From: Survey of feature selection and extraction techniques for stock market prediction
Study | Prediction target | Performance | Evaluation metrics |
---|---|---|---|
1. Haq et al. (2021) | Direction of daily stock prices | 59.44 0.1030 | Accuracy Matthews correlation coefficient (MCC) |
2. Labiad et al. (2016) | Direction of 10 min ahead | 90% | Accuracy |
3. Rana et al. (2019) | Daily stock price | 0.0151 | RMSE |
4. Aloraini (2015) | Daily open prices | 0.15–0.63 | predictive accuracy |
5. Kumar et al. (2016) | Direction of one-day ahead | 44.22–62.72 | Accuracy |
44.64–100.00 | Precision | ||
1.74–96.32 | Recall | ||
6. Alsubaie et al. (2019) | Direction of the stock returns | 0.05–80.79 | Accuracy, |
1.22–7.34 | Cost of misclassification, | ||
0.00–0.16 | Investment return percentage, | ||
0.49–1 | Hit rate, | ||
1.04–1.93 | Sharpe ratio, | ||
0.03–37.63 | Number of bets | ||
7. Li et al. (2022) | One-day ahead close price value | 0.006 | MSE, |
0.054 | MAE, | ||
1.092 | MAPE | ||
0.982 | R2 | ||
0.981 | Adjusted R2 | ||
8. Nabi et al. (2019) | Direction of monthly price | 100% | Accuracy |
9. Yuan et al. (2020) | Direction of excess returns | 52% | Accuracy, AUC |
53% | |||
10. Botunac et al. (2020) | Direction of close price | 0.01606 | MAE, MSE |
0.00046 | |||
11. Shen et al. (2020) | Direction of stock price | 0.93 | Accuracy, Precision, Recall |
0.96 | |||
0.96 | |||
12. Chen et al. (2017) | Direction of stock indices price | 0.646–1.06 | MAPE, RMSE |
0.0143–0.0239 | |||
13. Sun et al. (2019) | Direction of Intraday market | 1.404–1.443 | Random cross-validation, Nearest-k cross-validation |
1.385–1.419 | |||
14. Singh et al. (2021) | Direction of 10 days ahead | 83.62% | Accuracy, |
85% | Precision, | ||
100% | Recall | ||
15. Ampomah et al. (2020) | Direction of stock price | 82% | Mean accuracy, |
85% | Precision, | ||
79% | Recall, | ||
82% | F1 score, | ||
84% | Specificity, | ||
90% | ROC curve | ||
16. Siddique et al. (2019) | Next day close price | 2.76 | MAE, |
4.3 | RMSE, | ||
0.63 | MAPE | ||
17. Iacomin (2015) | Direction of stock price | 0.72 | Accuracy |
18. Cai et al. (2012) | Direction of one-day ahead close price | 0.002 90.31 | NMSE, Direction accuracy |
19. Das et al. (2019) | Stock prices of 1,3,5,7,15,30 days in ad- vance | 143.1104 0.308 121.8011 0.0002543 0.0080 | RMSE, MAPE, MAE, Theil’s U, ARV |
20. Qolipour et al. (2021) | Direction of stock return | 0.947–1.0 0.993–1.0 0.880–1.0 0.993–1.0 | Accuracy, Recall, Precision, AUC-ROC |
21. Ampomah et al. (2021) | Direction of stock price | 0.7188–0.8815 0.7014–0.8843 0.7763–0.8921 0.7916–0.9563 | Accuracy, F1 score, Specificity, AUC |
22. Chen et al. (2020) | Buy and sell signals | 38.78 73.80%–98.84% | Accuracy, profit |
23. Gunduz et al. (2017) | Daily returns | 0.59 0.6 | Accuracy F1 score |
24. Kumar et al. (2021b) | 1-day ahead close price | 1.40E-03–9.34E-04 4.41E-05–3.07E-04 1.00E-04–7.44E-04 1.00E-04–7.44E-04 | RMSE, MAPE, Theil’s inequality coefficient, ARV |
25. Tang et al. (2018) | Next day return | 79.60% | Hit rate |
26. Barak et al. (2017) | Return | 83.6% | Accuracy |
27. Farahani et al. (2021) | Close price | 13.499 | MAE |
28. Chong et al. (2017) | Direction of return | 0.8224 0.9650 0.5931 0.0182 | RMSE, NMSE, MAE, MI |
29. Bhanja et al. (2022) | Direction of return | over 86% | Accuracy |
30. Xie et al. (2021) | Direction prediction | 53.3%–57.4% | Accuracy |
31. Dami et al. (2021) | Returns prediction | 0.022–0.039 | MAE |
32. Gunduz (2021) | Hourly direction | 0.649 0.562 | Accuracy F1 score |