Financial Innovation

Table 8 Recall values R_LSTM for the LSTM classification and differences R_LSTM − R_RC for R_RC = 0.49 of a random choice classifier with probability of class 1 p(1) = 0.49

From: Forecasting relative returns for S&P 500 stocks using machine learning

No	Stock	R_LSTM	R_LSTM− R_RC
1	AMAT	0.66	0.17
2	BSX	0.63	0.14
3	ENPH	0.96	0.47
4	ETSY	0.83	0.34
5	LNT	0.48	− 0.01
⋮	⋮	⋮	⋮
493	SIVB	0.65	0.16
494	ZTS	0.59	0.1
Mean value		0.56	0.07
Pooled value		0.57	0.08

The LSTM mean recall value R_LSTM is larger than that of the random choice classifier (p = 1.29e⁻³¹)

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