Stock return forecasting on Stock return dataset 1.0 (test)
0.003Training Time (s)dPCA
Evaluation results
| Method | Links | |||
|---|---|---|---|---|
| dPCAAssumed factors (k, r)=(4,2), Selected nodes (s1, s2)=(4,3)2026.01 | 0.003 | 0.797 | 0.0021 | |
| dPCAAssumed factors (k, r)=(5,2), Selected nodes (s1, s2)=(5,3)2026.01 | 0.003 | 0.848 | 0.0007 | |
| dPCAAssumed factors (k, r)=(4,1), Selected nodes (s1, s2)=(4,5)2026.01 | 0.004 | 0.695 | 0.0037 | |
| dPCAAssumed factors (k, r)=(5,1), Selected nodes (s1, s2)=(5,5)2026.01 | 0.004 | 0.716 | 0.0034 | |
| dPCAAssumed factors (k, r)=(3,2), Selected nodes (s1, s2)=(2,3)2026.01 | 0.004 | 0.771 | 0.0002 | |
| dPCAAssumed factors (k, r)=(3,1), Selected nodes (s1, s2)=(2,5)2026.01 | 0.008 | 0.68 | 0 | |
| α-PCAAssumed factors (k, r)=(3,1), alpha=02026.01 | 0.017 | 0.637 | — | |
| α-PCAAssumed factors (k, r)=(4,1), alpha=02026.01 | 0.017 | 0.667 | — | |
| α-PCAAssumed factors (k, r)=(5,2), alpha=02026.01 | 0.02 | 0.798 | — | |
| dPCAAssumed factors (k, r)=(2,1), Selected nodes (s1, s2)=(5,5)2026.01 | 0.021 | 0.639 | 0.0009 | |
| α-PCAAssumed factors (k, r)=(5,1), alpha=02026.01 | 0.021 | 0.69 | — | |
| α-PCAAssumed factors (k, r)=(4,2), alpha=02026.01 | 0.022 | 0.753 | — | |
| α-PCAAssumed factors (k, r)=(3,2), alpha=02026.01 | 0.023 | 0.712 | — | |
| α-PCAAssumed factors (k, r)=(2,1), alpha=02026.01 | 0.046 | 0.591 | — |