What is PSEi Composite Index stock prediction?

The success of portfolio construction depends primarily on the future performance of stock markets. Recent developments in machine learning have brought significant opportunities to incorporate prediction theory into portfolio selection. However, many studies show that a single prediction model is insufficient to achieve very accurate predictions and affluent returns. In this paper, a novel portfolio construction approach is developed using a hybrid model based on machine learning for stock prediction. We evaluate PSEi Composite Index prediction models with Transductive Learning (ML) and ElasticNet Regression^1,2,3,4 and conclude that the PSEi Composite Index stock is predictable in the short/long term. According to price forecasts for (n+4 weeks) period: The dominant strategy among neural network is to Hold PSEi Composite Index stock.

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

Key Points

1. What is statistical models in machine learning?
2. How useful are statistical predictions?
3. What are the most successful trading algorithms?

PSEi Composite Index Target Price Prediction Modeling Methodology

The research reported in the paper focuses on the stock market prediction problem, the main aim being the development of a methodology to forecast the stock closing price. The methodology is based on some novel variable selection methods and an analysis of neural network and support vector machines based prediction models. Also, a hybrid approach which combines the use of the variables derived from technical and fundamental analysis of stock market indicators in order to improve prediction results of the proposed approaches is reported in this paper. We consider PSEi Composite Index Stock Decision Process with ElasticNet Regression where A is the set of discrete actions of PSEi 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(ElasticNet 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(Transductive Learning (ML)) X S(n):→ (n+4 weeks) $\sum _{i=1}^n\left(a_i\right)$

n:Time series to forecast

p:Price signals of PSEi Composite 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?

PSEi Composite Index Stock Forecast (Buy or Sell) for (n+4 weeks)

Sample Set: Neural Network
Stock/Index: PSEi Composite Index PSEi Composite Index
Time series to forecast n: 07 Nov 2022 for (n+4 weeks)

According to price forecasts for (n+4 weeks) period: The dominant strategy among neural network is to Hold PSEi 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 PSEi Composite Index

1. 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.
2. Paragraph 4.1.1(b) requires an entity to classify a financial asset on the basis of its contractual cash flow characteristics if the financial asset is held within a business model whose objective is to hold assets to collect contractual cash flows or within a business model whose objective is achieved by both collecting contractual cash flows and selling financial assets, unless paragraph 4.1.5 applies. To do so, the condition in paragraphs 4.1.2(b) and 4.1.2A(b) requires an entity to determine whether the asset's contractual cash flows are solely payments of principal and interest on the principal amount outstanding.
3. An entity must look through until it can identify the underlying pool of instruments that are creating (instead of passing through) the cash flows. This is the underlying pool of financial instruments.
4. The requirement that an economic relationship exists means that the hedging instrument and the hedged item have values that generally move in the opposite direction because of the same risk, which is the hedged risk. Hence, there must be an expectation that the value of the hedging instrument and the value of the hedged item will systematically change in response to movements in either the same underlying or underlyings that are economically related in such a way that they respond in a similar way to the risk that is being hedged (for example, Brent and WTI crude oil).

*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

PSEi Composite Index assigned short-term Caa2 & long-term Ba3 forecasted stock rating. We evaluate the prediction models Transductive Learning (ML) with ElasticNet Regression^1,2,3,4 and conclude that the PSEi Composite Index stock is predictable in the short/long term. According to price forecasts for (n+4 weeks) period: The dominant strategy among neural network is to Hold PSEi Composite Index stock.

Financial State Forecast for PSEi Composite Index PSEi Composite Index Stock Options & Futures

Rating	Short-Term	Long-Term Senior
Outlook*	Caa2	Ba3
Operational Risk	35	79
Market Risk	38	68
Technical Analysis	48	59
Fundamental Analysis	66	44
Risk Unsystematic	40	77

Prediction Confidence Score

Trust metric by Neural Network: 79 out of 100 with 551 signals.

References

1. P. Artzner, F. Delbaen, J. Eber, and D. Heath. Coherent measures of risk. Journal of Mathematical Finance, 9(3):203–228, 1999
2. Bennett J, Lanning S. 2007. The Netflix prize. In Proceedings of KDD Cup and Workshop 2007, p. 35. New York: ACM
3. 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
4. Mikolov T, Sutskever I, Chen K, Corrado GS, Dean J. 2013b. Distributed representations of words and phrases and their compositionality. In Advances in Neural Information Processing Systems, Vol. 26, ed. Z Ghahramani, M Welling, C Cortes, ND Lawrence, KQ Weinberger, pp. 3111–19. San Diego, CA: Neural Inf. Process. Syst. Found.
5. J. Filar, L. Kallenberg, and H. Lee. Variance-penalized Markov decision processes. Mathematics of Opera- tions Research, 14(1):147–161, 1989
6. Bertsimas D, King A, Mazumder R. 2016. Best subset selection via a modern optimization lens. Ann. Stat. 44:813–52
7. G. Theocharous and A. Hallak. Lifetime value marketing using reinforcement learning. RLDM 2013, page 19, 2013

Frequently Asked Questions

Q: What is the prediction methodology for PSEi Composite Index stock?
A: PSEi Composite Index stock prediction methodology: We evaluate the prediction models Transductive Learning (ML) and ElasticNet Regression
Q: Is PSEi Composite Index stock a buy or sell?
A: The dominant strategy among neural network is to Hold PSEi Composite Index Stock.
Q: Is PSEi Composite Index stock a good investment?
A: The consensus rating for PSEi Composite Index is Hold and assigned short-term Caa2 & long-term Ba3 forecasted stock rating.
Q: What is the consensus rating of PSEi Composite Index stock?
A: The consensus rating for PSEi Composite Index is Hold.
Q: What is the prediction period for PSEi Composite Index stock?
A: The prediction period for PSEi Composite Index is (n+4 weeks)

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