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