Neural network forecasting with denoised equity prices
| Stock universe | Feature selection methods | No. of hidden layers | Accuracy (%) | Precision (%) | Recall (%) | F-score (%) |
|---|---|---|---|---|---|---|
| Conventional equities | SeFS | 3 | 71.91 | 71.92 | 66.09 | 68.88 |
| 5 | 72.01 | 72.09 | 66.10 | 68.96 | ||
| 7 | 71.83 | 71.57 | 66.56 | 68.97 | ||
| LASSO | 3 | 71.91 | 71.92 | 66.09 | 68.88 | |
| 5 | 72.01 | 72.09 | 66.10 | 68.96 | ||
| 7 | 71.83 | 71.57 | 66.56 | 68.97 | ||
| Islamic equities | SeFS | 3 | 72.61 | 73.37 | 66.48 | 69.76 |
| 5 | 72.62 | 73.30 | 66.64 | 69.81 | ||
| 7 | 72.41 | 73.45 | 65.68 | 69.35 | ||
| LASSO | 3 | 72.55 | 73.06 | 66.53 | 69.65 | |
| 5 | 72.63 | 72.87 | 67.17 | 69.91 | ||
| 7 | 72.49 | 72.39 | 67.68 | 69.95 |
| Stock universe | Feature selection methods | No. of hidden layers | Accuracy (%) | Precision (%) | Recall (%) | F-score (%) |
|---|---|---|---|---|---|---|
| Conventional equities | SeFS | 3 | 71.91 | 71.92 | 66.09 | 68.88 |
| 5 | 72.01 | 72.09 | 66.10 | 68.96 | ||
| 7 | 71.83 | 71.57 | 66.56 | 68.97 | ||
| 3 | 71.91 | 71.92 | 66.09 | 68.88 | ||
| 5 | 72.01 | 72.09 | 66.10 | 68.96 | ||
| 7 | 71.83 | 71.57 | 66.56 | 68.97 | ||
| Islamic equities | SeFS | 3 | 72.61 | 73.37 | 66.48 | 69.76 |
| 5 | 72.62 | 73.30 | 66.64 | 69.81 | ||
| 7 | 72.41 | 73.45 | 65.68 | 69.35 | ||
| 3 | 72.55 | 73.06 | 66.53 | 69.65 | ||
| 5 | 72.63 | 72.87 | 67.17 | 69.91 | ||
| 7 | 72.49 | 72.39 | 67.68 | 69.95 |
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