Stock Market Forecasting Using Restricted Gene Expression Programming

Table 5

Comparison results of six methods for a-month-ahead prediction.

Stock index	Method	RMSE	MAP	ARV	MAPE	R^2	VAF (%)
DJI	Our method	0.005413	6.9911	0.001139	0.73002	0.99886	99.992
	DRNN	0.007741	2.1368	0.002616	1.4501	0.99738	99.983
	FNT	0.012504	2.4418	0.007481	1.9062	0.99252	99.956
	RBFNN	0.013379	3.9361	0.007573	2.5368	0.99243	99.950
	BPNN	0.048029	10.1	0.13547	7.3864	0.86453	99.356
	ARIMA	0.052385	93.126	0.11662	7.3731	0.88338	99.234
HSI	Our method	0.008645	6.95	0.010944	0.96689	0.98906	99.984
	DRNN	0.011502	2.9568	0.027542	1.489	0.97246	99.972
	FNT	0.014388	4.3212	0.046465	1.7348	0.95353	99.957
	RBFNN	0.044134	35.289	0.41237	5.1249	0.58763	99.592
	BPNN	0.045971	55.247	0.22748	5.3369	0.77252	99.557
	ARIMA	0.061245	53.144	0.54399	7.0813	0.45601	99.214
NASI	Our method	0.0057	7.9168	8.37E-04	0.83204	0.99916	99.990
	DRNN	0.031166	6.3901	0.031964	5.3044	0.96804	99.706
	FNT	0.031894	9.3407	0.037088	3.7881	0.96291	99.692
	RBFNN	0.035863	11.232	0.04911	3.9605	0.95089	99.610
	BPNN	0.047487	9.9709	0.083254	7.5185	0.91675	99.317
	ARIMA	0.098081	91.02	0.3589	12.177	0.6411	97.086
SSEI	Our method	0.003073	1.669	8.14E-04	0.61418	0.99919	99.995
	DRNN	0.008104	9.957	0.005335	1.1292	0.99467	99.962
	FNT	0.033005	34.807	0.070553	5.5303	0.92945	99.372
	RBFNN	0.04973	76.098	0.12737	8.4546	0.87263	98.574
	BPNN	0.053661	111.48	0.14219	9.4878	0.85781	98.340
	ARIMA	0.071626	87.753	0.2008	13.551	0.7992	97.043
SZSEI	Our method	0.017003	16.007	0.010063	2.4916	0.98994	99.852
	DRNN	0.045067	19.483	0.13092	7.3945	0.88439	98.959
	FNT	0.06323	25.729	0.2267	11.628	0.7733	97.950
	RBFNN	0.071342	35.295	0.32104	11.772	0.67896	97.390
	BPNN	0.082818	37.58	0.51956	16.103	0.48044	96.483
	ARIMA	0.084487	117.1	0.32894	12.521	0.67106	96.340