Can neural networks predict stock market? (AEX Index Stock Forecast)

Abstract

We evaluate AEX Index prediction models with Multi-Task Learning (ML) and Pearson Correlation^1,2,3,4 and conclude that the AEX Index stock is predictable in the short/long term. According to price forecasts for (n+16 weeks) period: The dominant strategy among neural network is to Hold AEX Index stock.

Keywords: AEX Index, AEX 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 the most successful trading algorithms?
2. Is it better to buy and sell or hold?
3. What is a prediction confidence?

AEX Index Target Price Prediction Modeling Methodology

We consider AEX Index Stock Decision Process with Pearson Correlation where A is the set of discrete actions of AEX 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(Pearson Correlation)^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(Multi-Task Learning (ML)) X S(n):→ (n+16 weeks) $\overrightarrow{R}=\left(r_1,r_2,r_3\right)$

n:Time series to forecast

p:Price signals of AEX 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?

AEX Index Stock Forecast (Buy or Sell) for (n+16 weeks)

Sample Set: Neural Network
Stock/Index: AEX Index AEX Index
Time series to forecast n: 06 Sep 2022 for (n+16 weeks)

According to price forecasts for (n+16 weeks) period: The dominant strategy among neural network is to Hold AEX 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

AEX Index assigned short-term B3 & long-term B2 forecasted stock rating. We evaluate the prediction models Multi-Task Learning (ML) with Pearson Correlation^1,2,3,4 and conclude that the AEX Index stock is predictable in the short/long term. According to price forecasts for (n+16 weeks) period: The dominant strategy among neural network is to Hold AEX Index stock.

Financial State Forecast for AEX Index Stock Options & Futures

Rating	Short-Term	Long-Term Senior
Outlook*	B3	B2
Operational Risk	35	37
Market Risk	45	31
Technical Analysis	70	83
Fundamental Analysis	46	53
Risk Unsystematic	43	45

Prediction Confidence Score

Trust metric by Neural Network: 77 out of 100 with 532 signals.

References

1. R. Howard and J. Matheson. Risk sensitive Markov decision processes. Management Science, 18(7):356– 369, 1972
2. Athey S, Imbens G. 2016. Recursive partitioning for heterogeneous causal effects. PNAS 113:7353–60
3. G. Theocharous and A. Hallak. Lifetime value marketing using reinforcement learning. RLDM 2013, page 19, 2013
4. Matzkin RL. 1994. Restrictions of economic theory in nonparametric methods. In Handbook of Econometrics, Vol. 4, ed. R Engle, D McFadden, pp. 2523–58. Amsterdam: Elsevier
5. S. J. Russell and P. Norvig. Artificial Intelligence: A Modern Approach. Prentice Hall, Englewood Cliffs, NJ, 3nd edition, 2010
6. Imbens GW, Rubin DB. 2015. Causal Inference in Statistics, Social, and Biomedical Sciences. Cambridge, UK: Cambridge Univ. Press
7. Knox SW. 2018. Machine Learning: A Concise Introduction. Hoboken, NJ: Wiley

Frequently Asked Questions

Q: What is the prediction methodology for AEX Index stock?
A: AEX Index stock prediction methodology: We evaluate the prediction models Multi-Task Learning (ML) and Pearson Correlation
Q: Is AEX Index stock a buy or sell?
A: The dominant strategy among neural network is to Hold AEX Index Stock.
Q: Is AEX Index stock a good investment?
A: The consensus rating for AEX Index is Hold and assigned short-term B3 & long-term B2 forecasted stock rating.
Q: What is the consensus rating of AEX Index stock?
A: The consensus rating for AEX Index is Hold.
Q: What is the prediction period for AEX Index stock?
A: The prediction period for AEX Index is (n+16 weeks)