IBEX 35 Index Research Report

## Summary

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 evaluate IBEX 35 Index prediction models with Modular Neural Network (CNN Layer) and Wilcoxon Rank-Sum Test1,2,3,4 and conclude that the IBEX 35 Index stock is predictable in the short/long term. According to price forecasts for (n+8 weeks) period: The dominant strategy among neural network is to Hold IBEX 35 Index stock.

## Key Points

1. Game Theory
2. What is the use of Markov decision process?
3. Investment Risk

## IBEX 35 Index Target Price Prediction Modeling Methodology

We consider IBEX 35 Index Stock Decision Process with Modular Neural Network (CNN Layer) where A is the set of discrete actions of IBEX 35 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(Wilcoxon Rank-Sum Test)5,6,7= $\begin{array}{cccc}{p}_{a1}& {p}_{a2}& \dots & {p}_{1n}\\ & ⋮\\ {p}_{j1}& {p}_{j2}& \dots & {p}_{jn}\\ & ⋮\\ {p}_{k1}& {p}_{k2}& \dots & {p}_{kn}\\ & ⋮\\ {p}_{n1}& {p}_{n2}& \dots & {p}_{nn}\end{array}$ X R(Modular Neural Network (CNN Layer)) X S(n):→ (n+8 weeks) $\begin{array}{l}\int {e}^{x}\mathrm{rx}\end{array}$

n:Time series to forecast

p:Price signals of IBEX 35 Index stock

j:Nash equilibria (Neural Network)

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?

## IBEX 35 Index Stock Forecast (Buy or Sell) for (n+8 weeks)

Sample Set: Neural Network
Stock/Index: IBEX 35 Index IBEX 35 Index
Time series to forecast n: 18 Nov 2022 for (n+8 weeks)

According to price forecasts for (n+8 weeks) period: The dominant strategy among neural network is to Hold IBEX 35 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 IBEX 35 Index

1. For the purpose of recognising foreign exchange gains and losses under IAS 21, a financial asset measured at fair value through other comprehensive income in accordance with paragraph 4.1.2A is treated as a monetary item. Accordingly, such a financial asset is treated as an asset measured at amortised cost in the foreign currency. Exchange differences on the amortised cost are recognised in profit or loss and other changes in the carrying amount are recognised in accordance with paragraph 5.7.10.
2. If a call option right retained by an entity prevents a transferred asset from being derecognised and the entity measures the transferred asset at fair value, the asset continues to be measured at its fair value. The associated liability is measured at (i) the option exercise price less the time value of the option if the option is in or at the money, or (ii) the fair value of the transferred asset less the time value of the option if the option is out of the money. The adjustment to the measurement of the associated liability ensures that the net carrying amount of the asset and the associated liability is the fair value of the call option right. For example, if the fair value of the underlying asset is CU80, the option exercise price is CU95 and the time value of the option is CU5, the carrying amount of the associated liability is CU75 (CU80 – CU5) and the carrying amount of the transferred asset is CU80 (ie its fair value)
3. For the purpose of applying the requirements in paragraphs 6.4.1(c)(i) and B6.4.4–B6.4.6, an entity shall assume that the interest rate benchmark on which the hedged cash flows and/or the hedged risk (contractually or noncontractually specified) are based, or the interest rate benchmark on which the cash flows of the hedging instrument are based, is not altered as a result of interest rate benchmark reform.
4. When assessing a modified time value of money element, an entity must consider factors that could affect future contractual cash flows. For example, if an entity is assessing a bond with a five-year term and the variable interest rate is reset every six months to a five-year rate, the entity cannot conclude that the contractual cash flows are solely payments of principal and interest on the principal amount outstanding simply because the interest rate curve at the time of the assessment is such that the difference between a five-year interest rate and a six-month interest rate is not significant. Instead, the entity must also consider whether the relationship between the five-year interest rate and the six-month interest rate could change over the life of the instrument such that the contractual (undiscounted) cash flows over the life of the instrument could be significantly different from the (undiscounted) benchmark cash flows. However, an entity must consider only reasonably possible scenarios instead of every possible scenario. If an entity concludes that the contractual (undiscounted) cash flows could be significantly different from the (undiscounted) benchmark cash flows, the financial asset does not meet the condition in paragraphs 4.1.2(b) and 4.1.2A(b) and therefore cannot be measured at amortised cost or fair value through other comprehensive income.

*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

IBEX 35 Index assigned short-term B3 & long-term Ba3 forecasted stock rating. We evaluate the prediction models Modular Neural Network (CNN Layer) with Wilcoxon Rank-Sum Test1,2,3,4 and conclude that the IBEX 35 Index stock is predictable in the short/long term. According to price forecasts for (n+8 weeks) period: The dominant strategy among neural network is to Hold IBEX 35 Index stock.

### Financial State Forecast for IBEX 35 Index IBEX 35 Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*B3Ba3
Operational Risk 6382
Market Risk3647
Technical Analysis4233
Fundamental Analysis5190
Risk Unsystematic6674

### Prediction Confidence Score

Trust metric by Neural Network: 85 out of 100 with 814 signals.

## References

1. Tibshirani R, Hastie T. 1987. Local likelihood estimation. J. Am. Stat. Assoc. 82:559–67
2. S. Proper and K. Tumer. Modeling difference rewards for multiagent learning (extended abstract). In Proceedings of the Eleventh International Joint Conference on Autonomous Agents and Multiagent Systems, Valencia, Spain, June 2012
3. Li L, Chu W, Langford J, Moon T, Wang X. 2012. An unbiased offline evaluation of contextual bandit algo- rithms with generalized linear models. In Proceedings of 4th ACM International Conference on Web Search and Data Mining, pp. 297–306. New York: ACM
4. S. Bhatnagar, R. Sutton, M. Ghavamzadeh, and M. Lee. Natural actor-critic algorithms. Automatica, 45(11): 2471–2482, 2009
5. Hastie T, Tibshirani R, Wainwright M. 2015. Statistical Learning with Sparsity: The Lasso and Generalizations. New York: CRC Press
6. Dietterich TG. 2000. Ensemble methods in machine learning. In Multiple Classifier Systems: First International Workshop, Cagliari, Italy, June 21–23, pp. 1–15. Berlin: Springer
7. D. Bertsekas. Dynamic programming and optimal control. Athena Scientific, 1995.
Frequently Asked QuestionsQ: What is the prediction methodology for IBEX 35 Index stock?
A: IBEX 35 Index stock prediction methodology: We evaluate the prediction models Modular Neural Network (CNN Layer) and Wilcoxon Rank-Sum Test
Q: Is IBEX 35 Index stock a buy or sell?
A: The dominant strategy among neural network is to Hold IBEX 35 Index Stock.
Q: Is IBEX 35 Index stock a good investment?
A: The consensus rating for IBEX 35 Index is Hold and assigned short-term B3 & long-term Ba3 forecasted stock rating.
Q: What is the consensus rating of IBEX 35 Index stock?
A: The consensus rating for IBEX 35 Index is Hold.
Q: What is the prediction period for IBEX 35 Index stock?
A: The prediction period for IBEX 35 Index is (n+8 weeks)
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