The Quant Report: Stock Price Forecasts for May 3-June 30, 2016

In this monthly report we use advanced time series analysis techniques to forecast the future prices of thousands of different stocks listed on many different exchanges, organized by sectors, for the period given in the title of the book. We use multidimensional vector models with multiple time series, and produce forecasts that involve fitting ARMA(1,1) models to multidimensional historical data and computing future prices from that model. Lastly, we compute the percent change in each stock price from the first day to the last day of the simulation. The results are presented as charts. Each stock’s entry on the chart has the format exchange:ticker symbol:forecasted % change. The data to the left of the vertical red line is actual historical price data, while that to the right of the line is forecasted price data. The date (in red) labeling the line is the simulation date.