From: An interval constraint-based trading strategy with social sentiment for the stock market
Model | Parameters | Determination approach | Values |
---|---|---|---|
SARIMA | Seasonal period | Preset | 5 |
AR | Partial autocorrelation function | [0,5] | |
I | Augmented dickeye-fuller test | 0 or 1 | |
Ma | Autocorrelation function | [0,5] | |
SVR | Regularization coefficient c | Grid search | [1,300] |
Kernel parameter g | Grid search | [\(2^{-5}\), \(2^{5}\)] | |
ELM& BPNN | Input dimension | Preset | – |
Number of hidden layer nodes | Trial and error approach | 24 | |
Output dimension | Preset | 1 | |
Maximum of epochs | Preset | 100 | |
Number of parameters (BPNN) | – | 361 | |
LSTM | Input dimension | Preset | – |
Number of hidden layer nodes | Trial and error approach | 24 | |
Output dimension | Preset | 1 | |
Maximum of epochs | Preset | 100 | |
Number of parameters | – | 3673 | |
TCN | Input dimension | Preset | – |
Nb_filters | Trial and error approach | 32 | |
Kernel_size | Trial and error approach | 2 | |
Output dimension | Preset | 1 | |
Maximum of epochs | Preset | 100 | |
Number of parameters | – | 24225 |