Deep Learning for Price Movement Prediction Using Convolutional Neural Network and Long Short-Term Memory

Table 9

Best macroaverage F-measure of different models.

Market model	PCA + ANN	SVM	CNN-cor	CNNpred	CNN + LSTM	CNN3D-DR + LSTM
S&P 500	0.5627	0.5208	0.5723	0.5532	0.5345	0.6061
DJIA	0.5518	0.5594	0.5253	0.5612	0.5280	0.6418
NASDAQ	0.5487	0.4776	0.5498	0.5576	0.5423	0.6005
NYSE	0.5251	0.5012	0.5376	0.5592	0.5214	0.6053
RUSSELL	0.5665	0.5115	0.5602	0.5787	0.5476	0.6181
Average	0.5510	0.5141	0.5491	0.5620	0.5348	0.6144