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Published 20 hours ago • verified publisher icon fulifeng

Always predicting zero

Open Mehran-k opened this issue 6 years ago • 1 comments

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!

Mehran-k avatar Dec 21 '18 15:12 Mehran-k

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

QuantHao avatar Jan 28 '22 03:01 QuantHao