Research Article
Deep Learning for Price Movement Prediction Using Convolutional Neural Network and Long Short-Term Memory
Table 8
Average macroaverage F-measure of different models.
| Market model | PCA + ANN | SVM | CNN-cor | CNNpred | CNN + LSTM | CNN3D-DR + LSTM |
| S&P 500 | 0.4469 | 0.4963 | 0.3928 | 0.4837 | 0.5165 | 0.5864 | DJIA | 0.4150 | 0.4595 | 0.3900 | 0.4979 | 0.5036 | 0.6215 | NASDAQ | 0.4199 | 0.4284 | 0.3796 | 0.4931 | 0.5081 | 0.5860 | NYSE | 0.4070 | 0.4299 | 0.3906 | 0.4751 | 0.5007 | 0.5910 | RUSSELL | 0.4525 | 0.5102 | 0.3924 | 0.4846 | 0.5241 | 0.5987 | Average | 0.4283 | 0.4649 | 0.3891 | 0.4869 | 0.5106 | 0.5967 |
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