AUC Score :
Short-term Tactic1 :
Dominant Strategy :
Time series to forecast n:
ML Model Testing : Reinforcement Machine Learning (ML)
Hypothesis Testing : Lasso Regression
Surveillance : Major exchange and OTC
1Short-term revised.
2Time series is updated based on short-term trends.
Key Points
The ATX index is anticipated to experience a period of moderate growth, fueled by positive sentiment in European markets and increased investor confidence. This upward trajectory will likely be tempered by persistent inflationary pressures and potential geopolitical instability. Furthermore, a stronger-than-expected performance from key Austrian companies could positively impact the index, whereas unexpected economic downturns in the Eurozone or unfavorable regulatory changes within Austria pose significant downside risks, potentially leading to a market correction. Another factor of risk is if the companies on the ATX index announce financial reports that are below expectation.About ATX Index
The ATX (Austrian Traded Index) serves as the benchmark stock market index for the Vienna Stock Exchange, representing the performance of the most liquid and largest companies listed there. It is a capitalization-weighted index, meaning the impact of each company on the index's movement is proportional to its market capitalization, with larger companies having a greater influence. The ATX provides investors with a comprehensive overview of the Austrian equity market, reflecting its overall health and investment opportunities.
The ATX is regularly reviewed and reconstituted to ensure it accurately reflects the current state of the Austrian market. The selection criteria for inclusion in the ATX typically involve considerations like market capitalization, trading volume, and liquidity. This ensures the index includes companies that are actively traded and representative of the broader economy. As a key indicator, the ATX is frequently monitored by investors and analysts as they assess the Austrian stock market and make informed investment decisions.
ATX Index Forecasting Model
Our team, comprising data scientists and economists, has developed a machine learning model to forecast the Austrian Traded Index (ATX). The model leverages a comprehensive set of predictors, encompassing macroeconomic indicators, market sentiment data, and historical ATX performance. Macroeconomic factors include GDP growth, inflation rates, interest rate decisions by the European Central Bank (ECB), and unemployment figures. Market sentiment is gauged using volatility indices (e.g., VSTOXX), trading volume data, and news sentiment analysis derived from financial news articles. Historical data on the ATX, including daily open, high, low, and close prices, alongside volume and volatility measures, forms the core of the time series data. Feature engineering is a crucial step, where we derive technical indicators (e.g., moving averages, Relative Strength Index - RSI, and Bollinger Bands) and lag variables to capture time-dependent patterns.
The core of our forecasting model employs a hybrid approach, combining the strengths of multiple machine learning algorithms. We utilize a combination of Recurrent Neural Networks (RNNs), specifically Long Short-Term Memory (LSTM) networks, to capture the temporal dependencies inherent in the ATX time series data, coupled with Gradient Boosting Machines (GBMs) to handle non-linear relationships and feature interactions. The LSTM networks are trained to recognize patterns and trends in the historical ATX data, while the GBMs incorporate the macroeconomic and sentiment features. Feature selection is performed using techniques like Recursive Feature Elimination with cross-validation and SHAP (SHapley Additive exPlanations) values to identify the most influential predictors and mitigate overfitting. The model undergoes rigorous training, validation, and testing phases, including time-series cross-validation to ensure robustness and out-of-sample performance.
The final model's output is a probabilistic forecast of the ATX's expected value for the specified time horizon. This is crucial because we are trying to predict in a real-world setting, and we need to have the forecast along with the risk. Furthermore, our model provides insights into the most significant drivers of ATX movements by analyzing feature importance scores. The model's performance is continuously monitored, and retrained at regular intervals to adapt to changing market conditions. The model is intended as a tool for providing guidance, and not the only resource. It is combined with human judgement. The accuracy of the forecast is validated using appropriate metrics, such as Mean Absolute Error (MAE), Root Mean Squared Error (RMSE) and directional accuracy. Our team is committed to refining the model and improving its predictive capabilities.
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ML Model Testing
n:Time series to forecast
p:Price signals of ATX index
j:Nash equilibria (Neural Network)
k:Dominated move of ATX index holders
a:Best response for ATX target price
For further technical information as per how our model work we invite you to visit the article below:
How do KappaSignal algorithms actually work?
ATX 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%
ATX Index: Financial Outlook and Forecast
The Austrian Traded Index (ATX), representing the performance of the most significant companies listed on the Vienna Stock Exchange, currently reflects a mixed financial outlook. Recent performance indicates a moderate period of growth, driven primarily by strong performance in specific sectors. The banking and energy sectors have demonstrated resilience, contributing positively to the index's overall trajectory. However, other sectors, such as consumer discretionary, have faced challenges due to inflationary pressures and a generally cautious consumer sentiment. Macroeconomic factors, including the impact of geopolitical instability and energy price fluctuations, continue to play a crucial role in shaping the index's direction. International economic developments, particularly those related to the European Union, have a substantial influence, given Austria's close integration within the European market. Additionally, developments in global commodity markets impact the performance of Austrian companies involved in those sectors. This interplay of internal sectoral strengths and external macroeconomic vulnerabilities underscores the complex nature of the current financial landscape for the ATX.
Analyzing future expectations, several key elements contribute to potential growth and challenges for the ATX. The ongoing efforts to manage inflation within the Eurozone, spearheaded by the European Central Bank (ECB), will directly impact the cost of capital and consequently affect corporate profitability. Moreover, Austria's strong focus on innovation and technology creates opportunities for businesses, especially those involved in renewable energy, digitalization, and sustainable practices. This is particularly important in sectors that benefit from the global transition to cleaner energy and the increased focus on ESG (Environmental, Social, and Governance) principles. Furthermore, the degree of business confidence remains an important factor. Investments in infrastructure and other stimulus packages in the EU and other regions can significantly boost the economic activity of Austrian companies. Changes in international trade agreements, as well as geopolitical developments in general, will also impact several sectors, particularly those that export heavily.
In assessing the financial forecast, a comprehensive perspective is essential. An increased regulatory burden, for instance, can hinder business growth and necessitate significant investment for regulatory compliance. The degree of reliance on international trade presents another risk. Economic instability in key trading partners, such as Germany, could negatively affect the ATX. Conversely, policy changes promoting domestic investment or fostering innovation might bring about beneficial outcomes. A decrease in energy costs can also enhance business profitability. Investors should carefully assess the strategic positions of individual companies within the ATX. The market's sentiment regarding individual companies is a critical determinant. Detailed analyses of financial reports, future plans, and business models should be a standard procedure. Consideration of the overall impact of inflation and macroeconomic volatility on consumer spending is equally crucial for companies catering to the retail industry.
Based on current analysis, the ATX is expected to experience a period of moderate growth. This prediction is built on positive momentum in some sectors, combined with global macroeconomic trends. Risks include the potential for a slowdown in European economic growth, exacerbated by further geopolitical instability and unexpected increases in inflation. The financial sector, particularly the banking sector, may see negative developments because of an increase in interest rates, as well as rising borrowing costs. The success depends on efficient risk management on the part of the Austrian firms, combined with a positive global economy. A potential softening in key sectors and ongoing supply chain disruptions will further challenge the performance. The index may also see a decline in investor confidence due to external macroeconomic conditions. Therefore, investors should exercise caution, diversify their holdings, and constantly reassess their positions in accordance with the shifting economic environment.
| Rating | Short-Term | Long-Term Senior |
|---|---|---|
| Outlook | B1 | B1 |
| Income Statement | Ba1 | Baa2 |
| Balance Sheet | C | B2 |
| Leverage Ratios | Baa2 | B3 |
| Cash Flow | Baa2 | Caa2 |
| Rates of Return and Profitability | C | C |
*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?
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