Modelling A.I. in Economics

Is FTSE 100 Index Stock Buy or Sell? (Stock Forecast)

Stock market is a promising financial investment that can generate great wealth. However, the volatile nature of the stock market makes it a very high risk investment. Thus, a lot of researchers have contributed their efforts to forecast the stock market pricing and average movement. Researchers have used various methods in computer science and economics in their quests to gain a piece of this volatile information and make great fortune out of the stock market investment. This paper investigates various techniques for the stock market prediction using artificial neural network (ANN). We evaluate FTSE 100 Index prediction models with Multi-Task Learning (ML) and Pearson Correlation1,2,3,4 and conclude that the FTSE 100 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 100 Index stock.


Keywords: FTSE 100 Index, FTSE 100 Index, stock forecast, machine learning based prediction, risk rating, buy-sell behaviour, stock analysis, target price analysis, options and futures.

Key Points

  1. Prediction Modeling
  2. Market Risk
  3. Investment Risk

FTSE 100 Index Target Price Prediction Modeling Methodology

Stock market is basically nonlinear in nature and the research on stock market is one of the most important issues in recent years. People invest in stock market based on some prediction. For predict, the stock market prices people search such methods and tools which will increase their profits, while minimize their risks. Prediction plays a very important role in stock market business which is very complicated and challenging process. We consider FTSE 100 Index Stock Decision Process with Pearson Correlation where A is the set of discrete actions of FTSE 100 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(Pearson 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(Multi-Task Learning (ML)) X S(n):→ (n+4 weeks) r s rs

n:Time series to forecast

p:Price signals of FTSE 100 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 100 Index Stock Forecast (Buy or Sell) for (n+4 weeks)

Sample Set: Neural Network
Stock/Index: FTSE 100 Index FTSE 100 Index
Time series to forecast n: 17 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 100 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 100 Index

  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. The accounting for the forward element of forward contracts in accordance with paragraph 6.5.16 applies only to the extent that the forward element relates to the hedged item (aligned forward element). The forward element of a forward contract relates to the hedged item if the critical terms of the forward contract (such as the nominal amount, life and underlying) are aligned with the hedged item. Hence, if the critical terms of the forward contract and the hedged item are not fully aligned, an entity shall determine the aligned forward element, ie how much of the forward element included in the forward contract (actual forward element) relates to the hedged item (and therefore should be treated in accordance with paragraph 6.5.16). An entity determines the aligned forward element using the valuation of the forward contract that would have critical terms that perfectly match the hedged item.
  3. To the extent that a transfer of a financial asset does not qualify for derecognition, the transferor's contractual rights or obligations related to the transfer are not accounted for separately as derivatives if recognising both the derivative and either the transferred asset or the liability arising from the transfer would result in recognising the same rights or obligations twice. For example, a call option retained by the transferor may prevent a transfer of financial assets from being accounted for as a sale. In that case, the call option is not separately recognised as a derivative asset.
  4. For some types of fair value hedges, the objective of the hedge is not primarily to offset the fair value change of the hedged item but instead to transform the cash flows of the hedged item. For example, an entity hedges the fair value interest rate risk of a fixed-rate debt instrument using an interest rate swap. The entity's hedge objective is to transform the fixed-interest cash flows into floating interest cash flows. This objective is reflected in the accounting for the hedging relationship by accruing the net interest accrual on the interest rate swap in profit or loss. In the case of a hedge of a net position (for example, a net position of a fixed-rate asset and a fixed-rate liability), this net interest accrual must be presented in a separate line item in the statement of profit or loss and other comprehensive income. This is to avoid the grossing up of a single instrument's net gains or losses into offsetting gross amounts and recognising them in different line items (for example, this avoids grossing up a net interest receipt on a single interest rate swap into gross interest revenue and gross interest expense).

*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 100 Index assigned short-term Ba3 & long-term B2 forecasted stock rating. We evaluate the prediction models Multi-Task Learning (ML) with Pearson Correlation1,2,3,4 and conclude that the FTSE 100 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 100 Index stock.

Financial State Forecast for FTSE 100 Index FTSE 100 Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*Ba3B2
Operational Risk 9033
Market Risk7035
Technical Analysis4151
Fundamental Analysis6777
Risk Unsystematic6564

Prediction Confidence Score

Trust metric by Neural Network: 79 out of 100 with 667 signals.

References

  1. R. Sutton and A. Barto. Reinforcement Learning. The MIT Press, 1998
  2. Jacobs B, Donkers B, Fok D. 2014. Product Recommendations Based on Latent Purchase Motivations. Rotterdam, Neth.: ERIM
  3. Zubizarreta JR. 2015. Stable weights that balance covariates for estimation with incomplete outcome data. J. Am. Stat. Assoc. 110:910–22
  4. Candès E, Tao T. 2007. The Dantzig selector: statistical estimation when p is much larger than n. Ann. Stat. 35:2313–51
  5. Barkan O. 2016. Bayesian neural word embedding. arXiv:1603.06571 [math.ST]
  6. Mazumder R, Hastie T, Tibshirani R. 2010. Spectral regularization algorithms for learning large incomplete matrices. J. Mach. Learn. Res. 11:2287–322
  7. Pennington J, Socher R, Manning CD. 2014. GloVe: global vectors for word representation. In Proceedings of the 2014 Conference on Empirical Methods on Natural Language Processing, pp. 1532–43. New York: Assoc. Comput. Linguist.
Frequently Asked QuestionsQ: What is the prediction methodology for FTSE 100 Index stock?
A: FTSE 100 Index stock prediction methodology: We evaluate the prediction models Multi-Task Learning (ML) and Pearson Correlation
Q: Is FTSE 100 Index stock a buy or sell?
A: The dominant strategy among neural network is to Hold FTSE 100 Index Stock.
Q: Is FTSE 100 Index stock a good investment?
A: The consensus rating for FTSE 100 Index is Hold and assigned short-term Ba3 & long-term B2 forecasted stock rating.
Q: What is the consensus rating of FTSE 100 Index stock?
A: The consensus rating for FTSE 100 Index is Hold.
Q: What is the prediction period for FTSE 100 Index stock?
A: The prediction period for FTSE 100 Index is (n+4 weeks)

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.