Novel modelling strategies for high-frequency stock trading data

Zhang, Xuekui; Huang, Yuying; Xu, Ke; Xing, Li

doi:10.1186/s40854-022-00431-9

Financial Innovation

Table 6 Median Recall (R), Precision (P) and F1 score (F1) of SVM model for the Dow Jones 30 component stocks among 100 independent experiments under four model setups

From: Novel modelling strategies for high-frequency stock trading data

	Baseline SVM			Ensemble SVM			in-window SVM			FPCA SVM
	(Strategy I, III)			(Strategy I, II, III)			(Strategy I only)			(Strategy III only)
	P	R	F1	P	R	F1	P	R	F1	P	R	F1
AAPL	0.572	0.563	0.567	0.586	0.577	0.581	0.572	0.563	0.567	0.573	0.553	0.562
MSFT	0.730	0.728	0.729	0.734	0.732	0.733	0.731	0.728	0.729	0.725	0.718	0.722
MMM	0.457	0.448	0.451	0.467	0.462	0.465	0.457	0.448	0.452	0.422	0.414	0.419
AXP	0.550	0.499	0.524	0.595	0.580	0.587	0.544	0.504	0.520	0.494	0.489	0.487
BA	0.471	0.470	0.471	0.479	0.481	0.480	0.472	0.471	0.472	0.433	0.410	0.420
CAT	0.465	0.466	0.466	0.475	0.478	0.477	0.465	0.467	0.466	0.438	0.433	0.436
CVX	0.522	0.518	0.520	0.533	0.531	0.532	0.524	0.518	0.521	0.518	0.501	0.509
CSCO	0.754	0.745	0.749	0.762	0.755	0.759	0.755	0.746	0.751	0.749	0.733	0.741
KO	0.642	0.629	0.629	0.662	0.663	0.663	0.640	0.621	0.628	0.655	0.653	0.654
DOW	0.504	0.486	0.494	0.584	0.589	0.586	0.494	0.484	0.491	0.488	0.478	0.480
XOM	0.657	0.654	0.656	0.672	0.672	0.672	0.652	0.648	0.650	0.632	0.627	0.630
WBA	0.540	0.531	0.536	0.549	0.542	0.546	0.541	0.531	0.536	0.533	0.518	0.525
GS	0.448	0.444	0.446	0.464	0.459	0.461	0.451	0.445	0.448	0.396	0.387	0.391
HD	0.465	0.458	0.462	0.477	0.474	0.475	0.466	0.462	0.464	0.433	0.429	0.431
INTC	0.738	0.727	0.732	0.744	0.733	0.739	0.738	0.727	0.732	0.732	0.716	0.724
IBM	0.451	0.450	0.451	0.461	0.463	0.462	0.452	0.451	0.452	0.424	0.417	0.421
JNJ	0.511	0.512	0.512	0.524	0.526	0.525	0.513	0.513	0.513	0.492	0.488	0.489
JPM	0.655	0.654	0.655	0.665	0.665	0.665	0.655	0.653	0.654	0.649	0.644	0.646
MCD	0.453	0.454	0.454	0.467	0.470	0.468	0.454	0.456	0.455	0.435	0.425	0.430
MRK	0.439	0.381	0.406	0.484	0.385	0.429	0.425	0.365	0.397	0.436	0.363	0.398
NKE	0.662	0.657	0.660	0.675	0.671	0.672	0.663	0.658	0.661	0.652	0.642	0.646
PFE	0.657	0.647	0.653	0.702	0.695	0.699	0.641	0.613	0.628	0.644	0.629	0.637
PG	0.502	0.495	0.492	0.499	0.512	0.506	0.492	0.490	0.488	0.480	0.456	0.467
TRV	0.437	0.434	0.435	0.450	0.451	0.451	0.439	0.435	0.438	0.417	0.409	0.412
UNH	0.448	0.446	0.447	0.457	0.459	0.458	0.447	0.447	0.447	0.420	0.403	0.412
UTX	0.471	0.469	0.470	0.483	0.482	0.482	0.473	0.470	0.471	0.450	0.439	0.444
VZ	0.703	0.701	0.702	0.716	0.717	0.716	0.703	0.700	0.701	0.692	0.688	0.690
V	0.603	0.595	0.599	0.618	0.611	0.614	0.603	0.593	0.597	0.591	0.576	0.583
WMT	0.632	0.625	0.629	0.643	0.637	0.640	0.635	0.626	0.631	0.623	0.613	0.618
DIS	0.564	0.553	0.557	0.575	0.565	0.570	0.564	0.552	0.558	0.561	0.540	0.550

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