Does algo trading work? (S&P/ASX 200 Index Stock Forecast)

Abstract

We evaluate S&P/ASX 200 Index prediction models with Modular Neural Network (Social Media Sentiment Analysis) and Linear Regression^1,2,3,4 and conclude that the S&P/ASX 200 Index stock is predictable in the short/long term. According to price forecasts for (n+6 month) period: The dominant strategy among neural network is to Hold S&P/ASX 200 Index stock.

Keywords: S&P/ASX 200 Index, S&P/ASX 200 Index, stock forecast, machine learning based prediction, risk rating, buy-sell behaviour, stock analysis, target price analysis, options and futures.

Key Points

1. What are main components of Markov decision process?
2. Trading Interaction
3. Trust metric by Neural Network

S&P/ASX 200 Index Target Price Prediction Modeling Methodology

We consider S&P/ASX 200 Index Stock Decision Process with Linear Regression where A is the set of discrete actions of S&P/ASX 200 Index 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(Linear Regression)^5,6,7= $\begin{array}{cccc}{p}_{\mathrm{a}1}& p_{\mathrm{a}2}& \dots & p_{1n}\\ & ⋮\\ p_{j1}& p_{j2}& \dots & p_{jn}\\ & ⋮\\ p_{k1}& p_{k2}& \dots & p_{kn}\\ & ⋮\\ p_{n1}& p_{n2}& \dots & p_{nn}\end{array}$ X R(Modular Neural Network (Social Media Sentiment Analysis)) X S(n):→ (n+6 month) $\begin{array}{l}\int e^x\mathrm{rx}\end{array}$

n:Time series to forecast

p:Price signals of S&P/ASX 200 Index stock

j:Nash equilibria

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?

S&P/ASX 200 Index Stock Forecast (Buy or Sell) for (n+6 month)

Sample Set: Neural Network
Stock/Index: S&P/ASX 200 Index S&P/ASX 200 Index
Time series to forecast n: 08 Sep 2022 for (n+6 month)

According to price forecasts for (n+6 month) period: The dominant strategy among neural network is to Hold S&P/ASX 200 Index 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%

Conclusions

S&P/ASX 200 Index assigned short-term Ba3 & long-term B1 forecasted stock rating. We evaluate the prediction models Modular Neural Network (Social Media Sentiment Analysis) with Linear Regression^1,2,3,4 and conclude that the S&P/ASX 200 Index stock is predictable in the short/long term. According to price forecasts for (n+6 month) period: The dominant strategy among neural network is to Hold S&P/ASX 200 Index stock.

Financial State Forecast for S&P/ASX 200 Index Stock Options & Futures

Rating	Short-Term	Long-Term Senior
Outlook*	Ba3	B1
Operational Risk	83	46
Market Risk	69	72
Technical Analysis	76	38
Fundamental Analysis	77	45
Risk Unsystematic	30	90

Prediction Confidence Score

Trust metric by Neural Network: 75 out of 100 with 636 signals.

References

1. Arjovsky M, Bottou L. 2017. Towards principled methods for training generative adversarial networks. arXiv:1701.04862 [stat.ML]
2. Ruiz FJ, Athey S, Blei DM. 2017. SHOPPER: a probabilistic model of consumer choice with substitutes and complements. arXiv:1711.03560 [stat.ML]
3. Clements, M. P. D. F. Hendry (1996), "Intercept corrections and structural change," Journal of Applied Econometrics, 11, 475–494.
4. Breiman L, Friedman J, Stone CJ, Olshen RA. 1984. Classification and Regression Trees. Boca Raton, FL: CRC Press
5. Banerjee, A., J. J. Dolado, J. W. Galbraith, D. F. Hendry (1993), Co-integration, Error-correction, and the Econometric Analysis of Non-stationary Data. Oxford: Oxford University Press.
6. Y. Le Tallec. Robust, risk-sensitive, and data-driven control of Markov decision processes. PhD thesis, Massachusetts Institute of Technology, 2007.
7. Thompson WR. 1933. On the likelihood that one unknown probability exceeds another in view of the evidence of two samples. Biometrika 25:285–94

Frequently Asked Questions

Q: What is the prediction methodology for S&P/ASX 200 Index stock?
A: S&P/ASX 200 Index stock prediction methodology: We evaluate the prediction models Modular Neural Network (Social Media Sentiment Analysis) and Linear Regression
Q: Is S&P/ASX 200 Index stock a buy or sell?
A: The dominant strategy among neural network is to Hold S&P/ASX 200 Index Stock.
Q: Is S&P/ASX 200 Index stock a good investment?
A: The consensus rating for S&P/ASX 200 Index is Hold and assigned short-term Ba3 & long-term B1 forecasted stock rating.
Q: What is the consensus rating of S&P/ASX 200 Index stock?
A: The consensus rating for S&P/ASX 200 Index is Hold.
Q: What is the prediction period for S&P/ASX 200 Index stock?
A: The prediction period for S&P/ASX 200 Index is (n+6 month)