Page 44 - QuantScan-Example.pdf

Professional investors only
Statistical learning
44
Linear regression
Decision tree
􏰀Y(Min) 􏰀Y(Mean) -0.1156 0.0006 -0.0924 0.0013 -0.0919 0.0008 -0.1046 0.0003 -0.1151 0.0004 -0.0564 0.0006
􏰀Y(Max) MSE MAD SD 0.0908 0.0000 0.0012 0.0015 0.0787 0.0000 0.0022 0.0031 0.0772 0.0000 0.0013 0.0022 0.0887 0.0000 0.0012 0.0017 0.0921 0.0000 0.0012 0.0015 0.0527 0.0000 0.0033 0.0050
Perplexity 0.0063 0.0109 0.0090 0.0063 0.0063 0.0213
Gradient boosted trees
Nearest neighbors
Neural network
Random forest