Modelling A.I. in Economics

COS COSOL LIMITED

Outlook: COSOL LIMITED assigned short-term Caa2 & long-term Ba3 forecasted stock rating.
Dominant Strategy : Buy
Time series to forecast n: 12 Dec 2022 for (n+16 weeks)
Methodology : Modular Neural Network (Market Volatility Analysis)

Abstract

Neural networks, as an intelligent data mining method, have been used in many different challenging pattern recognition problems such as stock market prediction. However, there is no formal method to determine the optimal neural network for prediction purpose in the literature. In this paper, two kinds of neural networks, a feed forward multi layer Perceptron (MLP) and an Elman recurrent network, are used to predict a company's stock value based on its stock share value history.(Sable, R., Goel, S. and Chatterjee, P., 2019, December. Empirical study on stock market prediction using machine learning. In 2019 International conference on advances in computing, communication and control (ICAC3) (pp. 1-5). IEEE.) We evaluate COSOL LIMITED prediction models with Modular Neural Network (Market Volatility Analysis) and Polynomial Regression1,2,3,4 and conclude that the COS stock is predictable in the short/long term. According to price forecasts for (n+16 weeks) period, the dominant strategy among neural network is: Buy

Key Points

  1. Dominated Move
  2. What is a prediction confidence?
  3. Operational Risk

COS Target Price Prediction Modeling Methodology

We consider COSOL LIMITED Decision Process with Modular Neural Network (Market Volatility Analysis) where A is the set of discrete actions of COS 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(Polynomial Regression)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(Modular Neural Network (Market Volatility Analysis)) X S(n):→ (n+16 weeks) R = r 1 r 2 r 3

n:Time series to forecast

p:Price signals of COS stock

j:Nash equilibria (Neural Network)

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?

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

Sample Set: Neural Network
Stock/Index: COS COSOL LIMITED
Time series to forecast n: 12 Dec 2022 for (n+16 weeks)

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

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 (Grey to Black): *Technical Analysis%

Adjusted IFRS* Prediction Methods for COSOL LIMITED

  1. Paragraph 5.7.5 permits an entity to make an irrevocable election to present in other comprehensive income subsequent changes in the fair value of particular investments in equity instruments. Such an investment is not a monetary item. Accordingly, the gain or loss that is presented in other comprehensive income in accordance with paragraph 5.7.5 includes any related foreign exchange component.
  2. As with all fair value measurements, an entity's measurement method for determining the portion of the change in the liability's fair value that is attributable to changes in its credit risk must make maximum use of relevant observable inputs and minimum use of unobservable inputs.
  3. To calculate the change in the value of the hedged item for the purpose of measuring hedge ineffectiveness, an entity may use a derivative that would have terms that match the critical terms of the hedged item (this is commonly referred to as a 'hypothetical derivative'), and, for example for a hedge of a forecast transaction, would be calibrated using the hedged price (or rate) level. For example, if the hedge was for a two-sided risk at the current market level, the hypothetical derivative would represent a hypothetical forward contract that is calibrated to a value of nil at the time of designation of the hedging relationship. If the hedge was for example for a one-sided risk, the hypothetical derivative would represent the intrinsic value of a hypothetical option that at the time of designation of the hedging relationship is at the money if the hedged price level is the current market level, or out of the money if the hedged price level is above (or, for a hedge of a long position, below) the current market level. Using a hypothetical derivative is one possible way of calculating the change in the value of the hedged item. The hypothetical derivative replicates the hedged item and hence results in the same outcome as if that change in value was determined by a different approach. Hence, using a 'hypothetical derivative' is not a method in its own right but a mathematical expedient that can only be used to calculate the value of the hedged item. Consequently, a 'hypothetical derivative' cannot be used to include features in the value of the hedged item that only exist in the hedging instrument (but not in the hedged item). An example is debt denominated in a foreign currency (irrespective of whether it is fixed-rate or variable-rate debt). When using a hypothetical derivative to calculate the change in the value of such debt or the present value of the cumulative change in its cash flows, the hypothetical derivative cannot simply impute a charge for exchanging different currencies even though actual derivatives under which different currencies are exchanged might include such a charge (for example, cross-currency interest rate swaps).
  4. The following example describes a situation in which an accounting mismatch would be created in profit or loss if the effects of changes in the credit risk of the liability were presented in other comprehensive income. A mortgage bank provides loans to customers and funds those loans by selling bonds with matching characteristics (eg amount outstanding, repayment profile, term and currency) in the market. The contractual terms of the loan permit the mortgage customer to prepay its loan (ie satisfy its obligation to the bank) by buying the corresponding bond at fair value in the market and delivering that bond to the mortgage bank. As a result of that contractual prepayment right, if the credit quality of the bond worsens (and, thus, the fair value of the mortgage bank's liability decreases), the fair value of the mortgage bank's loan asset also decreases. The change in the fair value of the asset reflects the mortgage customer's contractual right to prepay the mortgage loan by buying the underlying bond at fair value (which, in this example, has decreased) and delivering the bond to the mortgage bank. Consequently, the effects of changes in the credit risk of the liability (the bond) will be offset in profit or loss by a corresponding change in the fair value of a financial asset (the loan). If the effects of changes in the liability's credit risk were presented in other comprehensive income there would be an accounting mismatch in profit or loss. Consequently, the mortgage bank is required to present all changes in fair value of the liability (including the effects of changes in the liability's credit risk) 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

COSOL LIMITED assigned short-term Caa2 & long-term Ba3 forecasted stock rating. We evaluate the prediction models Modular Neural Network (Market Volatility Analysis) with Polynomial Regression1,2,3,4 and conclude that the COS stock is predictable in the short/long term. According to price forecasts for (n+16 weeks) period, the dominant strategy among neural network is: Buy

Financial State Forecast for COS COSOL LIMITED Options & Futures

Rating Short-Term Long-Term Senior
Outlook*Caa2Ba3
Operational Risk 3441
Market Risk3558
Technical Analysis7665
Fundamental Analysis3887
Risk Unsystematic3569

Prediction Confidence Score

Trust metric by Neural Network: 80 out of 100 with 759 signals.

References

  1. G. Theocharous and A. Hallak. Lifetime value marketing using reinforcement learning. RLDM 2013, page 19, 2013
  2. Tibshirani R, Hastie T. 1987. Local likelihood estimation. J. Am. Stat. Assoc. 82:559–67
  3. Zubizarreta JR. 2015. Stable weights that balance covariates for estimation with incomplete outcome data. J. Am. Stat. Assoc. 110:910–22
  4. M. Sobel. The variance of discounted Markov decision processes. Applied Probability, pages 794–802, 1982
  5. Byron, R. P. O. Ashenfelter (1995), "Predicting the quality of an unborn grange," Economic Record, 71, 40–53.
  6. Mnih A, Kavukcuoglu K. 2013. Learning word embeddings efficiently with noise-contrastive estimation. In Advances in Neural Information Processing Systems, Vol. 26, ed. Z Ghahramani, M Welling, C Cortes, ND Lawrence, KQ Weinberger, pp. 2265–73. San Diego, CA: Neural Inf. Process. Syst. Found.
  7. Chen, C. L. Liu (1993), "Joint estimation of model parameters and outlier effects in time series," Journal of the American Statistical Association, 88, 284–297.
Frequently Asked QuestionsQ: What is the prediction methodology for COS stock?
A: COS stock prediction methodology: We evaluate the prediction models Modular Neural Network (Market Volatility Analysis) and Polynomial Regression
Q: Is COS stock a buy or sell?
A: The dominant strategy among neural network is to Buy COS Stock.
Q: Is COSOL LIMITED stock a good investment?
A: The consensus rating for COSOL LIMITED is Buy and assigned short-term Caa2 & long-term Ba3 forecasted stock rating.
Q: What is the consensus rating of COS stock?
A: The consensus rating for COS is Buy.
Q: What is the prediction period for COS stock?
A: The prediction period for COS is (n+16 weeks)



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