Financial Innovation

Table 6 Accuracy values A_LSTM for the LSTM classification and differences A_LSTM − A_RC for A_RC = 0.5001 of a random choice classifier with probability of class 1 p(1) = 0.49

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

No	Stock	A_LSTM	A_LSTM− A_RC
1	AMAT	0.59	0.09
2	BSX	0.57	0.07
3	ENPH	0.80	0.31
4	ETSY	0.64	0.14
5	LNT	0.48	− 0.02
⋮	⋮	⋮	⋮
493	SIVB	0.59	0.09
494	ZTS	0.50	− 0.0001
Mean value		0.52	0.02
Pooled value		0.52	0.02

The LSTM mean accuracy value A_LSTM is larger than that of the random choice classifier (p = 8.46e⁻¹⁷)

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