Table 2. Comparison of predictors of market crises.
Indicator | TP | FP | FN | p-value |
---|---|---|---|---|
Volatility | 3 | 2 | 1 | 0.014 |
Correlation | 3 | 2 | 1 | 0.014 |
Covariance | 4 | 1 | 0 | 0.00033 |
U | 4 | 0 | 0 | 0.000067 |
Indicator | TP | FP | FN | p-value |
---|---|---|---|---|
Volatility | 3 | 2 | 1 | 0.014 |
Correlation | 3 | 2 | 1 | 0.014 |
Covariance | 4 | 1 | 0 | 0.00033 |
U | 4 | 0 | 0 | 0.000067 |