Window size | Data Characteristics | AC | K-AC | FK-AC | |
w = 10 | SET50 | Basic | −0.5387 | 0.1465 | 2.4001 |
SIM | −0.4286 | 7.4269 | 12.0854 | ||
Random 10 stocks | Basic | 3.0726 | 1.6068 | 2.2667 | |
SIM | 6.4901 | 8.3300 | 7.4489 | ||
Random 2 stocks from 7 industry | Basic | 3.9104 | 2.1260 | 2.8236 | |
SIM | 8.6502 | 7.4124 | 5.8903 | ||
w = 20 | SET50 | Basic | 2.1021 | 1.5495 | 1.4920 |
SIM | 1.4848 | 3.7160 | 7.0011 | ||
Random 10 stocks | Basic | 1.6456 | 1.9973 | 1.8540 | |
SIM | 5.5735 | 6.6471 | 7.7872 | ||
Random 2 stocks from 7 industry | Basic | 3.7265 | 3.9652 | 4.1976 | |
SIM | 10.7767 | 10.5669 | 11.4029 | ||
w = 30 | SET50 | Basic | 1.6840 | 0.7988 | 0.8952 |
SIM | 8.1630 | 7.0482 | 9.5513 | ||
Random 10 stocks | Basic | 1.6304 | 1.7891 | 1.7527 | |
SIM | 8.2786 | 7.5412 | 9.1787 | ||
Random 2 stocks from 7 industry | Basic | 3.0004 | 2.3121 | 3.0581 | |
SIM | 8.4717 | 7.5643 | 8.9599 |