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

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