Ablation analysis and simple benchmark comparison on the test horizon
| Model | Specification | AUC | Brier |
|---|---|---|---|
| LR0 | Logistic regression | 0.8070 | 0.1017 |
| LR1 | Logistic regression (no LPPL) | 0.6434 | 0.1700 |
| M1 | SOHMM only | 0.8579 | 0.1659 |
| M2 | Hawkes only | 0.6879 | 0.1846 |
| M3 | M1 + M2 signals | 0.9129 | 0.1257 |
| M4 | M3 + momentum terms | 0.9134 | 0.1165 |
| M5 | M4 + interaction term | 0.9167 | 0.1266 |
| M6 | Full IMUGI | 0.9055 | 0.1175 |
| Model | Specification | AUC | Brier |
|---|---|---|---|
| LR0 | Logistic regression | 0.8070 | |
| LR1 | Logistic regression (no LPPL) | 0.6434 | 0.1700 |
| M1 | SOHMM only | 0.8579 | 0.1659 |
| M2 | Hawkes only | 0.6879 | 0.1846 |
| M3 | M1 + M2 signals | 0.9129 | 0.1257 |
| M4 | M3 + momentum terms | 0.9134 | 0.1165 |
| M5 | M4 + interaction term | 0.1266 | |
| M6 | Full IMUGI | 0.9055 | 0.1175 |
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