Table 8.

Technical results of different algorithms (robustness tests on out-of-time data)

Algorithms	R2	MAE	MSE	RMSE
ARIMA	0.9388	0.0275	0.0014	0.0372
SVR	0.9587	0.0240	0.0011	0.0328
BPNN	0.9466	0.0261	0.0011	0.0339
ELM	0.9580	0.0243	0.0010	0.0317
CNN	0.9611	0.0237	0.0009	0.0303
LSTM-single	0.9657	0.0233	0.0009	0.0298
LSTM-sentiment	0.9691	0.0229	0.0008	0.0282
LSTM-market	0.9746	0.0188	0.0006	0.0237
LSTM-all	0.9785	0.0147	0.0004	0.0211
MF-LSTM	0.9848	0.0129	0.0003	0.0161

Six-month window length