Stock Price Change Rate Prediction by Utilizing Social Network Activities

Table 14

Sharpe ratios in the five testing data sets for the three-stock trading.

Models	Sharp	Amazon	Sony
MKR-all-GA (proposed)	0.23395	0.38152	0.23676
SVR-ts-GA	−0.04203	0.26138	−0.28590
SVR-news-GA	0.15631	0.18533	−0.19119
SVR-coms-GA	0.10704	0.34027	0.00716
SVR-all-GA	0.13337	0.21494	−0.18474
SVR-ts-STS	−0.11036	−0.10034	−1.06153
SVR-news-STS	0.09233	−0.69485	−0.19220
SVR-coms-STS	0.75930	0.23981	−0.45355
SVR-all-STS	0.47225	−0.48811	−0.98314
MKR-all-STS	−0.25124	−1.19644	0.08685
ANN-all-STS	−0.10232	0.56225	0.14567
Buy and Hold	−0.24035	0.41475	0.02929
Sell and Hold	0.24035	−0.41476	−0.02929