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 7 Median Recall (R), Precision (P) and F1 score (F1) of ENet 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 ENet			Ensemble ENet			in-window ENet			FPCA ENet
	(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	0.402	0.335	0.369	0.542	0.541	0.542	0.350	0.334	0.344	0.434	0.344	0.381
MSFT	0.722	0.720	0.721	0.722	0.720	0.721	0.722	0.719	0.721	0.715	0.710	0.713
MMM	0.450	0.444	0.447	0.456	0.451	0.453	0.449	0.444	0.446	0.410	0.408	0.409
AXP	0.561	0.559	0.560	0.569	0.568	0.569	0.562	0.558	0.559	0.555	0.553	0.554
BA	0.464	0.459	0.461	0.468	0.462	0.466	0.464	0.459	0.461	0.418	0.414	0.416
CAT	0.450	0.449	0.449	0.455	0.454	0.454	0.452	0.450	0.450	0.433	0.432	0.433
CVX	0.492	0.489	0.488	0.516	0.517	0.516	0.487	0.473	0.473	0.386	0.339	0.361
CSCO	0.750	0.740	0.745	0.752	0.742	0.747	0.749	0.739	0.745	0.747	0.736	0.742
KO	0.675	0.672	0.674	0.677	0.675	0.676	0.675	0.673	0.674	0.661	0.659	0.660
DOW	0.352	0.334	0.344	0.368	0.339	0.354	0.347	0.334	0.344	0.348	0.334	0.343
XOM	0.644	0.644	0.644	0.649	0.647	0.648	0.645	0.645	0.645	0.623	0.626	0.625
WBA	0.521	0.518	0.519	0.531	0.528	0.529	0.521	0.518	0.520	0.518	0.515	0.517
GS	0.448	0.440	0.443	0.453	0.444	0.448	0.448	0.440	0.445	0.387	0.385	0.387
HD	0.459	0.455	0.458	0.464	0.460	0.462	0.458	0.455	0.457	0.433	0.431	0.432
INTC	0.730	0.723	0.726	0.733	0.724	0.729	0.730	0.724	0.727	0.729	0.719	0.724
IBM	0.439	0.436	0.437	0.446	0.444	0.445	0.439	0.436	0.437	0.422	0.418	0.420
JNJ	0.500	0.500	0.500	0.507	0.506	0.507	0.501	0.502	0.502	0.493	0.493	0.493
JPM	0.631	0.628	0.630	0.634	0.633	0.633	0.630	0.629	0.629	0.614	0.614	0.614
MCD	0.445	0.443	0.444	0.453	0.450	0.452	0.446	0.444	0.445	0.424	0.421	0.421
MRK	0.638	0.632	0.635	0.642	0.636	0.640	0.640	0.633	0.637	0.628	0.622	0.625
NKE	0.640	0.636	0.638	0.644	0.641	0.642	0.639	0.636	0.638	0.623	0.619	0.621
PFE	0.718	0.716	0.717	0.720	0.719	0.719	0.719	0.718	0.719	0.695	0.695	0.695
PG	0.317	0.334	0.330	0.581	0.476	0.524	0.314	0.335	0.324	0.294	0.334	0.314
TRV	0.438	0.438	0.437	0.449	0.449	0.449	0.440	0.438	0.438	0.418	0.416	0.416
UNH	0.439	0.437	0.439	0.448	0.448	0.448	0.440	0.440	0.440	0.411	0.409	0.410
UTX	0.452	0.450	0.451	0.464	0.462	0.463	0.454	0.451	0.452	0.443	0.438	0.440
VZ	0.693	0.691	0.692	0.697	0.695	0.696	0.694	0.691	0.693	0.657	0.657	0.657
V	0.579	0.578	0.578	0.582	0.580	0.581	0.577	0.576	0.576	0.568	0.568	0.569
WMT	0.604	0.602	0.603	0.608	0.605	0.606	0.605	0.603	0.604	0.595	0.592	0.593
DIS	0.540	0.540	0.539	0.543	0.541	0.542	0.541	0.540	0.541	0.533	0.533	0.533

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