Neural network forecasting
| Stock universe | Feature selection methods | No. of hidden layers | Accuracy (%) | Precision (%) | Recall (%) | F-score (%) |
|---|---|---|---|---|---|---|
| Conventional equities | SeFS | 3 | 84.70 | 82.98 | 75.29 | 78.95 |
| 5 | 84.77 | 82.73 | 75.88 | 79.15 | ||
| 7 | 84.77 | 82.54 | 76.14 | 79.21 | ||
| LASSO | 3 | 84.96 | 83.95 | 74.79 | 79.11 | |
| 5 | 84.76 | 83.58 | 74.60 | 78.84 | ||
| 7 | 84.52 | 82.79 | 74.90 | 78.65 | ||
| Islamic equities | SeFS | 3 | 85.20 | 84.49 | 78.13 | 81.19 |
| 5 | 85.15 | 84.75 | 77.65 | 81.04 | ||
| 7 | 84.90 | 84.38 | 77.38 | 80.73 | ||
| LASSO | 3 | 85.15 | 84.24 | 78.28 | 81.15 | |
| 5 | 85.13 | 84.39 | 78.01 | 81.08 | ||
| 7 | 84.93 | 83.98 | 77.97 | 80.86 |
| Stock universe | Feature selection methods | No. of hidden layers | Accuracy (%) | Precision (%) | Recall (%) | F-score (%) |
|---|---|---|---|---|---|---|
| Conventional equities | SeFS | 3 | 84.70 | 82.98 | 75.29 | 78.95 |
| 5 | 84.77 | 82.73 | 75.88 | 79.15 | ||
| 7 | 84.77 | 82.54 | 76.14 | 79.21 | ||
| 3 | 84.96 | 83.95 | 74.79 | 79.11 | ||
| 5 | 84.76 | 83.58 | 74.60 | 78.84 | ||
| 7 | 84.52 | 82.79 | 74.90 | 78.65 | ||
| Islamic equities | SeFS | 3 | 85.20 | 84.49 | 78.13 | 81.19 |
| 5 | 85.15 | 84.75 | 77.65 | 81.04 | ||
| 7 | 84.90 | 84.38 | 77.38 | 80.73 | ||
| 3 | 85.15 | 84.24 | 78.28 | 81.15 | ||
| 5 | 85.13 | 84.39 | 78.01 | 81.08 | ||
| 7 | 84.93 | 83.98 | 77.97 | 80.86 |
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