PSI Index Research Report

## Summary

This study aims to predict the direction of stock prices by integrating time-varying effective transfer entropy (ETE) and various machine learning algorithms. At first, we explore that the ETE based on 3 and 6 months moving windows can be regarded as the market explanatory variable by analyzing the association between the financial crises and Granger-causal relationships among the stocks. We evaluate PSI Index prediction models with Modular Neural Network (Speculative Sentiment Analysis) and Multiple Regression1,2,3,4 and conclude that the PSI Index stock is predictable in the short/long term. According to price forecasts for (n+1 year) period: The dominant strategy among neural network is to Hold PSI Index stock.

## Key Points

1. Technical Analysis with Algorithmic Trading
2. What are the most successful trading algorithms?
3. What is Markov decision process in reinforcement learning?

## PSI Index Target Price Prediction Modeling Methodology

We consider PSI Index Stock Decision Process with Modular Neural Network (Speculative Sentiment Analysis) where A is the set of discrete actions of PSI 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 Î³ ∈ [0, 1] is a move factor for expectation.1,2,3,4

F(Multiple Regression)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 (Speculative Sentiment Analysis)) X S(n):→ (n+1 year) $\stackrel{\to }{R}=\left({r}_{1},{r}_{2},{r}_{3}\right)$

n:Time series to forecast

p:Price signals of PSI 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?

## PSI Index Stock Forecast (Buy or Sell) for (n+1 year)

Sample Set: Neural Network
Stock/Index: PSI Index PSI Index
Time series to forecast n: 25 Nov 2022 for (n+1 year)

According to price forecasts for (n+1 year) period: The dominant strategy among neural network is to Hold PSI 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 PSI Index

1. When designating a group of items as the hedged item, or a combination of financial instruments as the hedging instrument, an entity shall prospectively cease applying paragraphs 6.8.4–6.8.6 to an individual item or financial instrument in accordance with paragraphs 6.8.9, 6.8.10, or 6.8.11, as relevant, when the uncertainty arising from interest rate benchmark reform is no longer present with respect to the hedged risk and/or the timing and the amount of the interest rate benchmark-based cash flows of that item or financial instrument.
2. Adjusting the hedge ratio by decreasing the volume of the hedged item does not affect how the changes in the fair value of the hedging instrument are measured. The measurement of the changes in the value of the hedged item related to the volume that continues to be designated also remains unaffected. However, from the date of rebalancing, the volume by which the hedged item was decreased is no longer part of the hedging relationship. For example, if an entity originally hedged a volume of 100 tonnes of a commodity at a forward price of CU80 and reduces that volume by 10 tonnes on rebalancing, the hedged item after rebalancing would be 90 tonnes hedged at CU80. The 10 tonnes of the hedged item that are no longer part of the hedging relationship would be accounted for in accordance with the requirements for the discontinuation of hedge accounting (see paragraphs 6.5.6–6.5.7 and B6.5.22–B6.5.28).
3. For hedges other than hedges of foreign currency risk, when an entity designates a non-derivative financial asset or a non-derivative financial liability measured at fair value through profit or loss as a hedging instrument, it may only designate the non-derivative financial instrument in its entirety or a proportion of it.
4. One of the defining characteristics of a derivative is that it has an initial net investment that is smaller than would be required for other types of contracts that would be expected to have a similar response to changes in market factors. An option contract meets that definition because the premium is less than the investment that would be required to obtain the underlying financial instrument to which the option is linked. A currency swap that requires an initial exchange of different currencies of equal fair values meets the definition because it has a zero initial net investment.

*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

PSI Index assigned short-term B2 & long-term Ba3 forecasted stock rating. We evaluate the prediction models Modular Neural Network (Speculative Sentiment Analysis) with Multiple Regression1,2,3,4 and conclude that the PSI Index stock is predictable in the short/long term. According to price forecasts for (n+1 year) period: The dominant strategy among neural network is to Hold PSI Index stock.

### Financial State Forecast for PSI Index PSI Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*B2Ba3
Operational Risk 3656
Market Risk5865
Technical Analysis3548
Fundamental Analysis6579
Risk Unsystematic7674

### Prediction Confidence Score

Trust metric by Neural Network: 89 out of 100 with 553 signals.

## References

1. S. Bhatnagar, H. Prasad, and L. Prashanth. Stochastic recursive algorithms for optimization, volume 434. Springer, 2013
2. Dimakopoulou M, Athey S, Imbens G. 2017. Estimation considerations in contextual bandits. arXiv:1711.07077 [stat.ML]
3. Chen, C. L. Liu (1993), "Joint estimation of model parameters and outlier effects in time series," Journal of the American Statistical Association, 88, 284–297.
4. Wu X, Kumar V, Quinlan JR, Ghosh J, Yang Q, et al. 2008. Top 10 algorithms in data mining. Knowl. Inform. Syst. 14:1–37
5. Chipman HA, George EI, McCulloch RE. 2010. Bart: Bayesian additive regression trees. Ann. Appl. Stat. 4:266–98
6. Ashley, R. (1983), "On the usefulness of macroeconomic forecasts as inputs to forecasting models," Journal of Forecasting, 2, 211–223.
7. Keane MP. 2013. Panel data discrete choice models of consumer demand. In The Oxford Handbook of Panel Data, ed. BH Baltagi, pp. 54–102. Oxford, UK: Oxford Univ. Press
Frequently Asked QuestionsQ: What is the prediction methodology for PSI Index stock?
A: PSI Index stock prediction methodology: We evaluate the prediction models Modular Neural Network (Speculative Sentiment Analysis) and Multiple Regression
Q: Is PSI Index stock a buy or sell?
A: The dominant strategy among neural network is to Hold PSI Index Stock.
Q: Is PSI Index stock a good investment?
A: The consensus rating for PSI Index is Hold and assigned short-term B2 & long-term Ba3 forecasted stock rating.
Q: What is the consensus rating of PSI Index stock?
A: The consensus rating for PSI Index is Hold.
Q: What is the prediction period for PSI Index stock?
A: The prediction period for PSI Index is (n+1 year)