Modelling A.I. in Economics

MRK Stock Price Prediction (Forecast)

We present an Artificial Neural Network (ANN) approach to predict stock market indices, particularly with respect to the forecast of their trend movements up or down. Exploiting different Neural Networks architectures, we provide numerical analysis of concrete financial time series. In particular, after a brief r ́esum ́e of the existing literature on the subject, we consider the Multi-layer Perceptron (MLP), the Convolutional Neural Net- works (CNN), and the Long Short-Term Memory (LSTM) recurrent neural networks techniques. We evaluate Merck & Co. prediction models with Modular Neural Network (CNN Layer) and ElasticNet Regression1,2,3,4 and conclude that the MRK 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 Buy MRK stock.


Keywords: MRK, Merck & Co., stock forecast, machine learning based prediction, risk rating, buy-sell behaviour, stock analysis, target price analysis, options and futures.

Key Points

  1. Reaction Function
  2. Trading Interaction
  3. Fundemental Analysis with Algorithmic Trading

MRK Target Price Prediction Modeling Methodology

The study of financial markets has been addressed in many works during the last years. Different methods have been used in order to capture the non-linear behavior which is characteristic of these complex systems. The development of profitable strategies has been associated with the predictive character of the market movement, and special attention has been devoted to forecast the trends of financial markets. We consider Merck & Co. Stock Decision Process with ElasticNet Regression where A is the set of discrete actions of MRK 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(ElasticNet 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 (CNN Layer)) X S(n):→ (n+16 weeks) i = 1 n s i

n:Time series to forecast

p:Price signals of MRK 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?

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


Sample Set: Neural Network
Stock/Index: MRK Merck & Co.
Time series to forecast n: 06 Nov 2022 for (n+16 weeks)

According to price forecasts for (n+16 weeks) period: The dominant strategy among neural network is to Buy MRK 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 Merck & Co.

  1. In addition to those hedging relationships specified in paragraph 6.9.1, an entity shall apply the requirements in paragraphs 6.9.11 and 6.9.12 to new hedging relationships in which an alternative benchmark rate is designated as a non-contractually specified risk component (see paragraphs 6.3.7(a) and B6.3.8) when, because of interest rate benchmark reform, that risk component is not separately identifiable at the date it is designated.
  2. If any instrument in the pool does not meet the conditions in either paragraph B4.1.23 or paragraph B4.1.24, the condition in paragraph B4.1.21(b) is not met. In performing this assessment, a detailed instrument-byinstrument analysis of the pool may not be necessary. However, an entity must use judgement and perform sufficient analysis to determine whether the instruments in the pool meet the conditions in paragraphs B4.1.23–B4.1.24. (See also paragraph B4.1.18 for guidance on contractual cash flow characteristics that have only a de minimis effect.)
  3. Annual Improvements to IFRSs 2010–2012 Cycle, issued in December 2013, amended paragraphs 4.2.1 and 5.7.5 as a consequential amendment derived from the amendment to IFRS 3. An entity shall apply that amendment prospectively to business combinations to which the amendment to IFRS 3 applies.
  4. The expected credit losses on a loan commitment shall be discounted using the effective interest rate, or an approximation thereof, that will be applied when recognising the financial asset resulting from the loan commitment. This is because for the purpose of applying the impairment requirements, a financial asset that is recognised following a draw down on a loan commitment shall be treated as a continuation of that commitment instead of as a new financial instrument. The expected credit losses on the financial asset shall therefore be measured considering the initial credit risk of the loan commitment from the date that the entity became a party to the irrevocable commitment.

*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

Merck & Co. assigned short-term B3 & long-term B2 forecasted stock rating. We evaluate the prediction models Modular Neural Network (CNN Layer) with ElasticNet Regression1,2,3,4 and conclude that the MRK 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 Buy MRK stock.

Financial State Forecast for MRK Merck & Co. Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*B3B2
Operational Risk 4963
Market Risk4851
Technical Analysis3548
Fundamental Analysis3268
Risk Unsystematic7239

Prediction Confidence Score

Trust metric by Neural Network: 90 out of 100 with 826 signals.

References

  1. Matzkin RL. 2007. Nonparametric identification. In Handbook of Econometrics, Vol. 6B, ed. J Heckman, E Learner, pp. 5307–68. Amsterdam: Elsevier
  2. Bewley, R. M. Yang (1998), "On the size and power of system tests for cointegration," Review of Economics and Statistics, 80, 675–679.
  3. H. Kushner and G. Yin. Stochastic approximation algorithms and applications. Springer, 1997.
  4. Nie X, Wager S. 2019. Quasi-oracle estimation of heterogeneous treatment effects. arXiv:1712.04912 [stat.ML]
  5. R. Williams. Simple statistical gradient-following algorithms for connectionist reinforcement learning. Ma- chine learning, 8(3-4):229–256, 1992
  6. R. Williams. Simple statistical gradient-following algorithms for connectionist reinforcement learning. Ma- chine learning, 8(3-4):229–256, 1992
  7. White H. 1992. Artificial Neural Networks: Approximation and Learning Theory. Oxford, UK: Blackwell
Frequently Asked QuestionsQ: What is the prediction methodology for MRK stock?
A: MRK stock prediction methodology: We evaluate the prediction models Modular Neural Network (CNN Layer) and ElasticNet Regression
Q: Is MRK stock a buy or sell?
A: The dominant strategy among neural network is to Buy MRK Stock.
Q: Is Merck & Co. stock a good investment?
A: The consensus rating for Merck & Co. is Buy and assigned short-term B3 & long-term B2 forecasted stock rating.
Q: What is the consensus rating of MRK stock?
A: The consensus rating for MRK is Buy.
Q: What is the prediction period for MRK stock?
A: The prediction period for MRK is (n+16 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.