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Fig. 4 | Applied Network Science

Fig. 4

From: Financial market predictability with tensor decomposition and links forecast

Fig. 4

Cumulative returns obtained at the end of the time sample for different values of the parameters \( {\mathrm{n}}_1 \) and \( {\mathrm{n}}_2 \). Panel a represents the end-of-sample cumulative performance obtained in forecasting the dynamic of the 388 stocks of the first dataset (S&P500) . Panel b shows the end-of-sample cumulative performance obtained by the signal-optimized portfolio strategy in forecasting the dynamic of the 59 stocks of the second dataset (FTSE MIB). Panel c encompasses the cumulative returns obtained by the signal-optimized portfolio strategy in forecasting the dynamic of the 156 stocks of the third dataset (Euronext Paris stock exchange). The cumulative returns are positive for all parameter configurations suggesting some robustness of the proposed methodology against different setting of the parameters

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