Modelling A.I. in Economics

Nikkei 225 Index Target Price Prediction

With the advent of technological marvels like global digitization, the prediction of the stock market has entered a technologically advanced era, revamping the old model of trading. With the ceaseless increase in market capitalization, stock trading has become a center of investment for many financial investors. Many analysts and researchers have developed tools and techniques that predict stock price movements and help investors in proper decision-making. We evaluate Nikkei 225 Index prediction models with Supervised Machine Learning (ML) and Lasso Regression1,2,3,4 and conclude that the Nikkei 225 Index stock is predictable in the short/long term. According to price forecasts for (n+6 month) period: The dominant strategy among neural network is to Sell Nikkei 225 Index stock.


Keywords: Nikkei 225 Index, Nikkei 225 Index, stock forecast, machine learning based prediction, risk rating, buy-sell behaviour, stock analysis, target price analysis, options and futures.

Key Points

  1. Can we predict stock market using machine learning?
  2. What is statistical models in machine learning?
  3. Stock Rating

Nikkei 225 Index Target Price Prediction Modeling Methodology

This paper surveys machine learning techniques for stock market prediction. The prediction of stock markets is regarded as a challenging task of financial time series prediction. We consider Nikkei 225 Index Stock Decision Process with Lasso Regression where A is the set of discrete actions of Nikkei 225 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(Supervised Machine Learning (ML)) X S(n):→ (n+6 month) R = 1 0 0 0 1 0 0 0 1

n:Time series to forecast

p:Price signals of Nikkei 225 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?

Nikkei 225 Index Stock Forecast (Buy or Sell) for (n+6 month)

Sample Set: Neural Network
Stock/Index: Nikkei 225 Index Nikkei 225 Index
Time series to forecast n: 01 Nov 2022 for (n+6 month)

According to price forecasts for (n+6 month) period: The dominant strategy among neural network is to Sell Nikkei 225 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 Nikkei 225 Index

  1. In accordance with paragraph 4.1.3(a), principal is the fair value of the financial asset at initial recognition. However that principal amount may change over the life of the financial asset (for example, if there are repayments of principal).
  2. In some circumstances, the renegotiation or modification of the contractual cash flows of a financial asset can lead to the derecognition of the existing financial asset in accordance with this Standard. When the modification of a financial asset results in the derecognition of the existing financial asset and the subsequent recognition of the modified financial asset, the modified asset is considered a 'new' financial asset for the purposes of this Standard.
  3. An entity's risk management is the main source of information to perform the assessment of whether a hedging relationship meets the hedge effectiveness requirements. This means that the management information (or analysis) used for decision-making purposes can be used as a basis for assessing whether a hedging relationship meets the hedge effectiveness requirements.
  4. 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.)

*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

Nikkei 225 Index assigned short-term B1 & long-term Ba3 forecasted stock rating. We evaluate the prediction models Supervised Machine Learning (ML) with Lasso Regression1,2,3,4 and conclude that the Nikkei 225 Index stock is predictable in the short/long term. According to price forecasts for (n+6 month) period: The dominant strategy among neural network is to Sell Nikkei 225 Index stock.

Financial State Forecast for Nikkei 225 Index Nikkei 225 Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*B1Ba3
Operational Risk 3177
Market Risk8589
Technical Analysis7755
Fundamental Analysis5332
Risk Unsystematic5770

Prediction Confidence Score

Trust metric by Neural Network: 81 out of 100 with 528 signals.

References

  1. A. K. Agogino and K. Tumer. Analyzing and visualizing multiagent rewards in dynamic and stochastic environments. Journal of Autonomous Agents and Multi-Agent Systems, 17(2):320–338, 2008
  2. J. Baxter and P. Bartlett. Infinite-horizon policy-gradient estimation. Journal of Artificial Intelligence Re- search, 15:319–350, 2001.
  3. J. Hu and M. P. Wellman. Nash q-learning for general-sum stochastic games. Journal of Machine Learning Research, 4:1039–1069, 2003.
  4. Imai K, Ratkovic M. 2013. Estimating treatment effect heterogeneity in randomized program evaluation. Ann. Appl. Stat. 7:443–70
  5. Wan M, Wang D, Goldman M, Taddy M, Rao J, et al. 2017. Modeling consumer preferences and price sensitiv- ities from large-scale grocery shopping transaction logs. In Proceedings of the 26th International Conference on the World Wide Web, pp. 1103–12. New York: ACM
  6. A. Tamar, D. Di Castro, and S. Mannor. Policy gradients with variance related risk criteria. In Proceedings of the Twenty-Ninth International Conference on Machine Learning, pages 387–396, 2012.
  7. D. Bertsekas. Min common/max crossing duality: A geometric view of conjugacy in convex optimization. Lab. for Information and Decision Systems, MIT, Tech. Rep. Report LIDS-P-2796, 2009
Frequently Asked QuestionsQ: What is the prediction methodology for Nikkei 225 Index stock?
A: Nikkei 225 Index stock prediction methodology: We evaluate the prediction models Supervised Machine Learning (ML) and Lasso Regression
Q: Is Nikkei 225 Index stock a buy or sell?
A: The dominant strategy among neural network is to Sell Nikkei 225 Index Stock.
Q: Is Nikkei 225 Index stock a good investment?
A: The consensus rating for Nikkei 225 Index is Sell and assigned short-term B1 & long-term Ba3 forecasted stock rating.
Q: What is the consensus rating of Nikkei 225 Index stock?
A: The consensus rating for Nikkei 225 Index is Sell.
Q: What is the prediction period for Nikkei 225 Index stock?
A: The prediction period for Nikkei 225 Index is (n+6 month)

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