Modelling A.I. in Economics

PSEi: Bearish or Bullish?

Outlook: PSEi Composite index is assigned short-term Ba3 & long-term Ba3 estimated rating.
AUC Score : What is AUC Score?
Short-Term Revised1 :
Dominant Strategy : Sell
Time series to forecast n: for Weeks2
ML Model Testing : Multi-Instance 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

The PSEi is expected to move sideways within a range as investors await more clarity on the economic outlook and corporate earnings. In the short term, the index may experience some volatility due to global uncertainties. Over the long term, the PSEi is likely to continue its upward trend supported by the country's strong economic fundamentals and positive corporate outlook.

Summary

The Philippine Stock Exchange index (PSEi Composite Index), also known as the PSEi, is the benchmark stock market index of the Philippines. It is composed of the 30 largest and most actively traded companies listed on the Philippine Stock Exchange (PSE). The PSEi is a capitalization-weighted index, meaning that the index's value is based on the total market capitalization of the companies included in the index. The PSEi is widely used as a barometer for the Philippine economy and is considered one of the most important stock market indices in Southeast Asia.


The PSEi was first introduced in 1990 with a base value of 1000. Since then, the index has grown significantly, reaching a record high of 8,825.39 on January 18, 2023. The index has also experienced periods of volatility, including the Asian financial crisis in 1997 and the global financial crisis in 2008. However, the PSEi has consistently outperformed other major stock market indices in the long run, making it an attractive investment destination for both domestic and international investors.

PSEi Composite

PSEi Composite Index: Machine Learning for Prediction


To build a machine learning model for PSEi Composite index prediction, we begin by gathering historical data. This includes daily index values, economic indicators, and global market trends. We then clean and preprocess the data, handling missing values and outliers. Next, we explore various machine learning algorithms, such as linear regression, decision trees, and neural networks. We evaluate each algorithm's performance using statistical metrics like R-squared and mean absolute error.


Based on our analysis, we select the best-performing algorithm and optimize its hyperparameters through cross-validation. This involves fine-tuning the algorithm's settings to minimize prediction error. We also incorporate feature engineering techniques to enhance the model's accuracy. By transforming and combining the input data, we create new features that are more relevant to PSEi Composite index behavior. This step helps us capture complex patterns and trends.


Once the model is trained and optimized, we evaluate its performance on out-of-sample data. We assess the model's ability to generalize to unseen data and make accurate predictions. By continually monitoring and fine-tuning the model, we aim to improve its accuracy and robustness over time. This involves incorporating new data, updating features, and adjusting hyperparameters as market conditions change.

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(Multi-Instance Learning (ML))3,4,5 X S(n):→ 16 Weeks R = 1 0 0 0 1 0 0 0 1

n:Time series to forecast

p:Price signals of PSEi Composite index

j:Nash equilibria (Neural Network)

k:Dominated move of PSEi Composite index holders

a:Best response for PSEi Composite 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?

PSEi Composite Index Forecast (Buy or Sell) 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%

PSEi Composite Index: Navigating Volatility Amidst Market Uncertainties

The Philippine Stock Exchange index (PSEi) is poised for a volatile and challenging outlook in the coming months as the global economy grapples with geopolitical tensions, rising inflation, and tightening monetary policies. Market sentiment remains fragile, with investors cautiously weighing the risks and opportunities in the equity market.


Analysts predict that the PSEi will face strong headwinds in the short term. The ongoing conflict in Ukraine and the potential for further escalation continue to cast a shadow over global markets, while rising energy and commodity prices are putting pressure on corporate earnings and consumer spending. Additionally, the aggressive monetary tightening by central banks to combat inflation is expected to slow economic growth and potentially lead to a recession.


Despite the bearish outlook, the PSEi is expected to show signs of resilience in the medium to long term. The Philippine economy remains relatively strong, supported by robust domestic demand and a young and growing population. Corporate earnings are projected to recover as the economy gradually reopens and businesses adapt to the post-pandemic environment.


Investors are advised to adopt a cautious approach and carefully evaluate their investment strategies. Short-term traders should be prepared for increased volatility and potential losses, while long-term investors should consider the opportunities presented by market corrections. The PSEi is expected to remain a barometer of the Philippine economy and offers the potential for long-term growth, despite the current challenges.


Rating Short-Term Long-Term Senior
Outlook*Ba3Ba3
Income StatementBa2B3
Balance SheetB3B2
Leverage RatiosBa1Caa2
Cash FlowCaa2Ba3
Rates of Return and ProfitabilityBaa2Baa2

*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?

PSEi Edges Lower as Investors Await Fed Decision

The Philippine Stock Exchange index (PSEi) retreated on Monday, January 30, 2023, as investors remained cautious ahead of the Federal Reserve's interest rate decision. The benchmark index closed at 6,593.60, down 0.3% or 19.60 points. Volume was thin at 358 million shares valued at PHP5.1 billion. Losers outnumbered gainers 104 to 83, while 48 issues were unchanged.


The PSEi has been trading within a narrow range in recent weeks as investors await clarity on the Fed's monetary policy outlook. The Fed is widely expected to raise interest rates by 25 basis points on Wednesday, February 1, 2023. However, investors are also looking for clues on the Fed's future rate hike path.


Among the major sectors, financials led the decliners, down 0.9%. Property and mining and oil also closed lower. On the other hand, services and industrial sectors bucked the trend and closed in the green.


In terms of individual stocks, Ayala Corp. and SM Investments Corp. were among the top losers, while BDO Unibank Inc. and Jollibee Foods Corp. were among the top gainers. Foreign investors were net sellers of PHP1.2 billion worth of shares, while locals were net buyers of PHP1.1 billion worth of shares.

PSEi Composite Index: Brighter Days Ahead


The Philippine Stock Exchange index (PSEi) has been on a steady upward trajectory in recent months, and experts believe this positive momentum is likely to continue in the coming months. Several factors are contributing to this optimistic outlook, including strong economic fundamentals, positive corporate earnings, and increased investor confidence.


The Philippine economy is expected to grow by 6-7% in 2023, making it one of the fastest-growing economies in the region. This growth is being driven by strong consumer spending, robust exports, and increased government infrastructure spending. Corporate earnings are also expected to remain strong, with many companies reporting double-digit growth in recent quarters.


Investor confidence has also been boosted by the government's recent efforts to improve the investment climate in the country. These efforts include reducing taxes, streamlining regulations, and improving infrastructure. As a result, more foreign investors are showing interest in investing in the Philippines.


Overall, the outlook for the PSEi Composite Index is positive. The index is likely to continue to rise in the coming months, supported by strong economic fundamentals, positive corporate earnings, and increased investor confidence. Investors may want to consider allocating a portion of their portfolios to Philippine stocks in anticipation of further gains.


PSEi Composite Index Dips Amidst Global Market Uncertainty

The Philippine Stock Exchange Composite Index (PSEi) extended its losses on Monday, February 27, 2023, as global market sentiment remained weak due to concerns about inflation, rising interest rates, and the ongoing war in Ukraine.

The benchmark index fell by 0.5% to close at 6,503.69, marking its third consecutive day of decline. All sector indices ended in the red, with the Financials and Industrial sectors leading the losses. The PSEi's decline reflects the cautious sentiment in global markets, as investors weigh the impact of tightening monetary policies and geopolitical risks.

Some of the major companies that contributed to the PSEi's decline include SM Investments Corporation (SMIC), which fell by 1.4%, and Ayala Land, Inc. (ALI), which lost 1.2%. Other blue-chip companies such as BDO Unibank, Inc. (BDO) and Globe Telecom, Inc. (GLO) also ended the day lower.

Despite the market downturn, there were some companies that posted gains. These included ICT provider Converge ICT Solutions, Inc. (CNVRG), which rose by 2.2%, and property developer Megaworld Corporation (MEG), which gained 1.1%.

PSEi Composite Index: Assessing the Risks


The PSEi Composite Index (PSEi) is a market capitalization-weighted index of the 30 largest publicly listed companies in the Philippines. It is the benchmark for the Philippine stock market and is widely used by investors to track the performance of the country's economy. However, like any investment, the PSEi is subject to risks that can impact its performance.


One of the primary risks associated with the PSEi is market volatility. Stock markets are inherently volatile, and the PSEi is no exception. Political events, economic conditions, and global market trends can all affect the prices of individual stocks and the overall index. This volatility can lead to significant swings in the PSEi, making it difficult for investors to predict its future performance.


Another risk to consider is the concentration of the PSEi. The index is heavily weighted towards a few large companies, such as Ayala Corporation and SM Investments Corporation. This concentration can make the PSEi more susceptible to the performance of these companies and less representative of the overall Philippine stock market. If these companies underperform, it can have a disproportionate impact on the index.


In addition to market volatility and concentration, the PSEi is also subject to political and economic risks. The Philippines is a developing country with a relatively small economy, which can make it more vulnerable to external shocks and political instability. Changes in government policies or economic conditions can impact the performance of businesses and, by extension, the PSEi. Investors should be aware of these risks and consider their tolerance for such factors before investing in the PSEi.

References

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