Date of Award
We present an overview of alternative performance functions for financial models, specifically targeting long term single investment predictive models. We compare various performance metrics used in previous studies, such as the mean absolute percentage error (MAPE), the Sharpe ratio, a linear regression, and a traditional gain function, and discuss their impact on model performance.
Sathyagal, Ajeya, "Alternative Performance Metrics for Financial Machine Learning Models" (2022). Senior Theses. 1612.
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