Modelling A.I. in Economics

S&P/TSX Composite Index S&P/TSX Composite Index (Forecast)

S&P/TSX Composite Index Research Report

Summary

Recurrent Neural Networks (RNNs) is a sub type of neural networks that use feedback connections. Several types of RNN models are used in predicting financial time series. This study was conducted to develop models to predict daily stock prices based on Recurrent Neural Network (RNN) Approach and to measure the accuracy of the models developed and identify the shortcomings of the models if present. We evaluate S&P/TSX Composite Index prediction models with Modular Neural Network (CNN Layer) and Independent T-Test1,2,3,4 and conclude that the S&P/TSX Composite Index 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 Sell S&P/TSX Composite Index stock.

Key Points

  1. Technical Analysis with Algorithmic Trading
  2. Can neural networks predict stock market?
  3. How do you decide buy or sell a stock?

S&P/TSX Composite Index Target Price Prediction Modeling Methodology

We consider S&P/TSX Composite Index Stock Decision Process with Modular Neural Network (CNN Layer) where A is the set of discrete actions of S&P/TSX Composite 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(Independent T-Test)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) e x rx

n:Time series to forecast

p:Price signals of S&P/TSX Composite 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?

S&P/TSX Composite Index Stock Forecast (Buy or Sell) for (n+16 weeks)

Sample Set: Neural Network
Stock/Index: S&P/TSX Composite Index S&P/TSX Composite Index
Time series to forecast n: 28 Nov 2022 for (n+16 weeks)

According to price forecasts for (n+16 weeks) period: The dominant strategy among neural network is to Sell S&P/TSX Composite 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 S&P/TSX Composite Index

  1. Paragraph 5.7.5 permits an entity to make an irrevocable election to present in other comprehensive income subsequent changes in the fair value of particular investments in equity instruments. Such an investment is not a monetary item. Accordingly, the gain or loss that is presented in other comprehensive income in accordance with paragraph 5.7.5 includes any related foreign exchange component.
  2. An entity shall apply this Standard retrospectively, in accordance with IAS 8 Accounting Policies, Changes in Accounting Estimates and Errors, except as specified in paragraphs 7.2.4–7.2.26 and 7.2.28. This Standard shall not be applied to items that have already been derecognised at the date of initial application.
  3. Unless paragraph 6.8.8 applies, for a hedge of a non-contractually specified benchmark component of interest rate risk, an entity shall apply the requirement in paragraphs 6.3.7(a) and B6.3.8—that the risk component shall be separately identifiable—only at the inception of the hedging relationship.
  4. As with all fair value measurements, an entity's measurement method for determining the portion of the change in the liability's fair value that is attributable to changes in its credit risk must make maximum use of relevant observable inputs and minimum use of unobservable inputs.

*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

S&P/TSX Composite Index assigned short-term Ba3 & long-term Ba3 forecasted stock rating. We evaluate the prediction models Modular Neural Network (CNN Layer) with Independent T-Test1,2,3,4 and conclude that the S&P/TSX Composite Index 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 Sell S&P/TSX Composite Index stock.

Financial State Forecast for S&P/TSX Composite Index S&P/TSX Composite Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*Ba3Ba3
Operational Risk 4461
Market Risk9047
Technical Analysis5153
Fundamental Analysis8580
Risk Unsystematic5684

Prediction Confidence Score

Trust metric by Neural Network: 72 out of 100 with 532 signals.

References

  1. Athey S, Imbens G. 2016. Recursive partitioning for heterogeneous causal effects. PNAS 113:7353–60
  2. Athey S. 2019. The impact of machine learning on economics. In The Economics of Artificial Intelligence: An Agenda, ed. AK Agrawal, J Gans, A Goldfarb. Chicago: Univ. Chicago Press. In press
  3. Bell RM, Koren Y. 2007. Lessons from the Netflix prize challenge. ACM SIGKDD Explor. Newsl. 9:75–79
  4. Zou H, Hastie T. 2005. Regularization and variable selection via the elastic net. J. R. Stat. Soc. B 67:301–20
  5. J. Z. Leibo, V. Zambaldi, M. Lanctot, J. Marecki, and T. Graepel. Multi-agent Reinforcement Learning in Sequential Social Dilemmas. In Proceedings of the 16th International Conference on Autonomous Agents and Multiagent Systems (AAMAS 2017), Sao Paulo, Brazil, 2017
  6. L. Panait and S. Luke. Cooperative multi-agent learning: The state of the art. Autonomous Agents and Multi-Agent Systems, 11(3):387–434, 2005.
  7. Dudik M, Langford J, Li L. 2011. Doubly robust policy evaluation and learning. In Proceedings of the 28th International Conference on Machine Learning, pp. 1097–104. La Jolla, CA: Int. Mach. Learn. Soc.
Frequently Asked QuestionsQ: What is the prediction methodology for S&P/TSX Composite Index stock?
A: S&P/TSX Composite Index stock prediction methodology: We evaluate the prediction models Modular Neural Network (CNN Layer) and Independent T-Test
Q: Is S&P/TSX Composite Index stock a buy or sell?
A: The dominant strategy among neural network is to Sell S&P/TSX Composite Index Stock.
Q: Is S&P/TSX Composite Index stock a good investment?
A: The consensus rating for S&P/TSX Composite Index is Sell and assigned short-term Ba3 & long-term Ba3 forecasted stock rating.
Q: What is the consensus rating of S&P/TSX Composite Index stock?
A: The consensus rating for S&P/TSX Composite Index is Sell.
Q: What is the prediction period for S&P/TSX Composite Index stock?
A: The prediction period for S&P/TSX Composite Index is (n+16 weeks)

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