Modelling A.I. in Economics

HXL Options & Futures Prediction (Forecast)

This paper addresses problem of predicting direction of movement of stock and stock price index. The study compares four prediction models, Artificial Neural Network (ANN), Support Vector Machine (SVM), random forest and naive-Bayes with two approaches for input to these models. We evaluate Hexcel prediction models with Modular Neural Network (Speculative Sentiment Analysis) and Paired T-Test1,2,3,4 and conclude that the HXL 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 HXL stock.


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

Key Points

  1. Is it better to buy and sell or hold?
  2. What are the most successful trading algorithms?
  3. Prediction Modeling

HXL Target Price Prediction Modeling Methodology

Stock market is considered chaotic, complex, volatile and dynamic. Undoubtedly, its prediction is one of the most challenging tasks in time series forecasting. Moreover existing Artificial Neural Network (ANN) approaches fail to provide encouraging results. Meanwhile advances in machine learning have presented favourable results for speech recognition, image classification and language processing. We consider Hexcel Stock Decision Process with Paired T-Test where A is the set of discrete actions of HXL 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 (Speculative Sentiment Analysis)) X S(n):→ (n+16 weeks) S = s 1 s 2 s 3

n:Time series to forecast

p:Price signals of HXL 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?

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


Sample Set: Neural Network
Stock/Index: HXL Hexcel
Time series to forecast n: 04 Nov 2022 for (n+16 weeks)

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

  1. Compared to a business model whose objective is to hold financial assets to collect contractual cash flows, this business model will typically involve greater frequency and value of sales. This is because selling financial assets is integral to achieving the business model's objective instead of being only incidental to it. However, there is no threshold for the frequency or value of sales that must occur in this business model because both collecting contractual cash flows and selling financial assets are integral to achieving its objective.
  2. An entity that first applies these amendments after it first applies this Standard shall apply paragraphs 7.2.32–7.2.34. The entity shall also apply the other transition requirements in this Standard necessary for applying these amendments. For that purpose, references to the date of initial application shall be read as referring to the beginning of the reporting period in which an entity first applies these amendments (date of initial application of these amendments).
  3. 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).
  4. For example, when the critical terms (such as the nominal amount, maturity and underlying) of the hedging instrument and the hedged item match or are closely aligned, it might be possible for an entity to conclude on the basis of a qualitative assessment of those critical terms that the hedging instrument and the hedged item have values that will generally move in the opposite direction because of the same risk and hence that an economic relationship exists between the hedged item and the hedging instrument (see paragraphs B6.4.4–B6.4.6).

*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

Hexcel assigned short-term Baa2 & long-term Baa2 forecasted stock rating. We evaluate the prediction models Modular Neural Network (Speculative Sentiment Analysis) with Paired T-Test1,2,3,4 and conclude that the HXL 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 HXL stock.

Financial State Forecast for HXL Hexcel Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*Baa2Baa2
Operational Risk 6775
Market Risk7971
Technical Analysis8989
Fundamental Analysis8286
Risk Unsystematic6880

Prediction Confidence Score

Trust metric by Neural Network: 75 out of 100 with 664 signals.

References

  1. V. Borkar. A sensitivity formula for the risk-sensitive cost and the actor-critic algorithm. Systems & Control Letters, 44:339–346, 2001
  2. Belloni A, Chernozhukov V, Hansen C. 2014. High-dimensional methods and inference on structural and treatment effects. J. Econ. Perspect. 28:29–50
  3. V. Konda and J. Tsitsiklis. Actor-Critic algorithms. In Proceedings of Advances in Neural Information Processing Systems 12, pages 1008–1014, 2000
  4. Hill JL. 2011. Bayesian nonparametric modeling for causal inference. J. Comput. Graph. Stat. 20:217–40
  5. Sutton RS, Barto AG. 1998. Reinforcement Learning: An Introduction. Cambridge, MA: MIT Press
  6. E. van der Pol and F. A. Oliehoek. Coordinated deep reinforcement learners for traffic light control. NIPS Workshop on Learning, Inference and Control of Multi-Agent Systems, 2016.
  7. Matzkin RL. 2007. Nonparametric identification. In Handbook of Econometrics, Vol. 6B, ed. J Heckman, E Learner, pp. 5307–68. Amsterdam: Elsevier
Frequently Asked QuestionsQ: What is the prediction methodology for HXL stock?
A: HXL stock prediction methodology: We evaluate the prediction models Modular Neural Network (Speculative Sentiment Analysis) and Paired T-Test
Q: Is HXL stock a buy or sell?
A: The dominant strategy among neural network is to Sell HXL Stock.
Q: Is Hexcel stock a good investment?
A: The consensus rating for Hexcel is Sell and assigned short-term Baa2 & long-term Baa2 forecasted stock rating.
Q: What is the consensus rating of HXL stock?
A: The consensus rating for HXL is Sell.
Q: What is the prediction period for HXL stock?
A: The prediction period for HXL is (n+16 weeks)

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