NIGHTSCOPE

Experimental Stock Pricing Model

Input Ticker Symbol:

September 6, 1996

Commentary. This is the second-and-a-half installment of the NightScope model. The underlying fundamental data and prices used to fit the model are from July 31, 1996. The reported premiums and discounts are relative to prices as of August 21, 1996. I am currently porting the code over to a faster machine running FreeBSD. This interim report, is to catch up with more recent prices while I complete the next model.

Premiums and Discounts. The model fitting process makes average premium or discount very close to 0%. An important characteristic of the model is the distribution of these premiums or discounts (technically the model views these as errors or components of price it can't explain with the fundamental variables.) By examining the percentile of a company's premium or discount, one can find out how many stocks in the database had comparable, or higher, levels of premium.

Statisticians Note. Using the parameters from the July 31, 1996 data, the model has about a 63.9% R-Square (in continuously compounded premium/discount space). I will make it a practice to report the model's fit each month using the the same universe of stocks and the same basic architecture of model (e.g. same inputs and number of hidden neurons, etc.)

FREEBSD!

Disclaimer

This is an experimental model. As such, the prices available on this site are only my opinion and are not official in any way. There are no warranties, implied or otherwise, as to the quality, suitability, or accuracy, of these results. This is not a quote service and I am not an investment advisor, counselor, or mentor.

Use this information at your own risk.