast

p:Price signals of FTSE China A50 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?

FTSE China A50 Index Stock Forecast (Buy or Sell) for (n+4 weeks)


Sample Set: Neural Network
Stock/Index: FTSE China A50 Index FTSE China A50 Index
Time series to forecast n: 02 Nov 2022 for (n+4 weeks)

According to price forecasts for (n+4 weeks) period: The dominant strategy among neural network is to Hold FTSE China A50 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 FTSE China A50 Index

  1. An entity shall assess separately whether each subgroup meets the requirements in paragraph 6.6.1 to be an eligible hedged item. If any subgroup fails to meet the requirements in paragraph 6.6.1, the entity shall discontinue hedge accounting prospectively for the hedging relationship in its entirety. An entity also shall apply the requirements in paragraphs 6.5.8 and 6.5.11 to account for ineffectiveness related to the hedging relationship in its entirety.
  2. Adjusting the hedge ratio by increasing the volume of the hedging instrument does not affect how the changes in the value of the hedged item are measured. The measurement of the changes in the fair value of the hedging instrument related to the previously designated volume also remains unaffected. However, from the date of rebalancing, the changes in the fair value of the hedging instrument also include the changes in the value of the additional volume of the hedging instrument. The changes are measured starting from, and by reference to, the date of rebalancing instead of the date on which the hedging relationship was designated. For example, if an entity originally hedged the price risk of a commodity using a derivative volume of 100 tonnes as the hedging instrument and added a volume of 10 tonnes on rebalancing, the hedging instrument after rebalancing would comprise a total derivative volume of 110 tonnes. The change in the fair value of the hedging instrument is the total change in the fair value of the derivatives that make up the total volume of 110 tonnes. These derivatives could (and probably would) have different critical terms, such as their forward rates, because they were entered into at different points in time (including the possibility of designating derivatives into hedging relationships after their initial recognition).
  3. If a variable-rate financial liability bears interest of (for example) three-month LIBOR minus 20 basis points (with a floor at zero basis points), an entity can designate as the hedged item the change in the cash flows of that entire liability (ie three-month LIBOR minus 20 basis points—including the floor) that is attributable to changes in LIBOR. Hence, as long as the three-month LIBOR forward curve for the remaining life of that liability does not fall below 20 basis points, the hedged item has the same cash flow variability as a liability that bears interest at three-month LIBOR with a zero or positive spread. However, if the three-month LIBOR forward curve for the remaining life of that liability (or a part of it) falls below 20 basis points, the hedged item has a lower cash flow variability than a liability that bears interest at threemonth LIBOR with a zero or positive spread.
  4. If an entity prepares interim financial reports in accordance with IAS 34 Interim Financial Reporting the entity need not apply the requirements in this Standard to interim periods prior to the date of initial application if it is impracticable (as defined in IAS 8).

*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

FTSE China A50 Index assigned short-term Caa2 & long-term B2 forecasted stock rating. We evaluate the prediction models Modular Neural Network (Speculative Sentiment Analysis) with Lasso Regression1,2,3,4 and conclude that the FTSE China A50 Index stock is predictable in the short/long term. According to price forecasts for (n+4 weeks) period: The dominant strategy among neural network is to Hold FTSE China A50 Index stock.

Financial State Forecast for FTSE China A50 Index FTSE China A50 Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*Caa2B2
Operational Risk 3348
Market Risk3050
Technical Analysis5142
Fundamental Analysis5955
Risk Unsystematic4157

Prediction Confidence Score

Trust metric by Neural Network: 92 out of 100 with 658 signals.

References

  1. Jacobs B, Donkers B, Fok D. 2014. Product Recommendations Based on Latent Purchase Motivations. Rotterdam, Neth.: ERIM
  2. K. Boda, J. Filar, Y. Lin, and L. Spanjers. Stochastic target hitting time and the problem of early retirement. Automatic Control, IEEE Transactions on, 49(3):409–419, 2004
  3. Arora S, Li Y, Liang Y, Ma T. 2016. RAND-WALK: a latent variable model approach to word embeddings. Trans. Assoc. Comput. Linguist. 4:385–99
  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. R. Sutton, D. McAllester, S. Singh, and Y. Mansour. Policy gradient methods for reinforcement learning with function approximation. In Proceedings of Advances in Neural Information Processing Systems 12, pages 1057–1063, 2000
  6. B. Derfer, N. Goodyear, K. Hung, C. Matthews, G. Paoni, K. Rollins, R. Rose, M. Seaman, and J. Wiles. Online marketing platform, August 17 2007. US Patent App. 11/893,765
  7. R. Rockafellar and S. Uryasev. Conditional value-at-risk for general loss distributions. Journal of Banking and Finance, 26(7):1443 – 1471, 2002
Frequently Asked QuestionsQ: What is the prediction methodology for FTSE China A50 Index stock?
A: FTSE China A50 Index stock prediction methodology: We evaluate the prediction models Modular Neural Network (Speculative Sentiment Analysis) and Lasso Regression
Q: Is FTSE China A50 Index stock a buy or sell?
A: The dominant strategy among neural network is to Hold FTSE China A50 Index Stock.
Q: Is FTSE China A50 Index stock a good investment?
A: The consensus rating for FTSE China A50 Index is Hold and assigned short-term Caa2 & long-term B2 forecasted stock rating.
Q: What is the consensus rating of FTSE China A50 Index stock?
A: The consensus rating for FTSE China A50 Index is Hold.
Q: What is the prediction period for FTSE China A50 Index stock?
A: The prediction period for FTSE China A50 Index is (n+4 weeks)



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