MOEX Index Forecast

Outlook: MOEX index is assigned short-term B3 & long-term B2 estimated rating.
AUC Score : What is AUC Score?
Short-term Tactic¹ :
Dominant Strategy :
Time series to forecast n: for Weeks²
ML Model Testing : Modular Neural Network (Market Volatility Analysis)
Hypothesis Testing : Linear Regression
Surveillance : Major exchange and OTC

¹Short-term revised.

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

Key Points

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About MOEX Index

The MOEX Russia Index is the primary benchmark for the Russian stock market, reflecting the performance of the largest and most liquid Russian publicly traded companies. It is a free-float capitalization-weighted index, meaning that the market value of each constituent company is adjusted to include only the shares that are readily available for trading. The index is compiled and maintained by the Moscow Exchange Group (MOEX), the largest exchange group in Russia and one of the largest globally in terms of trading volume and the number of listed companies. It serves as a crucial indicator for investors and analysts seeking to gauge the overall health and direction of the Russian equity market, providing a broad representation of various sectors within the Russian economy.

The composition of the MOEX Russia Index is reviewed periodically to ensure it remains representative of the prevailing market conditions and economic landscape. Companies included in the index must meet stringent criteria regarding liquidity, market capitalization, and free float. Its performance is closely watched as it is influenced by a multitude of factors, including global commodity prices, geopolitical events, domestic economic policies, and corporate earnings. As the leading indicator of Russian equities, the MOEX Russia Index plays a significant role in investment decisions and serves as the underlying asset for various financial products, such as exchange-traded funds (ETFs) and derivatives.

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ML Model Testing

F(Linear Regression)^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 (Market Volatility Analysis))^3,4,5 X S(n):→ 3 Month $R=\left(\begin{array}{ccc}1& 0& 0\\ 0& 1& 0\\ 0& 0& 1\end{array}\right)$

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 KappaSignal 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%

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Rating	Short-Term	Long-Term Senior
Outlook	B3	B2
Income Statement	C	Caa2
Balance Sheet	Caa2	Ba3
Leverage Ratios	C	B2
Cash Flow	Ba3	Caa2
Rates of Return and Profitability	B1	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?

References

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