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Table 3 A summary of evaluation rules for DL models in F&B domains

From: Deep learning in finance and banking: A literature review and classification

  Revised article Evaluation
Exchange rate prediction Shen et al. (2015) RMSE, MAE, MAPE, CORR, direct accuracy
Zheng et al. (2017) Fitting error, MAPE
Ravi et al. (2017) Diebold-Mariano test, MSE, and directional change statistic
Galeshchuk and Mukherjee (2017) Classification accuracy
Stock market prediction Matsubara et al. (2018) ACC, MCC
Chen et al. (2018b) RMSE, MAPE, DPA
Chong et al. (2017) NMSE, RMSE, MAE, Mutual information
Yan and Ouyang (2017) MAPE, MAE
Kim and Won (2018) Realized volatility, loss function (MAE, MSE, HMAE, HMSE), DM, WS test
Singh and Srivastava (2017) Hit rate, the correlation coefficient between the actual value and prediction value, the non-linear regression multiple correlation coefficient, the correlation coefficient between the actual value and prediction return, the percentage of correct direction, the symmetric mean absolute percentage error, MAPE, RMSE, the total return
Dingli and Fournier (2017) Learning rate, accuracy
Gunduz et al. (2017) Relative MA, F-measure
Hernandez and Abad (2018) Means of misclassification error
Sohangir et al. (2018) Accuracy, F-measure, AUC, precision
Krausa and Feuerriegel (2017) Classification (e.g., accuracy, balanced accuracy, AUC), regression (e.g., RMSE, MSE, MAE)
Minh et al. (2017) NMSE, RMSE, MAE, mutual information
Stock trading Sezer et al. (2017) Annualized return, annualized number of transactions, percent of success, average profit percent per transaction, average transaction length, maximum profit percentage in transaction, maximum loss percentage in transaction, maximum capital, minimum capital, idle ratio
Chen et al. (2017) Absolute return/ Sharpe ratio/prediction accuracy
Deng et al. (2017) Robustness verification
Fischer and Krauss (2017) Accuracy, Sharp ratio, standard deviation, return
Bao et al. (2017) MAPE, R, Theil U
Martinez-Miranda et al. (2016) Average profit, STD
Feuerriegel and Prendinger (2016) Average daily return, Sharp ratio, abnormal return, volatility
Chakraborty (2019) Average annual return
Zhang and Maringer (2015) Exponential MA Sharpe ratio
Price prediction Sehgal and Pandey (2015) Prediction accuracy
Portfolio management Song et al. (2017) Return, volatility, Sharp ratio, maximum drawdown
Almahdi and Yang (2017) Coherent downside risk measure, the expected maximum drawdown, E (MDD), Calmar ratio
Macroeconomic prediction Sevim et al. (2014) Accuracy, sensitivity, specificity
Banking default risk and credit Rönnqvist and Sarlin (2017) Vector level, error, recall (precision)
Han et al. (2018) Relative error