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fulifeng / Temporal_Relational_Stock_Ranking

Code for paper "Temporal Relational Ranking for Stock Prediction"
https://arxiv.org/pdf/1809.09441.pdf
GNU Affero General Public License v3.0
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Always predicting zero #2

Open Mehran-k opened 5 years ago

Mehran-k commented 5 years ago

I have a simple baseline which always predicts the closing price for the next day is equal to the closing price of today (i.e., my model always predicts RT=0). Then on NASDAQ, I get MSE=3.77e-4 and on NYSE, I get MSE=2.25e-4 which are both better than the reported results in the paper. Is this correct or am I missing something? Thanks!

QuantHao commented 2 years ago

In that case, your IC would be zero, wouldn't you. In quant finance, having a high IC is more important than RMSE.