When should you buy or sell a stock? (MOEX Russia Index Stock Forecast)

Stock market is basically nonlinear in nature and the research on stock market is one of the most important issues in recent years. People invest in stock market based on some prediction. For predict, the stock market prices people search such methods and tools which will increase their profits, while minimize their risks. Prediction plays a very important role in stock market business which is very complicated and challenging process. We evaluate MOEX Russia Index prediction models with Deductive Inference (ML) and Sign Test1,2,3,4 and conclude that the MOEX Russia 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 MOEX Russia Index stock.


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

Key Points

  1. Trust metric by Neural Network
  2. Can we predict stock market using machine learning?
  3. What are main components of Markov decision process?

MOEX Russia Index 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 MOEX Russia Index Stock Decision Process with Sign Test where A is the set of discrete actions of MOEX Russia 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(Sign 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(Deductive Inference (ML)) X S(n):→ (n+16 weeks) i = 1 n s i

n:Time series to forecast

p:Price signals of MOEX Russia 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?

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

Sample Set: Neural Network
Stock/Index: MOEX Russia Index MOEX Russia Index
Time series to forecast n: 15 Nov 2022 for (n+16 weeks)

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

  1. In cases such as those described in the preceding paragraph, to designate, at initial recognition, the financial assets and financial liabilities not otherwise so measured as at fair value through profit or loss may eliminate or significantly reduce the measurement or recognition inconsistency and produce more relevant information. For practical purposes, the entity need not enter into all of the assets and liabilities giving rise to the measurement or recognition inconsistency at exactly the same time. A reasonable delay is permitted provided that each transaction is designated as at fair value through profit or loss at its initial recognition and, at that time, any remaining transactions are expected to occur.
  2. If the underlyings are not the same but are economically related, there can be situations in which the values of the hedging instrument and the hedged item move in the same direction, for example, because the price differential between the two related underlyings changes while the underlyings themselves do not move significantly. That is still consistent with an economic relationship between the hedging instrument and the hedged item if the values of the hedging instrument and the hedged item are still expected to typically move in the opposite direction when the underlyings move.
  3. An entity may retain the right to a part of the interest payments on transferred assets as compensation for servicing those assets. The part of the interest payments that the entity would give up upon termination or transfer of the servicing contract is allocated to the servicing asset or servicing liability. The part of the interest payments that the entity would not give up is an interest-only strip receivable. For example, if the entity would not give up any interest upon termination or transfer of the servicing contract, the entire interest spread is an interest-only strip receivable. For the purposes of applying paragraph 3.2.13, the fair values of the servicing asset and interest-only strip receivable are used to allocate the carrying amount of the receivable between the part of the asset that is derecognised and the part that continues to be recognised. If there is no servicing fee specified or the fee to be received is not expected to compensate the entity adequately for performing the servicing, a liability for the servicing obligation is recognised at fair value.
  4. If there is a hedging relationship between a non-derivative monetary asset and a non-derivative monetary liability, changes in the foreign currency component of those financial instruments are presented in profit or loss.

*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

MOEX Russia Index assigned short-term B2 & long-term B3 forecasted stock rating. We evaluate the prediction models Deductive Inference (ML) with Sign Test1,2,3,4 and conclude that the MOEX Russia 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 MOEX Russia Index stock.

Financial State Forecast for MOEX Russia Index MOEX Russia Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*B2B3
Operational Risk 5074
Market Risk4949
Technical Analysis3036
Fundamental Analysis8337
Risk Unsystematic7342

Prediction Confidence Score

Trust metric by Neural Network: 81 out of 100 with 577 signals.

References

  1. 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
  2. Matzkin RL. 1994. Restrictions of economic theory in nonparametric methods. In Handbook of Econometrics, Vol. 4, ed. R Engle, D McFadden, pp. 2523–58. Amsterdam: Elsevier
  3. Friedman JH. 2002. Stochastic gradient boosting. Comput. Stat. Data Anal. 38:367–78
  4. L. Prashanth and M. Ghavamzadeh. Actor-critic algorithms for risk-sensitive MDPs. In Proceedings of Advances in Neural Information Processing Systems 26, pages 252–260, 2013.
  5. Y. Le Tallec. Robust, risk-sensitive, and data-driven control of Markov decision processes. PhD thesis, Massachusetts Institute of Technology, 2007.
  6. Angrist JD, Pischke JS. 2008. Mostly Harmless Econometrics: An Empiricist's Companion. Princeton, NJ: Princeton Univ. Press
  7. S. Devlin, L. Yliniemi, D. Kudenko, and K. Tumer. Potential-based difference rewards for multiagent reinforcement learning. In Proceedings of the Thirteenth International Joint Conference on Autonomous Agents and Multiagent Systems, May 2014
Frequently Asked QuestionsQ: What is the prediction methodology for MOEX Russia Index stock?
A: MOEX Russia Index stock prediction methodology: We evaluate the prediction models Deductive Inference (ML) and Sign Test
Q: Is MOEX Russia Index stock a buy or sell?
A: The dominant strategy among neural network is to Buy MOEX Russia Index Stock.
Q: Is MOEX Russia Index stock a good investment?
A: The consensus rating for MOEX Russia Index is Buy and assigned short-term B2 & long-term B3 forecasted stock rating.
Q: What is the consensus rating of MOEX Russia Index stock?
A: The consensus rating for MOEX Russia Index is Buy.
Q: What is the prediction period for MOEX Russia Index stock?
A: The prediction period for MOEX Russia Index is (n+16 weeks)

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