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Table 3 Errors of prediction models

From: Characterizing financial markets from the event driven perspective

Model

W

News

Finance

News + Finance

  

MAE

MSE

MAE

MSE

MAE

MSE

Decision tree

cent

0.775

35.091

0.717

3.375

0.687

3.267

 

clst

0.768

35.076

0.717

3.375

0.719

3.322

 

cos

0.809

35.187

0.717

3.375

0.666

3.280

 

count

0.710

34.853

0.717

3.375

0.727

3.402

Gaussian process

cent

0.587

34.314

0.570

2.699

0.566

2.689

 

clst

0.587

34.311

0.570

2.699

0.571

2.703

 

cos

0.586

34.309

0.570

2.699

0.567

2.706

 

count

0.589

34.312

0.570

2.699

0.565

2.730

KernelRidge

cent

2.347

50.602

0.611

3.084

1.243

7.191

 

clst

1.981

42.257

0.611

3.084

2.478

18.887

 

cos

2.743

57.785

0.611

3.084

1.242

11.319

 

count

1.227

35.929

0.611

3.084

2.709

32.986

Linear regression

cent

2.644

55.001

0.612

3.096

3.244

40.500

 

clst

2.932

62.219

0.612

3.096

4.134

57.534

 

cos

2.969

62.224

0.612

3.096

3.391

62.338

 

count

2.967

65.251

0.612

3.096

3.291

73.918

Nearest neighbors

cent

0.559

34.293

0.661

2.844

0.618

2.694

 

clst

0.579

34.403

0.661

2.844

0.642

2.796

 

cos

0.542

34.375

0.661

2.844

0.617

2.779

 

count

0.562

34.379

0.661

2.844

0.667

2.797

Neural net

cent

0.801

35.289

1.513

21.822

0.700

3.587

 

clst

0.922

36.004

1.491

20.703

0.743

3.726

 

cos

0.730

34.990

1.493

20.175

0.755

4.007

 

count

1.150

36.867

1.482

20.203

0.943

5.766

Random forest

cent

0.699

34.401

0.660

2.880

0.627

2.804

 

clst

0.697

34.397

0.660

2.880

0.638

2.695

 

cos

0.697

34.416

0.660

2.880

0.635

2.904

 

count

0.662

34.325

0.660

2.880

0.662

2.861

  1. This table presents mean absolute error (MAE) and mean squared error (MSE) of various models on variations of two input data sets, historical financial time series (Finance) and network obtained from the news events (News). Last column represents errors when both data sets were used for training of the models and bold numbers show the best performing model on each data set