Comments (3)
I seem to get it.
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They use the features in Table 1 in their paper, which contains c_open, c_high, c_low, n_close, n_adj_close, 5-day, 10-day, 15-day, 20-day, 25-day, 30-day. The first 11 columns represent these 11 features in total. Penultimate column (12th) is the label (-1 negative, 1 positive, 0 represents the rows whose movement in [-0.005, 0.0055]). The last column (13th) seems not to be used.
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-123321 seems to represent NAN. For example, Alibaba (stock BABA) listed on 19 Sep 2014, so it uses -123321 to fill the row before that day.
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I have the same question!
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I think the 13th column is not used. Is there any other idea about the 13th column's usage?
-123321 seems to take place for the first 30 days.
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