Table 8 Summary of fdr adjusted p-values of three modelling comparison groups with SVM model (left) and ENet model (right) as the base learner respectively
From: Novel modelling strategies for high-frequency stock trading data
| Â | F1 Improvement (SVM) | F1 Improvement (ENet) | ||||
|---|---|---|---|---|---|---|
Strategy I | Strategy II | Strategy III | Strategy I | Strategy II | Strategy III | |
AAPL | 1.11e-07 | 1.12e-17 | 1.00e+00 | 7.46e-01 | 2.31e-15 | 1.00e+00 |
MSFT | 5.35e-15 | 1.01e-13 | 2.52e-01 | 1.16e-16 | 7.14e-04 | 6.56e-01 |
MMM | 7.79e-18 | 1.69e-16 | 1.00e+00 | 2.55e-13 | 2.01e-08 | 1.00e+00 |
AXP | 7.51e-06 | 2.90e-17 | 1.00e+00 | 1.03e-03 | 9.29e-10 | 1.00e+00 |
BA | 7.79e-18 | 4.01e-16 | 1.00e+00 | 2.89e-17 | 1.44e-05 | 1.00e+00 |
CAT | 7.79e-18 | 4.01e-16 | 1.00e+00 | 1.31e-06 | 4.21e-06 | 1.00e+00 |
CVX | 2.74e-14 | 1.98e-17 | 1.00e+00 | 4.47e-02 | 1.70e-11 | 1.00e+00 |
CSCO | 3.67e-16 | 6.39e-17 | 1.00e+00 | 1.88e-08 | 2.16e-05 | 1.00e+00 |
KO | 9.98e-01 | 4.63e-17 | 2.89e-02 | 1.36e-16 | 8.07e-03 | 1.00e+00 |
DOW | 3.50e-03 | 1.12e-17 | 1.00e+00 | 9.39e-02 | 1.30e-01 | 1.00e+00 |
XOM | 2.14e-12 | 1.12e-17 | 3.16e-01 | 6.79e-13 | 5.73e-07 | 1.00e+00 |
WBA | 4.51e-14 | 1.41e-17 | 1.00e+00 | 2.38e-03 | 1.92e-08 | 1.00e+00 |
GS | 7.79e-18 | 1.41e-17 | 1.00e+00 | 2.89e-17 | 2.66e-09 | 1.00e+00 |
HD | 7.79e-18 | 8.15e-17 | 1.00e+00 | 9.56e-16 | 2.95e-07 | 1.00e+00 |
INTC | 6.06e-17 | 3.37e-16 | 1.00e+00 | 2.90e-05 | 3.67e-03 | 1.00e+00 |
IBM | 7.79e-18 | 2.27e-16 | 8.96e-01 | 2.35e-11 | 2.01e-11 | 1.00e+00 |
JNJ | 7.79e-18 | 2.90e-17 | 1.00e+00 | 3.94e-06 | 4.92e-10 | 1.00e+00 |
JPM | 5.70e-16 | 1.41e-17 | 1.00e+00 | 3.56e-15 | 1.21e-05 | 1.00e+00 |
MCD | 8.23e-18 | 1.41e-17 | 1.00e+00 | 6.21e-09 | 2.16e-06 | 1.00e+00 |
MRK | 5.78e-02 | 3.99e-03 | 4.27e-01 | 3.56e-15 | 4.04e-08 | 1.00e+00 |
NKE | 2.72e-17 | 1.12e-17 | 1.00e+00 | 1.23e-14 | 1.92e-08 | 1.00e+00 |
PFE | 8.72e-02 | 2.43e-16 | 3.83e-02 | 2.89e-17 | 8.66e-06 | 1.00e+00 |
PG | 3.62e-04 | 9.02e-04 | 1.00e+00 | 5.86e-01 | 2.01e-11 | 7.50e-01 |
TRV | 7.79e-18 | 2.90e-17 | 1.00e+00 | 2.58e-06 | 1.87e-13 | 1.00e+00 |
UNH | 7.79e-18 | 8.15e-17 | 1.00e+00 | 2.63e-15 | 1.70e-10 | 1.00e+00 |
UTX | 7.79e-18 | 1.59e-17 | 1.00e+00 | 3.10e-04 | 1.26e-09 | 1.00e+00 |
VZ | 2.93e-12 | 1.12e-17 | 2.89e-02 | 5.26e-17 | 1.03e-09 | 7.50e-01 |
V | 2.13e-11 | 1.41e-17 | 1.07e-01 | 9.11e-14 | 5.15e-04 | 6.56e-01 |
WMT | 3.49e-12 | 1.12e-17 | 1.00e+00 | 2.01e-14 | 8.66e-06 | 6.56e-01 |
DIS | 6.80e-15 | 1.32e-15 | 1.00e+00 | 1.20e-08 | 3.11e-03 | 1.00e+00 |