Research Article
Financial Futures Prediction Using Fuzzy Rough Set and Synthetic Minority Oversampling Technique
Table 9
The accumulated return results of the benchmarks and the proposed method SMOTE-FRS.
| | Method | SMOTE-SVM | SMOTE-ANN | SMOTE-RF | SMOTE-XGBoost | SMOTE-MLP | FRS-no-SMOTE | BAH | SAH | SMOTE-FRS |
| | Period 1 | 3.28% | ﹣0.35% | ﹣2.08% | ﹣11.23% | 0.15% | ﹣1.05% | ﹣2.62% | 2.42% | 6.49% | | Period 2 | ﹣2.55% | ﹣3.40% | ﹣6.38% | ﹣1.28% | ﹣14.46% | 0.18% | 7.98% | ﹣8.18% | 5.90% | | Period 3 | ﹣11.63% | 4.25% | ﹣13.16% | 0.39% | 2.31% | ﹣4.18% | 3.00% | ﹣3.20% | 6.25% | | Period 4 | ﹣1.79% | ﹣7.44% | ﹣9.67% | ﹣4.64% | ﹣3.91% | ﹣0.53% | 4.55% | ﹣4.75% | 6.80% | | Average | ﹣3.17% | ﹣1.74% | ﹣7.82% | ﹣4.19% | ﹣3.98% | ﹣1.40% | 3.23% | ﹣3.43% | 6.36% |
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