Stock Market Forecast: Does the Stock Market Feature Memory?

This article was written by:

Sergey Okun  Sergey Okun – Financial Analyst at I Know First, Ph.D. in Economics.

Alisa IartsevaAlisa Iartseva – Data analyst at I Know First.


  • The stock market has a long-term memory that allows us to make reliable predictions of the future based on previous behaviors and tendencies.
  • The S&P 500 has the highest Hurst exponent compared with the DAX 30, the CAC 40, and the FTSE 100.
  • The Hurst exponent rises with the extension of the step period length which decreases noise in a time series and increases predictability.

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World Indices Forecast: AI Beats the S&P500 by 41.85%


  • The highest average return is 57.52% for the Top 5 Signals on a 1-year time horizon
  • The most impressive out-performance against the S&P 500 index is from the Top 5 signal group in the 1-year horizon with 3.67 times higher return
  • Predictions reach up to 88% hit ratio regardless of macroeconomic conditions
  • Every signal group has hit ratios above 51% for all time horizons
  • I Know First provides an investment strategy for institutional investors that generated a return of 142.57% and exceeded the S&P 500 return by 118.93% for the analyzed period

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DJI/RUT Stock Forecast: Large-Cap Stocks VS Small-Cap Stocks in the Period of Macroeconomic Instability

Sergey Okun  This "DJI/RUT Stock Forecast: Large-Cap Stocks VS Small-Cap Stocks in the Period of Macroeconomic Instability" article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.


  • The DJI/RUT spread of 16.64 is lower than the historical level of 17.19.
  • Economic uncertainty increases the attractiveness of large-cap stocks due to their financial sustainability. 
  • The I Know First AI algorithm provides a higher signal forecast for DJI than for RUT in the 1-year time horizon.

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The World Indices Package Forecast

Market analysis by indices allows us to determine the forces that lead the financial market and identify the most attractive investment areas at various stages of the economic cycle. The algorithm of I Know First tracks and provides forecasting for a broad range of world indices to help our clients construct an effective portfolio based on their preferences and investment periods from 3-day to 1-year horizons. Currently, we have updated the Indices forecast package which covers now 384 world indices.

World Indices Predictions Based on Machine Learning: Up to 14.50% Return in 1 Month

Package Name: Indices
Recommended Positions: Long

Forecast Length: 1 month (9/25/15 – 10/25/15)

I Know First Average: 10.48% 

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world indices predictions

Indices Forecast: An Average of 13.81% in 1 Month

Package Name: Indices
Forecast Length: 1 Month (7/24/15 – 8/24/15)
I Know First Average: 13.81%

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Indices Forecast

Stock Market Indices: Up to 21.59% in 3 Month

Stock Market Indices

This algorithmic forecast is part of the "World Indices" package, as one of I Know First's quantitative investment solutions. We determine our world indices picks by screening our database daily using our advanced algorithm. The full World Indexes Package includes a daily forecast for a total of 20 indices with bullish and bearish signals:

  • top ten world indices to long
  • top ten world indices to short

Recommended Positions: Long
24 07 2013 10 48 51 Best Investments Based on Algorithms: 8.19% Gain in 14 DaysForecast Length: 3 Months (12/30/14 - 03/30/15)
I Know First Average: 9.09%

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Stock Market Indices