Should You Buy, Sell, or Hold? (AEX 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 AEX Index prediction models with Multi-Task Learning (ML) and Beta^1,2,3,4 and conclude that the AEX 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 Buy AEX Index stock.

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

Key Points

1. Market Risk
2. Trust metric by Neural Network
3. How do you decide buy or sell a stock?

AEX Index Target Price Prediction Modeling Methodology

The stock market is very volatile and non-stationary and generates huge volumes of data in every second. In this article, the existing machine learning algorithms are analyzed for stock market forecasting and also a new pattern-finding algorithm for forecasting stock trend is developed. Three approaches can be used to solve the problem: fundamental analysis, technical analysis, and the machine learning. Experimental analysis done in this article shows that the machine learning could be useful for investors to make profitable decisions. We consider AEX Index Stock Decision Process with Beta where A is the set of discrete actions of AEX 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(Beta)^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(Multi-Task Learning (ML)) X S(n):→ (n+16 weeks) $\begin{array}{l}\int e^x\mathrm{rx}\end{array}$

n:Time series to forecast

p:Price signals of AEX 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?

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

Sample Set: Neural Network
Stock/Index: AEX Index AEX Index
Time series to forecast n: 10 Nov 2022 for (n+16 weeks)

According to price forecasts for (n+16 weeks) period: The dominant strategy among neural network is to Buy AEX 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 AEX Index

1. To the extent that a transfer of a financial asset does not qualify for derecognition, the transferee does not recognise the transferred asset as its asset. The transferee derecognises the cash or other consideration paid and recognises a receivable from the transferor. If the transferor has both a right and an obligation to reacquire control of the entire transferred asset for a fixed amount (such as under a repurchase agreement), the transferee may measure its receivable at amortised cost if it meets the criteria in paragraph 4.1.2.
2. For the purpose of recognising foreign exchange gains and losses under IAS 21, a financial asset measured at fair value through other comprehensive income in accordance with paragraph 4.1.2A is treated as a monetary item. Accordingly, such a financial asset is treated as an asset measured at amortised cost in the foreign currency. Exchange differences on the amortised cost are recognised in profit or loss and other changes in the carrying amount are recognised in accordance with paragraph 5.7.10.
3. Such designation may be used whether paragraph 4.3.3 requires the embedded derivatives to be separated from the host contract or prohibits such separation. However, paragraph 4.3.5 would not justify designating the hybrid contract as at fair value through profit or loss in the cases set out in paragraph 4.3.5(a) and (b) because doing so would not reduce complexity or increase reliability.
4. When measuring a loss allowance for a lease receivable, the cash flows used for determining the expected credit losses should be consistent with the cash flows used in measuring the lease receivable in accordance with IFRS 16 Leases.

*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

AEX Index assigned short-term B3 & long-term B3 forecasted stock rating. We evaluate the prediction models Multi-Task Learning (ML) with Beta^1,2,3,4 and conclude that the AEX 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 Buy AEX Index stock.

Financial State Forecast for AEX Index AEX Index Stock Options & Futures

Rating	Short-Term	Long-Term Senior
Outlook*	B3	B3
Operational Risk	42	36
Market Risk	59	52
Technical Analysis	47	39
Fundamental Analysis	36	38
Risk Unsystematic	52	72

Prediction Confidence Score

Trust metric by Neural Network: 78 out of 100 with 515 signals.

References

1. 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.
2. Ruiz FJ, Athey S, Blei DM. 2017. SHOPPER: a probabilistic model of consumer choice with substitutes and complements. arXiv:1711.03560 [stat.ML]
3. 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.
4. Hastie T, Tibshirani R, Wainwright M. 2015. Statistical Learning with Sparsity: The Lasso and Generalizations. New York: CRC Press
5. Firth JR. 1957. A synopsis of linguistic theory 1930–1955. In Studies in Linguistic Analysis (Special Volume of the Philological Society), ed. JR Firth, pp. 1–32. Oxford, UK: Blackwell
6. S. Bhatnagar, R. Sutton, M. Ghavamzadeh, and M. Lee. Natural actor-critic algorithms. Automatica, 45(11): 2471–2482, 2009
7. A. Y. Ng, D. Harada, and S. J. Russell. Policy invariance under reward transformations: Theory and application to reward shaping. In Proceedings of the Sixteenth International Conference on Machine Learning (ICML 1999), Bled, Slovenia, June 27 - 30, 1999, pages 278–287, 1999.

Frequently Asked Questions

Q: What is the prediction methodology for AEX Index stock?
A: AEX Index stock prediction methodology: We evaluate the prediction models Multi-Task Learning (ML) and Beta
Q: Is AEX Index stock a buy or sell?
A: The dominant strategy among neural network is to Buy AEX Index Stock.
Q: Is AEX Index stock a good investment?
A: The consensus rating for AEX Index is Buy and assigned short-term B3 & long-term B3 forecasted stock rating.
Q: What is the consensus rating of AEX Index stock?
A: The consensus rating for AEX Index is Buy.
Q: What is the prediction period for AEX Index stock?
A: The prediction period for AEX Index is (n+16 weeks)

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