Table 2 Events characteristics depending on the caused stock price change and model performance metrics.
Class name* | Extremely | Moderately | Moderately | Extremely | ||
|---|---|---|---|---|---|---|
Negative | Negative | Negative | Positive | Positive | Positive | |
Stock price change range | (\(- \,\infty\), − 0.28] | (− 0.28, − 0.14] | (− 0.14, 0] | (0, 0.14] | (0.14, 0.28] | (0.28, + \(\infty\)) |
Number of events | 211 | 189 | 599 | 478 | 110 | 67 |
Positive events** | 72 | 106 | 421 | 366 | 83 | 57 |
Negative events** | 139 | 83 | 178 | 112 | 27 | 10 |
OvR ROC AUC for GCN+GB | \(0.87 \pm 0.02\) | \(0.77 \pm 0.03\) | \(0.63 \pm 0.02\) | \(0.71 \pm 0.01\) | \(0.70 \pm 0.02\) | \(0.75 \pm 0.04\) |
OvR ROC AUC for GB | \(0.85 \pm 0.02\) | \(0.72 \pm 0.02\) | \(0.60 \pm 0.02\) | \(0.67 \pm 0.02\) | \(0.66 \pm 0.04\) | \(0.74 \pm 0.05\) |
Welch’s t-test p-value*** | 0.09 | 0.05 | 0.002 | \(5.4 \times 10^{-5}\) | 0.02 | 0.65 |
