Modelling A.I. in Economics

CBA COMMONWEALTH BANK OF AUSTRALIA. (Forecast)

Outlook: COMMONWEALTH BANK OF AUSTRALIA. is assigned short-term Ba1 & long-term Ba1 estimated rating.
Dominant Strategy : Sell
Time series to forecast n: 09 Feb 2023 for (n+3 month)
Methodology : Modular Neural Network (DNN Layer)

Abstract

COMMONWEALTH BANK OF AUSTRALIA. prediction model is evaluated with Modular Neural Network (DNN Layer) and Sign Test1,2,3,4 and it is concluded that the CBA stock is predictable in the short/long term. According to price forecasts for (n+3 month) period, the dominant strategy among neural network is: Sell

Key Points

  1. Market Signals
  2. Operational Risk
  3. How do predictive algorithms actually work?

CBA Target Price Prediction Modeling Methodology

We consider COMMONWEALTH BANK OF AUSTRALIA. Decision Process with Modular Neural Network (DNN Layer) where A is the set of discrete actions of CBA 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(Modular Neural Network (DNN Layer)) X S(n):→ (n+3 month) S = s 1 s 2 s 3

n:Time series to forecast

p:Price signals of CBA 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?

CBA Stock Forecast (Buy or Sell) for (n+3 month)

Sample Set: Neural Network
Stock/Index: CBA COMMONWEALTH BANK OF AUSTRALIA.
Time series to forecast n: 09 Feb 2023 for (n+3 month)

According to price forecasts for (n+3 month) period, the dominant strategy among neural network is: Sell

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%

IFRS Reconciliation Adjustments for COMMONWEALTH BANK OF AUSTRALIA.

  1. An entity shall assess whether contractual cash flows are solely payments of principal and interest on the principal amount outstanding for the currency in which the financial asset is denominated.
  2. If a financial asset contains a contractual term that could change the timing or amount of contractual cash flows (for example, if the asset can be prepaid before maturity or its term can be extended), the entity must determine whether the contractual cash flows that could arise over the life of the instrument due to that contractual term are solely payments of principal and interest on the principal amount outstanding. To make this determination, the entity must assess the contractual cash flows that could arise both before, and after, the change in contractual cash flows. The entity may also need to assess the nature of any contingent event (ie the trigger) that would change the timing or amount of the contractual cash flows. While the nature of the contingent event in itself is not a determinative factor in assessing whether the contractual cash flows are solely payments of principal and interest, it may be an indicator. For example, compare a financial instrument with an interest rate that is reset to a higher rate if the debtor misses a particular number of payments to a financial instrument with an interest rate that is reset to a higher rate if a specified equity index reaches a particular level. It is more likely in the former case that the contractual cash flows over the life of the instrument will be solely payments of principal and interest on the principal amount outstanding because of the relationship between missed payments and an increase in credit risk. (See also paragraph B4.1.18.)
  3. When an entity separates the foreign currency basis spread from a financial instrument and excludes it from the designation of that financial instrument as the hedging instrument (see paragraph 6.2.4(b)), the application guidance in paragraphs B6.5.34–B6.5.38 applies to the foreign currency basis spread in the same manner as it is applied to the forward element of a forward contract.
  4. The assessment of whether an economic relationship exists includes an analysis of the possible behaviour of the hedging relationship during its term to ascertain whether it can be expected to meet the risk management objective. The mere existence of a statistical correlation between two variables does not, by itself, support a valid conclusion that an economic relationship exists.

*International Financial Reporting Standards (IFRS) adjustment process involves reviewing the company's financial statements and identifying any differences between the company's current accounting practices and the requirements of the IFRS. If there are any such differences, neural network makes adjustments to financial statements to bring them into compliance with the IFRS.

Conclusions

COMMONWEALTH BANK OF AUSTRALIA. is assigned short-term Ba1 & long-term Ba1 estimated rating. COMMONWEALTH BANK OF AUSTRALIA. prediction model is evaluated with Modular Neural Network (DNN Layer) and Sign Test1,2,3,4 and it is concluded that the CBA stock is predictable in the short/long term. According to price forecasts for (n+3 month) period, the dominant strategy among neural network is: Sell

CBA COMMONWEALTH BANK OF AUSTRALIA. Financial Analysis*

Rating Short-Term Long-Term Senior
Outlook*Ba1Ba1
Income StatementB3B3
Balance SheetCB2
Leverage RatiosBaa2Ba2
Cash FlowCC
Rates of Return and ProfitabilityBa2Ba1

*Financial analysis is the process of evaluating a company's financial performance and position by neural network. It involves reviewing the company's financial statements, including the balance sheet, income statement, and cash flow statement, as well as other financial reports and documents.
How does neural network examine financial reports and understand financial state of the company?

Prediction Confidence Score

Trust metric by Neural Network: 84 out of 100 with 624 signals.

References

  1. Mnih A, Hinton GE. 2007. Three new graphical models for statistical language modelling. In International Conference on Machine Learning, pp. 641–48. La Jolla, CA: Int. Mach. Learn. Soc.
  2. Mazumder R, Hastie T, Tibshirani R. 2010. Spectral regularization algorithms for learning large incomplete matrices. J. Mach. Learn. Res. 11:2287–322
  3. G. J. Laurent, L. Matignon, and N. L. Fort-Piat. The world of independent learners is not Markovian. Int. J. Know.-Based Intell. Eng. Syst., 15(1):55–64, 2011
  4. H. Khalil and J. Grizzle. Nonlinear systems, volume 3. Prentice hall Upper Saddle River, 2002.
  5. Greene WH. 2000. Econometric Analysis. Upper Saddle River, N J: Prentice Hall. 4th ed.
  6. Doudchenko N, Imbens GW. 2016. Balancing, regression, difference-in-differences and synthetic control methods: a synthesis. NBER Work. Pap. 22791
  7. A. Eck, L. Soh, S. Devlin, and D. Kudenko. Potential-based reward shaping for finite horizon online POMDP planning. Autonomous Agents and Multi-Agent Systems, 30(3):403–445, 2016
Frequently Asked QuestionsQ: What is the prediction methodology for CBA stock?
A: CBA stock prediction methodology: We evaluate the prediction models Modular Neural Network (DNN Layer) and Sign Test
Q: Is CBA stock a buy or sell?
A: The dominant strategy among neural network is to Sell CBA Stock.
Q: Is COMMONWEALTH BANK OF AUSTRALIA. stock a good investment?
A: The consensus rating for COMMONWEALTH BANK OF AUSTRALIA. is Sell and is assigned short-term Ba1 & long-term Ba1 estimated rating.
Q: What is the consensus rating of CBA stock?
A: The consensus rating for CBA is Sell.
Q: What is the prediction period for CBA stock?
A: The prediction period for CBA is (n+3 month)

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