Modelling A.I. in Economics

What are the most successful trading algorithms? (BC Stock Forecast) (Forecast)

Security indices are the main tools for evaluation of the status of financial markets. Moreover, a main part of the economy of any country is constituted of investment in stock markets. Therefore, investors could maximize the return of investment if it becomes possible to predict the future trend of stock market with appropriate methods. The nonlinearity and nonstationarity of financial series make their prediction complicated. This study seeks to evaluate the prediction power of machine-learning models in a stock market. We evaluate Brunswick prediction models with Supervised Machine Learning (ML) and Statistical Hypothesis Testing1,2,3,4 and conclude that the BC 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 BC stock.


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

Key Points

  1. What is prediction model?
  2. Trading Signals
  3. Technical Analysis with Algorithmic Trading

BC Target Price Prediction Modeling Methodology

Predictions on stock market prices are a great challenge due to the fact that it is an immensely complex, chaotic and dynamic environment. There are many studies from various areas aiming to take on that challenge and Machine Learning approaches have been the focus of many of them. There are many examples of Machine Learning algorithms been able to reach satisfactory results when doing that type of prediction. This article studies the usage of LSTM networks on that scenario, to predict future trends of stock prices based on the price history, alongside with technical analysis indicators. We consider Brunswick Stock Decision Process with Statistical Hypothesis Testing where A is the set of discrete actions of BC 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(Statistical Hypothesis Testing)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+16 weeks) e x rx

n:Time series to forecast

p:Price signals of BC 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?

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


Sample Set: Neural Network
Stock/Index: BC Brunswick
Time series to forecast n: 05 Nov 2022 for (n+16 weeks)

According to price forecasts for (n+16 weeks) period: The dominant strategy among neural network is to Sell BC 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 Brunswick

  1. Paragraph 6.3.4 permits an entity to designate as hedged items aggregated exposures that are a combination of an exposure and a derivative. When designating such a hedged item, an entity assesses whether the aggregated exposure combines an exposure with a derivative so that it creates a different aggregated exposure that is managed as one exposure for a particular risk (or risks). In that case, the entity may designate the hedged item on the basis of the aggregated exposure
  2. 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.
  3. An entity can also designate only changes in the cash flows or fair value of a hedged item above or below a specified price or other variable (a 'one-sided risk'). The intrinsic value of a purchased option hedging instrument (assuming that it has the same principal terms as the designated risk), but not its time value, reflects a one-sided risk in a hedged item. For example, an entity can designate the variability of future cash flow outcomes resulting from a price increase of a forecast commodity purchase. In such a situation, the entity designates only cash flow losses that result from an increase in the price above the specified level. The hedged risk does not include the time value of a purchased option, because the time value is not a component of the forecast transaction that affects profit or loss.
  4. In some circumstances an entity does not have reasonable and supportable information that is available without undue cost or effort to measure lifetime expected credit losses on an individual instrument basis. In that case, lifetime expected credit losses shall be recognised on a collective basis that considers comprehensive credit risk information. This comprehensive credit risk information must incorporate not only past due information but also all relevant credit information, including forward-looking macroeconomic information, in order to approximate the result of recognising lifetime expected credit losses when there has been a significant increase in credit risk since initial recognition on an individual instrument level.

*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

Brunswick assigned short-term B2 & long-term Ba3 forecasted stock rating. We evaluate the prediction models Supervised Machine Learning (ML) with Statistical Hypothesis Testing1,2,3,4 and conclude that the BC 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 BC stock.

Financial State Forecast for BC Brunswick Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*B2Ba3
Operational Risk 5476
Market Risk8378
Technical Analysis3170
Fundamental Analysis3048
Risk Unsystematic7948

Prediction Confidence Score

Trust metric by Neural Network: 78 out of 100 with 737 signals.

References

  1. 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
  2. Abadie A, Cattaneo MD. 2018. Econometric methods for program evaluation. Annu. Rev. Econ. 10:465–503
  3. Thomas P, Brunskill E. 2016. Data-efficient off-policy policy evaluation for reinforcement learning. In Pro- ceedings of the International Conference on Machine Learning, pp. 2139–48. La Jolla, CA: Int. Mach. Learn. Soc.
  4. Andrews, D. W. K. W. Ploberger (1994), "Optimal tests when a nuisance parameter is present only under the alternative," Econometrica, 62, 1383–1414.
  5. H. Kushner and G. Yin. Stochastic approximation algorithms and applications. Springer, 1997.
  6. Christou, C., P. A. V. B. Swamy G. S. Tavlas (1996), "Modelling optimal strategies for the allocation of wealth in multicurrency investments," International Journal of Forecasting, 12, 483–493.
  7. Breiman L. 2001b. Statistical modeling: the two cultures (with comments and a rejoinder by the author). Stat. Sci. 16:199–231
Frequently Asked QuestionsQ: What is the prediction methodology for BC stock?
A: BC stock prediction methodology: We evaluate the prediction models Supervised Machine Learning (ML) and Statistical Hypothesis Testing
Q: Is BC stock a buy or sell?
A: The dominant strategy among neural network is to Sell BC Stock.
Q: Is Brunswick stock a good investment?
A: The consensus rating for Brunswick is Sell and assigned short-term B2 & long-term Ba3 forecasted stock rating.
Q: What is the consensus rating of BC stock?
A: The consensus rating for BC is Sell.
Q: What is the prediction period for BC stock?
A: The prediction period for BC is (n+16 weeks)

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