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AroniSmartIntelligence™ in Action: Time Series Support Vector Machine and Neural Network Analysis of Stock Market Indices, Gold and Oil in January 2021 - January 2022

AroniSmartIntelligence Stock Market Indices Time Series Support Vector Machine and Neural Network Analysis

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After a fueled momentum over 2021, the stock market has started the year 2022 with volatility. The latest Q3 2021 stock market perfomance figures reminded of the increasing market volatility and other dynamics in late Q1 and early Q2, 2021. Major questions coming from AroniSmartIntelligence™ users have over the 2021 year focused on how to use AroniSmartIntelligence capabilities to analyze the connection among the key Stock market indices, especially NASDAQ vs  Dow Jones(DJI), S&P 500,  Russell 2000, Gold,  and Oil.   AroniSmart™ team, leveraging the Machine Learning Time Series capabilities, including Support Vector Machine,  and Neural Network Analysis of AroniSmartIntelligence™ ,  has analyzed the trends of  NASDAQ  and DJI vs  the  other stock indices (DJI, S&P 500, Russell 2000, Oil, Gold)  between  early Jan 2021 and  early Jan 2022 and came up with insights and  projections on the dynamics.   The insights are presented below (for disclaimer and terms, check AroniSoft website. For related analyses of Stock Markets using Time Series, Dominance Analysis, and Neural Network capabilities see here AroniSmartIntelligence™ in Action: Time Series Support Vector Machine and Neural Network Analysis of Stock Market Indices in Q4 2020 - Q4 2021)

 The analysis produced the different measures of forecasting accuracy, including  directional accuracy of Stock market indices. Directional accuracy is an important statistic when ones tries to look at the prediction of a given stock market indice  vs others, for example, as in this case, the  NASDAQ , S&P500, or DJI Adjusted Closing Price as a function of Open, Low, High, and Closing Prices and volume  of other market indices, Gold and Oil.  

A little bit of the usual investment research before coming back to AroniSmart™'s findings.

Indices Momentum

In general all indices have experienced an upward momentum  over 2021  and to January 7, 2022: Dow Jones (.DJI) has grown by 16.84% to 36,231.66; S&P 500  (.INX) by 23.09% to 4,677.03;  Nasdaq Composite (.IXIC) by 14.57% to 14,935.90; Russell 2000 Index (RUT) by 4.25% to 2,179.84, Crude Oil by 50.7% to 78.95 and Gold by -1.93% to 1,794.00.  Only Gold has seen a negative performance.  However the dynamics in the last 6 months (July 2021- early Jan 2022) have been characterized by high volatility, with some gains lost for most indices: Dow Jones (.DJI) has increased  by 3.75%; S&P 500  (.INX) increased by 6.63%;  Nasdaq Composite (.IXIC) increased by 5.5%; Russell 2000 Index (RUT) decreased by 5.6%, Crude Oil increased by 5.6%  and Gold decreased by 1%

Since the beginning of 2022, all indices have been decreasing:   Dow Jones (.DJI) has  decreased  by 0.97%; S&P 500  (.INX) decreased by 2.49%;  Nasdaq Composite (.IXIC) decreased by 5.66%; Russell 2000 Index (RUT) decreased by 4.08%, Crude Oil increased by 4.1% and Gold decreased by 1.92%.

Hence, although the dynamics  of all the stock indices appear aligned, there appears to be some significant  differences in the details. All the indices behaved similarly, when looking at  the factors that  have been affecting the overal market since  early 2021, such as COVID-19 pandemic,  the last US general elections, the uncertainty on the job market, the growing inflation, and the economic policies over 2021 and the dynamics in late 2021 and Jan 2022, including the COVID-19 Omicron variant and the expected economic policies . Then, each indice factored the dynamics unique to the sectors dominating its specific composition.


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Similar Trends with  Differential Nuances.

AroniSmart™ team  analyzed  stock indices performance dynamics, leveraging the  Econometrics and Time Series Support Vector Machine  and  Neural Network Multilayer Perceptron  capabilities  of  AroniSmartIntelligence™ and uncovered interesting insights, as shown below. The team analyzed the performance of NASDAQ, DJI, S&P500 Adjusted Close vs  Open and High prices of the other indices (DJI, S&P 500, Russell 2000, Crude Oil, and Gold) , and each indice's Adjusted Close vs other indices prices (open, low, high, adjusted close) and volume,  from  January  11, 2021 to January 7  2022.

From the analysis, it was found that  these indices basically follow similar trends. Also, they are all similarly impacted by the market conditions. However, the analysis found important nuances. 

The key findings highlight:  the indices studied had an upward momentum over the period. However, like the general stock market, they faced a slowdown and high volatility in late Q1-Q2 2021 before starting a bounce back, then going on a seesaw movement. Trendwise, since  June 2021, the stocks  have been on fueled momentum  reaching high or record  price levels. The upward momentum accelerated in Januay,  June, July and August 2021. Then in September and October, 2021, the dynamics pointed to a slow down, downward trends, seesaw movements, and probably a potential correction. The volatility increased in Q4 2021. In January 2022, all indices have been giving up some gains.

Stock Indices All TrainingData Prediction

 

Stock Indices All TrainingData Prediction

 

Figure 1: Key Indice Price Trends  in Jan 2021-Sep 2022 -- Training Data model.

Stock Indices All Test Data Prediction key stocks from August 11 2020 to August 11, 2021

Figure 2: Key Stocks Indices Trends  in Oct 2022- Jan 2022 -- Test Data model.

Over 2021 all the stocks indices built on an earlier momentum, almost following similar trends.  

By July  of 2021  most indices were above the  average Q1 2021 levels. In early Q2 2021, the momentums of all indices  were significantly impacted by the market conditions. In late May 2021, they bounced back and maintained momentum until late September 2021 (see charts below). Since then, the indices have been experiencing seesaw dynamics.  The new market conditions, including the news about the pandemic have severly impacted all indices since December 2021 into January 2022. As expected, the indices do not exactly follow the same trends and projections, neither in training nor in test data (see DJI and NASDAQ examples below).

DJI Future Estimate key stocks trends 06 2021 11 2021 10 11

Figure 3: Dow Jones (DJI)  Step Estimate  Oct 2021 - Jan 2022

 

Stock Indices Test Data Prediction 01 2021 2021 09 11

Figure 4: NASDAQ, DJI, S&P500, Russell 2000, Gold, Crude Oil  Index Trends and AroniSmart Projections Analysis Between Jan 2021 and  Sep 2021

 

NASDAQ Test Data Prediction Jan 2021-Jan 2021

Figure 5: NASDAQ Stock Market Index Trends and AroniSmart Projections Analysis Between July 2021 and January 2022

AroniSmartIntelligence™ modelling shows the stock indices that appear to mirror each other: a high opening for  the stock market indices that tends to lead a decline or slow down in  NASDAQ's adjusted closing price and a high opening for  the stock market indices that tends to lead an increase or growth in  NASDAQ's adjusted closing price.  Late Q4 2020 - Early Q1 2020 and late Q2- early Q3  dynamics appear to positively impact NASDAQ Index, whereas the end of Q3-early Q4 2021 appears to have been challenging.

AroniSmartIntelligence™ analysis, using Time Series Support Vector Machine modelling and Neural Network Multilayer Perceptron,  shows below the weights of the different indices and the forecast statistics.  From the statistics, directionary accuracy is in general high, pointing to overall similar dynamics across all maket indices.

NASDAQ, DJI, SP500RUSSELL SVM statistics 10 2021

 Figure 6 - a:  DJI, NASDAQ, SP500, Russell 2000, Gold and Crude Oil Stock Index Dynamics and Statistics - AroniSmart Support Vector Machine Analysis Results  for the Period  Between January 2021 and  January 2022: Statistics

 

NASDAQ, DJI, SP500RUSSELL SVM Weights 01 2022

 Figure 6 - b:  Stock Index Dynamics and Statistics - AroniSmart Support Vector Machine Analysis Results  for the Period  Between October 2020 and  October 2021: Weights - DJI example.

AroniSmartLytics™ Neural Network Analysis confirms Time Series Support Vector Machine results:  NASDAQ and DJI  momentum negatively impacted in late Q1 2021 - early Q2 2021, late Q3 2021 and   late Q4 2021 into January 2022, generally aligned with the momentum of most of other stock market indices.

AroniSmart™ team analyzed NASDAQ's performance dynamics using Neural Network Analysis  capabilities of AroniSmartIntelligence™ and uncovered insights confirming the performance dynamics of NASDAQ vs other market indices from  January 2021 to January 2022. See below:

Market Stock Indices Neural Network Analysis 01 2022

 Figure 6-a:  DJI Stock Index Dynamics - AroniSmart Neural Network Analysis Results  for the Period  Between January 2021 and  January 2022

Market Stock Indices Neural Network Analysis - Model 01 2022

 Figure 6-b:  DJI Stock Index Dynamics - AroniSmart Neural Network Analysis Results - Model Setup and Network  for the Period  Between January 2021 and  January 2022

Market Stock Indices Neural Network Analysis - Weight 01 2022

 Figure 6-c:  DJI Stock Index Dynamics - AroniSmart Neural Network Analysis Results - Weights  for the Period  Between October 2020 and  October 2021

More detailed analyses can be conducted using AroniSmartIntelligence™ Big Data, Machine Learning, Time Series, Neural Network and Sentiment Analysis capabilities and AroniSmartInvest™.

For  more on AroniSmartIntelligence and AroniSmartInvest capabilities, visit AroniSoft web site by clicking here. AroniSmartInvest™ and AroniSmartIntelligence ™ are available on Apple's App Store.

©2022 AroniSoft LLC


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