Short/Long Term Stocks: Tadawul All Share Index Stock Forecast

In this paper a Bayesian regularized artificial neural network is proposed as a novel method to forecast financial market behavior. Daily market prices and financial technical indicators are utilized as inputs to predict the one day future closing price of individual stocks. The prediction of stock price movement is generally considered to be a challenging and important task for financial time series analysis. We evaluate Tadawul All Share Index prediction models with Modular Neural Network (Financial Sentiment Analysis) and Ridge Regression^1,2,3,4 and conclude that the Tadawul All Share Index stock is predictable in the short/long term. According to price forecasts for (n+3 month) period: The dominant strategy among neural network is to Sell Tadawul All Share Index stock.

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

Key Points

1. Probability Distribution
2. Trading Interaction
3. Stock Rating

Tadawul All Share Index Target Price Prediction Modeling Methodology

Accurate stock market prediction is of great interest to investors; however, stock markets are driven by volatile factors such as microblogs and news that make it hard to predict stock market index based on merely the historical data. The enormous stock market volatility emphasizes the need to effectively assess the role of external factors in stock prediction. Stock markets can be predicted using machine learning algorithms on information contained in social media and financial news, as this data can change investors' behavior. We consider Tadawul All Share Index Stock Decision Process with Ridge Regression where A is the set of discrete actions of Tadawul All Share 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(Ridge Regression)^5,6,7= $\begin{array}{cccc}{p}_{\mathrm{a}1}& p_{\mathrm{a}2}& \dots & p_{1n}\\ & ⋮\\ p_{j1}& p_{j2}& \dots & p_{jn}\\ & ⋮\\ p_{k1}& p_{k2}& \dots & p_{kn}\\ & ⋮\\ p_{n1}& p_{n2}& \dots & p_{nn}\end{array}$ X R(Modular Neural Network (Financial Sentiment Analysis)) X S(n):→ (n+3 month) $\sum _{i=1}^n\left(r_i\right)$

n:Time series to forecast

p:Price signals of Tadawul All Share Index stock

j:Nash equilibria

k:Dominated move

a:Best response for target price

 

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How do AC Investment Research machine learning (predictive) algorithms actually work?

Tadawul All Share Index Stock Forecast (Buy or Sell) for (n+3 month)

Sample Set: Neural Network
Stock/Index: Tadawul All Share Index Tadawul All Share Index
Time series to forecast n: 02 Nov 2022 for (n+3 month)

According to price forecasts for (n+3 month) period: The dominant strategy among neural network is to Sell Tadawul All Share 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 Tadawul All Share Index

1. For the purpose of determining whether a forecast transaction (or a component thereof) is highly probable as required by paragraph 6.3.3, an entity shall assume that the interest rate benchmark on which the hedged cash flows (contractually or non-contractually specified) are based is not altered as a result of interest rate benchmark reform.
2. If, in applying paragraph 7.2.44, an entity reinstates a discontinued hedging relationship, the entity shall read references in paragraphs 6.9.11 and 6.9.12 to the date the alternative benchmark rate is designated as a noncontractually specified risk component for the first time as referring to the date of initial application of these amendments (ie the 24-month period for that alternative benchmark rate designated as a non-contractually specified risk component begins from the date of initial application of these amendments).
3. However, an entity is not required to separately recognise interest revenue or impairment gains or losses for a financial asset measured at fair value through profit or loss. Consequently, when an entity reclassifies a financial asset out of the fair value through profit or loss measurement category, the effective interest rate is determined on the basis of the fair value of the asset at the reclassification date. In addition, for the purposes of applying Section 5.5 to the financial asset from the reclassification date, the date of the reclassification is treated as the date of initial recognition.
4. There is a rebuttable presumption that unless inflation risk is contractually specified, it is not separately identifiable and reliably measurable and hence cannot be designated as a risk component of a financial instrument. However, in limited cases, it is possible to identify a risk component for inflation risk that is separately identifiable and reliably measurable because of the particular circumstances of the inflation environment and the relevant debt market

*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

Tadawul All Share Index assigned short-term B2 & long-term Ba3 forecasted stock rating. We evaluate the prediction models Modular Neural Network (Financial Sentiment Analysis) with Ridge Regression^1,2,3,4 and conclude that the Tadawul All Share Index stock is predictable in the short/long term. According to price forecasts for (n+3 month) period: The dominant strategy among neural network is to Sell Tadawul All Share Index stock.

Financial State Forecast for Tadawul All Share Index Tadawul All Share Index Stock Options & Futures

Rating	Short-Term	Long-Term Senior
Outlook*	B2	Ba3
Operational Risk	81	48
Market Risk	53	82
Technical Analysis	43	81
Fundamental Analysis	37	43
Risk Unsystematic	74	65

Prediction Confidence Score

Trust metric by Neural Network: 85 out of 100 with 573 signals.

References

1. Cheung, Y. M.D. Chinn (1997), "Further investigation of the uncertain unit root in GNP," Journal of Business and Economic Statistics, 15, 68–73.
2. Zubizarreta JR. 2015. Stable weights that balance covariates for estimation with incomplete outcome data. J. Am. Stat. Assoc. 110:910–22
3. Imbens GW, Lemieux T. 2008. Regression discontinuity designs: a guide to practice. J. Econom. 142:615–35
4. J. G. Schneider, W. Wong, A. W. Moore, and M. A. Riedmiller. Distributed value functions. In Proceedings of the Sixteenth International Conference on Machine Learning (ICML 1999), Bled, Slovenia, June 27 - 30, 1999, pages 371–378, 1999.
5. Kitagawa T, Tetenov A. 2015. Who should be treated? Empirical welfare maximization methods for treatment choice. Tech. Rep., Cent. Microdata Methods Pract., Inst. Fiscal Stud., London
6. Bertsimas D, King A, Mazumder R. 2016. Best subset selection via a modern optimization lens. Ann. Stat. 44:813–52
7. Bera, A. M. L. Higgins (1997), "ARCH and bilinearity as competing models for nonlinear dependence," Journal of Business Economic Statistics, 15, 43–50.

Frequently Asked Questions

Q: What is the prediction methodology for Tadawul All Share Index stock?
A: Tadawul All Share Index stock prediction methodology: We evaluate the prediction models Modular Neural Network (Financial Sentiment Analysis) and Ridge Regression
Q: Is Tadawul All Share Index stock a buy or sell?
A: The dominant strategy among neural network is to Sell Tadawul All Share Index Stock.
Q: Is Tadawul All Share Index stock a good investment?
A: The consensus rating for Tadawul All Share Index is Sell and assigned short-term B2 & long-term Ba3 forecasted stock rating.
Q: What is the consensus rating of Tadawul All Share Index stock?
A: The consensus rating for Tadawul All Share Index is Sell.
Q: What is the prediction period for Tadawul All Share Index stock?
A: The prediction period for Tadawul All Share Index is (n+3 month)

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