Modelling A.I. in Economics

GLRE Greenlight Capital Re Ltd. Class A Ordinary Shares

Outlook: Greenlight Capital Re Ltd. Class A Ordinary Shares assigned short-term B1 & long-term B2 forecasted stock rating.
Dominant Strategy : Hold
Time series to forecast n: 16 Dec 2022 for (n+4 weeks)
Methodology : Modular Neural Network (DNN Layer)

Abstract

Investors raise profit from stock market by maximising gains and minimising loses. The profit is difficult to raise because of the volatile nature of stock market prices. Predictive modelling allows investors to make informed decisions. (O'Connor, N. and Madden, M.G., 2005, December. A neural network approach to predicting stock exchange movements using external factors. In International Conference on Innovative Techniques and Applications of Artificial Intelligence (pp. 64-77). Springer, London.) We evaluate Greenlight Capital Re Ltd. Class A Ordinary Shares prediction models with Modular Neural Network (DNN Layer) and Pearson Correlation1,2,3,4 and conclude that the GLRE stock is predictable in the short/long term. According to price forecasts for (n+4 weeks) period, the dominant strategy among neural network is: Hold

Key Points

  1. How do you pick a stock?
  2. Fundemental Analysis with Algorithmic Trading
  3. Market Signals

GLRE Target Price Prediction Modeling Methodology

We consider Greenlight Capital Re Ltd. Class A Ordinary Shares Decision Process with Modular Neural Network (DNN Layer) where A is the set of discrete actions of GLRE 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(Pearson Correlation)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 (DNN Layer)) X S(n):→ (n+4 weeks) R = 1 0 0 0 1 0 0 0 1

n:Time series to forecast

p:Price signals of GLRE 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?

GLRE Stock Forecast (Buy or Sell) for (n+4 weeks)

Sample Set: Neural Network
Stock/Index: GLRE Greenlight Capital Re Ltd. Class A Ordinary Shares
Time series to forecast n: 16 Dec 2022 for (n+4 weeks)

According to price forecasts for (n+4 weeks) period, the dominant strategy among neural network is: Hold

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 Greenlight Capital Re Ltd. Class A Ordinary Shares

  1. An entity that first applies these amendments after it first applies this Standard shall apply paragraphs 7.2.32–7.2.34. The entity shall also apply the other transition requirements in this Standard necessary for applying these amendments. For that purpose, references to the date of initial application shall be read as referring to the beginning of the reporting period in which an entity first applies these amendments (date of initial application of these amendments).
  2. Time value of money is the element of interest that provides consideration for only the passage of time. That is, the time value of money element does not provide consideration for other risks or costs associated with holding the financial asset. In order to assess whether the element provides consideration for only the passage of time, an entity applies judgement and considers relevant factors such as the currency in which the financial asset is denominated and the period for which the interest rate is set.
  3. Rebalancing refers to the adjustments made to the designated quantities of the hedged item or the hedging instrument of an already existing hedging relationship for the purpose of maintaining a hedge ratio that complies with the hedge effectiveness requirements. Changes to designated quantities of a hedged item or of a hedging instrument for a different purpose do not constitute rebalancing for the purpose of this Standard
  4. IFRS 7 defines credit risk as 'the risk that one party to a financial instrument will cause a financial loss for the other party by failing to discharge an obligation'. The requirement in paragraph 5.7.7(a) relates to the risk that the issuer will fail to perform on that particular liability. It does not necessarily relate to the creditworthiness of the issuer. For example, if an entity issues a collateralised liability and a non-collateralised liability that are otherwise identical, the credit risk of those two liabilities will be different, even though they are issued by the same entity. The credit risk on the collateralised liability will be less than the credit risk of the non-collateralised liability. The credit risk for a collateralised liability may be close to zero.

*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

Greenlight Capital Re Ltd. Class A Ordinary Shares assigned short-term B1 & long-term B2 forecasted stock rating. We evaluate the prediction models Modular Neural Network (DNN Layer) with Pearson Correlation1,2,3,4 and conclude that the GLRE stock is predictable in the short/long term. According to price forecasts for (n+4 weeks) period, the dominant strategy among neural network is: Hold

Financial State Forecast for GLRE Greenlight Capital Re Ltd. Class A Ordinary Shares Options & Futures

Rating Short-Term Long-Term Senior
Outlook*B1B2
Operational Risk 6449
Market Risk6246
Technical Analysis4847
Fundamental Analysis3968
Risk Unsystematic8257

Prediction Confidence Score

Trust metric by Neural Network: 93 out of 100 with 688 signals.

References

  1. Blei DM, Lafferty JD. 2009. Topic models. In Text Mining: Classification, Clustering, and Applications, ed. A Srivastava, M Sahami, pp. 101–24. Boca Raton, FL: CRC Press
  2. M. Ono, M. Pavone, Y. Kuwata, and J. Balaram. Chance-constrained dynamic programming with application to risk-aware robotic space exploration. Autonomous Robots, 39(4):555–571, 2015
  3. Arjovsky M, Bottou L. 2017. Towards principled methods for training generative adversarial networks. arXiv:1701.04862 [stat.ML]
  4. Breiman L. 1993. Better subset selection using the non-negative garotte. Tech. Rep., Univ. Calif., Berkeley
  5. Hornik K, Stinchcombe M, White H. 1989. Multilayer feedforward networks are universal approximators. Neural Netw. 2:359–66
  6. D. Bertsekas and J. Tsitsiklis. Neuro-dynamic programming. Athena Scientific, 1996.
  7. D. White. Mean, variance, and probabilistic criteria in finite Markov decision processes: A review. Journal of Optimization Theory and Applications, 56(1):1–29, 1988.
Frequently Asked QuestionsQ: What is the prediction methodology for GLRE stock?
A: GLRE stock prediction methodology: We evaluate the prediction models Modular Neural Network (DNN Layer) and Pearson Correlation
Q: Is GLRE stock a buy or sell?
A: The dominant strategy among neural network is to Hold GLRE Stock.
Q: Is Greenlight Capital Re Ltd. Class A Ordinary Shares stock a good investment?
A: The consensus rating for Greenlight Capital Re Ltd. Class A Ordinary Shares is Hold and assigned short-term B1 & long-term B2 forecasted stock rating.
Q: What is the consensus rating of GLRE stock?
A: The consensus rating for GLRE is Hold.
Q: What is the prediction period for GLRE stock?
A: The prediction period for GLRE is (n+4 weeks)



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