Advantages of Combining Factorization Machine with Elman Neural Network for Volatility Forecasting of Stock Market

Table 6

Trend-type forecasting evaluation of the FM-Elman () model as threshold value varies.

Evaluation errors	S&P 500			DJIA
	DS	CP	CD	DS	CP	CD
	48.662	52.7473	43.8445	49.1576	52.3985	45.3961
	48.5199	52.1327	44.2254	49.2063	52.451	45.4023
	51.1111	52.9412	49.1039	47.6103	48.9362	46.1832
	49.011	50	47.9821	47.0998	47.7273	46.4455
	43.7143	43.9306	43.5028	43.1193	44.6429	41.5094
Evaluation errors	SSEC			SZI
	DS	CP	CD	DS	CP	CD
	50	51.8987	50.9221	51.1879	53.2164	52.2541
	50.4459	50.646	50.2513	51.335	51.7677	50.9346
	51.0109	50.641	51.3595	52.1802	52.439	51.9444
	52.1154	52.5097	51.7241	52.847	53.7037	52.0548
	51.3382	50.2538	52.3364	50.211	53.7778	51.9481