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Table 7 Comparison of models on market move prediction task

From: Characterizing financial markets from the event driven perspective

Model

Pred. log likelihood

 

Market data

Market data with news

Standard Hawkes

1.32

1.25

Network Hawkes (Erdős-Renyi)

1.28

1.20

Network Hawkes (latent distance)

1.30

1.18

  1. This table represents errors of three models relative to a homogeneous Poisson process on a task of predicting big market moves. The two columns represent comparison of relative error when news data was included into the training and when it was not. Bold values represent which model had the largest improvement in error.
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