Modelling A.I. in Economics

NLY Annaly Capital Management Inc. Common Stock (Forecast)

Outlook: Annaly Capital Management Inc. Common Stock is assigned short-term Ba1 & long-term Ba1 estimated rating.
Dominant Strategy : Buy
Time series to forecast n: 31 Mar 2023 for (n+8 weeks)
Methodology : Modular Neural Network (Market News Sentiment Analysis)

Abstract

Annaly Capital Management Inc. Common Stock prediction model is evaluated with Modular Neural Network (Market News Sentiment Analysis) and Lasso Regression1,2,3,4 and it is concluded that the NLY stock is predictable in the short/long term. According to price forecasts for (n+8 weeks) period, the dominant strategy among neural network is: Buy

Key Points

  1. Is now good time to invest?
  2. How accurate is machine learning in stock market?
  3. How can neural networks improve predictions?

NLY Target Price Prediction Modeling Methodology

We consider Annaly Capital Management Inc. Common Stock Decision Process with Modular Neural Network (Market News Sentiment Analysis) where A is the set of discrete actions of NLY 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(Lasso 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 News Sentiment Analysis)) X S(n):→ (n+8 weeks) i = 1 n a i

n:Time series to forecast

p:Price signals of NLY 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?

NLY Stock Forecast (Buy or Sell) for (n+8 weeks)

Sample Set: Neural Network
Stock/Index: NLY Annaly Capital Management Inc. Common Stock
Time series to forecast n: 31 Mar 2023 for (n+8 weeks)

According to price forecasts for (n+8 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%

IFRS Reconciliation Adjustments for Annaly Capital Management Inc. Common Stock

  1. The following are examples of when the objective of the entity's business model may be achieved by both collecting contractual cash flows and selling financial assets. This list of examples is not exhaustive. Furthermore, the examples are not intended to describe all the factors that may be relevant to the assessment of the entity's business model nor specify the relative importance of the factors.
  2. As noted in paragraph B4.3.1, when an entity becomes a party to a hybrid contract with a host that is not an asset within the scope of this Standard and with one or more embedded derivatives, paragraph 4.3.3 requires the entity to identify any such embedded derivative, assess whether it is required to be separated from the host contract and, for those that are required to be separated, measure the derivatives at fair value at initial recognition and subsequently. These requirements can be more complex, or result in less reliable measures, than measuring the entire instrument at fair value through profit or loss. For that reason this Standard permits the entire hybrid contract to be designated as at fair value through profit or loss.
  3. An entity shall apply the impairment requirements in Section 5.5 retrospectively in accordance with IAS 8 subject to paragraphs 7.2.15 and 7.2.18–7.2.20.
  4. To the extent that a transfer of a financial asset does not qualify for derecognition, the transferor's contractual rights or obligations related to the transfer are not accounted for separately as derivatives if recognising both the derivative and either the transferred asset or the liability arising from the transfer would result in recognising the same rights or obligations twice. For example, a call option retained by the transferor may prevent a transfer of financial assets from being accounted for as a sale. In that case, the call option is not separately recognised as a derivative asset.

*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

Annaly Capital Management Inc. Common Stock is assigned short-term Ba1 & long-term Ba1 estimated rating. Annaly Capital Management Inc. Common Stock prediction model is evaluated with Modular Neural Network (Market News Sentiment Analysis) and Lasso Regression1,2,3,4 and it is concluded that the NLY stock is predictable in the short/long term. According to price forecasts for (n+8 weeks) period, the dominant strategy among neural network is: Buy

NLY Annaly Capital Management Inc. Common Stock Financial Analysis*

Rating Short-Term Long-Term Senior
Outlook*Ba1Ba1
Income StatementB3Caa2
Balance SheetCaa2Caa2
Leverage RatiosBaa2B3
Cash FlowBaa2B1
Rates of Return and ProfitabilityCaa2Baa2

*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: 76 out of 100 with 881 signals.

References

  1. Holland PW. 1986. Statistics and causal inference. J. Am. Stat. Assoc. 81:945–60
  2. Zeileis A, Hothorn T, Hornik K. 2008. Model-based recursive partitioning. J. Comput. Graph. Stat. 17:492–514 Zhou Z, Athey S, Wager S. 2018. Offline multi-action policy learning: generalization and optimization. arXiv:1810.04778 [stat.ML]
  3. Scott SL. 2010. A modern Bayesian look at the multi-armed bandit. Appl. Stoch. Models Bus. Ind. 26:639–58
  4. Dimakopoulou M, Zhou Z, Athey S, Imbens G. 2018. Balanced linear contextual bandits. arXiv:1812.06227 [cs.LG]
  5. Athey S, Bayati M, Doudchenko N, Imbens G, Khosravi K. 2017a. Matrix completion methods for causal panel data models. arXiv:1710.10251 [math.ST]
  6. Y. Le Tallec. Robust, risk-sensitive, and data-driven control of Markov decision processes. PhD thesis, Massachusetts Institute of Technology, 2007.
  7. Bastani H, Bayati M. 2015. Online decision-making with high-dimensional covariates. Work. Pap., Univ. Penn./ Stanford Grad. School Bus., Philadelphia/Stanford, CA
Frequently Asked QuestionsQ: What is the prediction methodology for NLY stock?
A: NLY stock prediction methodology: We evaluate the prediction models Modular Neural Network (Market News Sentiment Analysis) and Lasso Regression
Q: Is NLY stock a buy or sell?
A: The dominant strategy among neural network is to Buy NLY Stock.
Q: Is Annaly Capital Management Inc. Common Stock stock a good investment?
A: The consensus rating for Annaly Capital Management Inc. Common Stock is Buy and is assigned short-term Ba1 & long-term Ba1 estimated rating.
Q: What is the consensus rating of NLY stock?
A: The consensus rating for NLY is Buy.
Q: What is the prediction period for NLY stock?
A: The prediction period for NLY is (n+8 weeks)

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