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Financial Innovation

Table 4 The values of p(1) for each year, p(0) = 1 − p(1)

From: Forecasting relative returns for S&P 500 stocks using machine learning

 

Year 2019

Year 2020

Year 2021

2019–2021

p(1)

0.43

0.57

0.48

0.49

  1. We use the average value of the observed proportion of class 1 across all stocks as an approximation to the probability p(1) of class 1
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