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