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Table 8 Simulation results with ANN/DNN classifiers using transformed data with PCs = 31

From: Predicting the daily return direction of the stock market using hybrid machine learning algorithms

# of hidden layers Mean of daily return Std. of daily return Sharpe ratio
10 8.0339E-04 0.0076 0.1064
12 7.4933E-04 0.0071 0.1057
14 9.3477E-04 0.0072 0.1292
16 9.3504E-04 0.0072 0.1294
18 9.6857E-04 0.0071 0.1359
20 8.0664E-04 0.0072 0.1115
22 9.6978E-04 0.0077 0.1267
24 5.7661E-04 0.0069 0.0836
26 7.7980E-04 0.0076 0.1031
28 8.5625E-04 0.0078 0.1099
30 8.4888E-04 0.0075 0.1127
35 8.5513E-04 0.0078 0.1093
40 8.2210E-04 0.0076 0.1081
45 7.8532E-04 0.0075 0.1042
50 7.1064E-04 0.0077 0.0922
100 8.2574E-04 0.0073 0.1126
500 8.9993E-04 0.0077 0.1169
1000 7.9599E-04 0.0076 0.1050