Modelling A.I. in Economics

LON:MGCI M&G CREDIT INCOME INVESTMENT TRUST PLC (Forecast)

M&G CREDIT INCOME INVESTMENT TRUST PLC Research Report

Summary

With the up-gradation of technology and exploration of new machine learning models, the stock market data analysis has gained attention as these models provide a platform for businessman and traders to choose more profitable stocks. As these data are in large volumes and highly complex so a need of more efficient machine learning model for daily predictions is always looked upon. We evaluate M&G CREDIT INCOME INVESTMENT TRUST PLC prediction models with Modular Neural Network (Market Direction Analysis) and Stepwise Regression1,2,3,4 and conclude that the LON:MGCI stock is predictable in the short/long term. According to price forecasts for (n+3 month) period: The dominant strategy among neural network is to Sell LON:MGCI stock.

Key Points

  1. Reaction Function
  2. Can neural networks predict stock market?
  3. What are main components of Markov decision process?

LON:MGCI Target Price Prediction Modeling Methodology

We consider M&G CREDIT INCOME INVESTMENT TRUST PLC Decision Process with Modular Neural Network (Market Direction Analysis) where A is the set of discrete actions of LON:MGCI 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(Stepwise 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 Direction Analysis)) X S(n):→ (n+3 month) e x rx

n:Time series to forecast

p:Price signals of LON:MGCI 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?

LON:MGCI Stock Forecast (Buy or Sell) for (n+3 month)

Sample Set: Neural Network
Stock/Index: LON:MGCI M&G CREDIT INCOME INVESTMENT TRUST PLC
Time series to forecast n: 01 Dec 2022 for (n+3 month)

According to price forecasts for (n+3 month) period: The dominant strategy among neural network is to Sell LON:MGCI 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 M&G CREDIT INCOME INVESTMENT TRUST PLC

  1. An entity applies IAS 21 to financial assets and financial liabilities that are monetary items in accordance with IAS 21 and denominated in a foreign currency. IAS 21 requires any foreign exchange gains and losses on monetary assets and monetary liabilities to be recognised in profit or loss. An exception is a monetary item that is designated as a hedging instrument in a cash flow hedge (see paragraph 6.5.11), a hedge of a net investment (see paragraph 6.5.13) or a fair value hedge of an equity instrument for which an entity has elected to present changes in fair value in other comprehensive income in accordance with paragraph 5.7.5 (see paragraph 6.5.8).
  2. Unless paragraph 6.8.8 applies, for a hedge of a non-contractually specified benchmark component of interest rate risk, an entity shall apply the requirement in paragraphs 6.3.7(a) and B6.3.8—that the risk component shall be separately identifiable—only at the inception of the hedging relationship.
  3. For the purpose of determining whether a forecast transaction (or a component thereof) is highly probable as required by paragraph 6.3.3, an entity shall assume that the interest rate benchmark on which the hedged cash flows (contractually or non-contractually specified) are based is not altered as a result of interest rate benchmark reform.
  4. Adjusting the hedge ratio by decreasing the volume of the hedging instrument does not affect how the changes in the value of the hedged item are measured. The measurement of the changes in the fair value of the hedging instrument related to the volume that continues to be designated also remains unaffected. However, from the date of rebalancing, the volume by which the hedging instrument was decreased is no longer part of the hedging relationship. For example, if an entity originally hedged the price risk of a commodity using a derivative volume of 100 tonnes as the hedging instrument and reduces that volume by 10 tonnes on rebalancing, a nominal amount of 90 tonnes of the hedging instrument volume would remain (see paragraph B6.5.16 for the consequences for the derivative volume (ie the 10 tonnes) that is no longer a part of the hedging relationship).

*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

M&G CREDIT INCOME INVESTMENT TRUST PLC assigned short-term Caa2 & long-term Ba3 forecasted stock rating. We evaluate the prediction models Modular Neural Network (Market Direction Analysis) with Stepwise Regression1,2,3,4 and conclude that the LON:MGCI stock is predictable in the short/long term. According to price forecasts for (n+3 month) period: The dominant strategy among neural network is to Sell LON:MGCI stock.

Financial State Forecast for LON:MGCI M&G CREDIT INCOME INVESTMENT TRUST PLC Options & Futures

Rating Short-Term Long-Term Senior
Outlook*Caa2Ba3
Operational Risk 3669
Market Risk4735
Technical Analysis7171
Fundamental Analysis3071
Risk Unsystematic4174

Prediction Confidence Score

Trust metric by Neural Network: 85 out of 100 with 737 signals.

References

  1. V. Borkar. Q-learning for risk-sensitive control. Mathematics of Operations Research, 27:294–311, 2002.
  2. Byron, R. P. O. Ashenfelter (1995), "Predicting the quality of an unborn grange," Economic Record, 71, 40–53.
  3. Bertsimas D, King A, Mazumder R. 2016. Best subset selection via a modern optimization lens. Ann. Stat. 44:813–52
  4. Kallus N. 2017. Balanced policy evaluation and learning. arXiv:1705.07384 [stat.ML]
  5. V. Borkar. An actor-critic algorithm for constrained Markov decision processes. Systems & Control Letters, 54(3):207–213, 2005.
  6. Bai J, Ng S. 2002. Determining the number of factors in approximate factor models. Econometrica 70:191–221
  7. Hastie T, Tibshirani R, Friedman J. 2009. The Elements of Statistical Learning. Berlin: Springer
Frequently Asked QuestionsQ: What is the prediction methodology for LON:MGCI stock?
A: LON:MGCI stock prediction methodology: We evaluate the prediction models Modular Neural Network (Market Direction Analysis) and Stepwise Regression
Q: Is LON:MGCI stock a buy or sell?
A: The dominant strategy among neural network is to Sell LON:MGCI Stock.
Q: Is M&G CREDIT INCOME INVESTMENT TRUST PLC stock a good investment?
A: The consensus rating for M&G CREDIT INCOME INVESTMENT TRUST PLC is Sell and assigned short-term Caa2 & long-term Ba3 forecasted stock rating.
Q: What is the consensus rating of LON:MGCI stock?
A: The consensus rating for LON:MGCI is Sell.
Q: What is the prediction period for LON:MGCI stock?
A: The prediction period for LON:MGCI is (n+3 month)

Premium

  • Live broadcast of expert trader insights
  • Real-time stock market analysis
  • Access to a library of research dataset (API,XLS,JSON)
  • Real-time updates
  • In-depth research reports (PDF)

Login
This project is licensed under the license; additional terms may apply.