Stock Price Change Rate Prediction by Utilizing Social Network Activities

Table 11

Summary of evaluation measures.

Evaluation measure	Calculation	Description
RMSE	RMSE=∑^𝑛𝑖=1(PC(𝑖)−ROC(𝑖))^2𝑛	PC(𝑖) is the predicted price change rate of target stock at time 𝑖, ROC(𝑖) is the real change rate at time (𝑖+1), and 𝑛 is the number of prediction times.
Accumulated return	AC=∑^𝑚𝑖=1𝑅𝑖	𝑅𝑖 is the return in testing period 𝑖, and 𝑚 is the number of testing periods.
Sharpe ratio	𝐸𝑆=𝑅−𝑅𝑓var𝑅−𝑅𝑓	𝑅 is the asset return, 𝑅𝑓 is the return on a benchmark asset, 𝐸𝑅−𝑅𝑓 is the expected value of the excess of the asset return over the benchmark return, and var𝑅−𝑅𝑓 is the variances of the asset return. In our experiments, we used the Sharpe ratio as an evaluation criterion to evaluate the return-risk ratio performance of the models.