Modelling A.I. in Economics

Moscow Exchange Overdue for a Rebound? (Forecast)

Outlook: MOEX index is assigned short-term B3 & long-term Ba3 estimated rating.
AUC Score : What is AUC Score?
Short-Term Revised1 :
Dominant Strategy : Buy
Time series to forecast n: for Weeks2
ML Model Testing : Active Learning (ML)
Hypothesis Testing : Independent T-Test
Surveillance : Major exchange and OTC

1The accuracy of the model is being monitored on a regular basis.(15-minute period)

2Time series is updated based on short-term trends.


Key Points

Predictions for the MOEX index suggest potential for growth, with a moderate risk of volatility and geopolitical uncertainty. The index may experience upward momentum driven by economic recovery, government support, and improved investor sentiment. However, external factors such as sanctions, oil price fluctuations, and geopolitical tensions pose risks that could limit gains or trigger sharp declines. Overall, while the outlook remains positive, investors should exercise caution and monitor market conditions closely to navigate the inherent risks.

Summary

MOEX Russia Index (IMOEX) is a Russian stock market index that measures the performance of the 50 most liquid stocks traded on the Moscow Exchange. It is a market capitalization-weighted index, which means that the largest companies have a greater impact on its value. The IMOEX is considered a barometer of the Russian economy and is widely used by investors to track the performance of the country's stock market.


The IMOEX was launched in 1997 and has since become the most widely followed Russian stock index. It is calculated in real time and is published every 15 seconds during trading hours. The index is composed of companies from a variety of sectors, including energy, financials, telecommunications, and consumer goods. The largest companies in the index include Gazprom, Sberbank, Lukoil, and Rosneft.

MOEX
## MOEX Index Prediction Using Machine Learning

In an era defined by market volatility and economic uncertainty, predicting stock market indices has become paramount. To address this challenge, we propose a comprehensive machine learning model to forecast the MOEX index, a key benchmark for Russian financial markets. Our model leverages historical index data, macroeconomic indicators, and global market sentiment to capture complex patterns and predict future index movements.


We employ a hybrid approach that combines traditional time-series forecasting with ensemble machine learning techniques. We utilize an autoregressive integrated moving average (ARIMA) model to capture the underlying trend and seasonality in the index data. Additionally, we implement a random forest ensemble model to incorporate macroeconomic and sentiment features, enhancing the model's predictive power. The ensemble approach allows us to leverage the strengths of multiple learning algorithms, reducing the risk of overfitting and improving accuracy.


Our model is designed to provide timely and reliable predictions, enabling market participants to make informed investment decisions. We continuously monitor and refine the model to adapt to changing market conditions. Our rigorous validation process ensures its accuracy and stability, providing a valuable tool for traders, portfolio managers, and analysts seeking to navigate the complexities of the Russian financial market.

ML Model Testing

F(Independent T-Test)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(Active Learning (ML))3,4,5 X S(n):→ 3 Month i = 1 n s i

n:Time series to forecast

p:Price signals of MOEX index

j:Nash equilibria (Neural Network)

k:Dominated move of MOEX index holders

a:Best response for MOEX target price

 

For further technical information as per how our model work we invite you to visit the article below: 

How do PredictiveAI algorithms actually work?

MOEX Index Forecast Strategic Interaction Table

Strategic Interaction Table Legend:

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%

Positive Outlook for MOEX Index Despite Global Uncertainties

The Moscow Exchange (MOEX) Index, a key indicator of the Russian stock market, is poised for a positive outlook in the coming months, defying the global economic uncertainties and geopolitical tensions. Analysts and investors anticipate a combination of factors that will support the index's growth, including rising commodity prices, a recovering domestic economy, and government support for the financial sector.


The recent surge in oil and gas prices has significantly boosted Russian exports and provided a strong foundation for the MOEX Index. The country is a major producer and exporter of these commodities, and the high demand and prices have translated into increased revenues and profits for Russian companies. Furthermore, the domestic economy is expected to rebound from the pandemic-induced slowdown, fueled by government stimulus measures and increased consumer spending.


In addition to external and internal factors, the Russian government has implemented supportive policies to stabilize and enhance the financial sector. These measures include interest rate cuts, fiscal stimulus packages, and regulatory changes designed to attract foreign investment. The government's commitment to supporting the economic recovery and fostering a favorable investment climate further strengthens the positive outlook for the MOEX Index.


However, it is important to acknowledge that global events and geopolitical developments could impact the index's trajectory. Ongoing sanctions and tensions between Russia and Western nations could create volatility and uncertainty in the market. Investors should closely monitor these developments and adjust their strategies accordingly. Overall, the MOEX Index is well-positioned for growth in the medium term, but close monitoring of economic and geopolitical factors is crucial for informed investment decisions.



Rating Short-Term Long-Term Senior
Outlook*B3Ba3
Income StatementCaa2Baa2
Balance SheetBaa2Baa2
Leverage RatiosCCaa2
Cash FlowCaa2B3
Rates of Return and ProfitabilityCCaa2

*An aggregate rating for an index summarizes the overall sentiment towards the companies it includes. This rating is calculated by considering individual ratings assigned to each stock within the index. By taking an average of these ratings, weighted by each stock's importance in the index, a single score is generated. This aggregate rating offers a simplified view of how the index's performance is generally perceived.
How does neural network examine financial reports and understand financial state of the company?

MOEX Index Market Overview

The Moscow Exchange (MOEX) is Russia's primary stock exchange and operates several indices, including the MOEX Russia Index (IMOEX) and the RTS Index (RTSI). These indices reflect the performance of various sectors of the Russian economy, providing insights into the overall health and direction of the market. MOEX indices serve as important benchmarks for investors, offering diversification and risk management opportunities.


The IMOEX index, launched in 2005, tracks the performance of the 50 most liquid Russian stocks and is calculated using free-float market capitalization. The RTSI index, established in 1995, comprises 30 of the largest and most actively traded Russian companies. Both indices are widely used by investors to gauge the overall health of the Russian stock market and the performance of leading Russian companies.


The competitive landscape of the MOEX index market has remained relatively stable, with MOEX maintaining its dominant position. However, other exchanges, such as the Saint Petersburg Stock Exchange (SPB Exchange), have recently gained market share by offering unique products and services, including access to international markets. As the Russian economy continues to evolve, MOEX is expected to face increasing competition from both domestic and international players.


Despite the competitive landscape, MOEX is likely to continue playing a significant role in the Russian index market. The exchange has a well-established track record, strong infrastructure, and a large customer base. MOEX is also actively pursuing new opportunities, such as the development of ETF products and the expansion of its international reach. As a result, the company is well-positioned to maintain its position as the leading index provider in Russia.


MOEX Index: Navigating Uncertainties towards Cautious Optimism

The Moscow Exchange (MOEX) Index has experienced a rollercoaster ride in recent years, mirroring the geopolitical and economic challenges that Russia has faced. However, as the country navigates these uncertainties, the index outlook suggests cautious optimism for the future.


Despite the ongoing sanctions and geopolitical tensions, the Russian economy has shown resilience, supported by the country's vast natural resources and the government's efforts to mitigate the impact of sanctions. The central bank has maintained a tight grip on inflation, and the banking system remains stable. These factors have contributed to a gradual recovery in the financial markets, including the MOEX Index.


The index is expected to continue its upward trend in the medium term, albeit with some fluctuations along the way. The recovery in the energy sector, which accounts for a significant portion of the index, is likely to be a key driver of growth. Additionally, the government's focus on supporting domestic companies and industries is expected to create opportunities for businesses, which will in turn benefit the index.


However, it is important to note that the MOEX Index remains exposed to geopolitical risks. The ongoing conflict in Ukraine and the possibility of further sanctions could impact the Russian economy and financial markets. Investors should therefore exercise caution and monitor the situation closely. Despite these uncertainties, the long-term outlook for the MOEX Index appears cautiously optimistic, reflecting the resilience of the Russian economy and the potential for growth in the years ahead.

MOEX Index: Tracking Russian Market Performance

The Moscow Exchange (MOEX) Index serves as a benchmark for the performance of the Russian stock market. It comprises the 50 most liquid stocks traded on the exchange and provides insights into the overall health and direction of the Russian economy. The index is calculated in real-time and is updated throughout the trading day.

...

MOEX Hits New High, Fueled by Oil Prices

The MOEX Index has recently surged to record highs, driven by a combination of factors. The ongoing recovery from the COVID-19 pandemic, combined with rising global oil prices, has boosted the performance of energy companies that dominate the Russian market. The index's strong performance is also seen as a sign of confidence in the Russian economy's prospects.

...

Prominent Company News on MOEX

Several key companies listed on MOEX have made news recently. Sberbank, Russia's largest bank, announced plans to expand its digital banking services, while Gazprom, the state-owned energy giant, reported record profits amid the global energy crisis. These developments have contributed to the positive sentiment surrounding the MOEX Index.

...

Outlook for the MOEX Index

Analysts remain cautiously optimistic about the outlook for the MOEX Index. The index is expected to continue benefiting from the high oil prices and the post-pandemic recovery. However, geopolitical tensions and macroeconomic headwinds could pose potential risks. Investors are advised to monitor these factors closely while considering investments in Russian equities.

MOEX Index Risk Assessment: A Comprehensive Analysis

The MOEX Index is a widely recognized indicator of the Russian stock market's performance. It measures the performance of the 50 most liquid Russian stocks and serves as a benchmark for investors seeking exposure to the Russian equity market. To assess the risk associated with the MOEX Index, a comprehensive analysis of various risk factors is essential.


One key aspect of MOEX Index risk assessment is geopolitical risk. The Russian economy and financial markets are inherently exposed to geopolitical uncertainties, such as international sanctions, changes in foreign policy, and fluctuations in global energy prices. These factors can significantly impact the index's performance and create volatility in the underlying stocks.


Another significant risk factor is economic risk. The MOEX Index is heavily influenced by the health of the Russian economy. Factors such as GDP growth, inflation rates, interest rates, and exchange rate fluctuations can all impact the performance of the index and its constituent stocks. Economic downturns or prolonged economic uncertainty can lead to decreased investor confidence and negative returns.


In addition to geopolitical and economic risks, liquidity risk also needs to be considered. The MOEX Index includes stocks with varying liquidity levels. Sudden market sell-offs or a lack of trading volume can lead to execution delays or difficulty in executing trades at desired prices, resulting in potential losses for investors. Assessing the liquidity profile of the index and its components is crucial for managing this risk.


By understanding these risk factors and conducting thorough due diligence, investors can make informed decisions about investing in the MOEX Index. Regular monitoring of geopolitical events, economic indicators, and market conditions is essential to anticipate and mitigate potential risks and maximize returns in the Russian stock market.

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