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A comprehensive evaluation of ensemble learning for stock-market prediction

Journal of big data, 2020-03, Vol.7 (1), p.1-40, Article 20 [Peer Reviewed Journal]

The Author(s) 2020 ;Journal of Big Data is a copyright of Springer, (2020). All Rights Reserved. This work is published under http://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. ;ISSN: 2196-1115 ;EISSN: 2196-1115 ;DOI: 10.1186/s40537-020-00299-5

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  • Title:
    A comprehensive evaluation of ensemble learning for stock-market prediction
  • Author: Nti, Isaac Kofi ; Adekoya, Adebayo Felix ; Weyori, Benjamin Asubam
  • Subjects: Algorithms ; Artificial intelligence ; Bagging ; Blending ; Classifiers ; Communications Engineering ; Computational Science and Engineering ; Computer Science ; Data Mining and Knowledge Discovery ; Database Management ; Decision trees ; Ensemble-classifiers ; Ensemble-regressors ; Information Storage and Retrieval ; Machine learning ; Mathematical Applications in Computer Science ; Networks ; Neural networks ; Predictions ; Regression analysis ; Root-mean-square errors ; Securities markets ; Stacking ; Stock exchanges ; Support vector machines
  • Is Part Of: Journal of big data, 2020-03, Vol.7 (1), p.1-40, Article 20
  • Description: Stock-market prediction using machine-learning technique aims at developing effective and efficient models that can provide a better and higher rate of prediction accuracy. Numerous ensemble regressors and classifiers have been applied in stock market predictions, using different combination techniques. However, three precarious issues come in mind when constructing ensemble classifiers and regressors. The first concerns with the choice of base regressor or classifier technique adopted. The second concerns the combination techniques used to assemble multiple regressors or classifiers and the third concerns with the quantum of regressors or classifiers to be ensembled. Subsequently, the number of relevant studies scrutinising these previously mentioned concerns are limited. In this study, we performed an extensive comparative analysis of ensemble techniques such as boosting, bagging, blending and super learners (stacking). Using Decision Trees (DT), Support Vector Machine (SVM) and Neural Network (NN), we constructed twenty-five (25) different ensembled regressors and classifiers. We compared their execution times, accuracy, and error metrics over stock-data from Ghana Stock Exchange (GSE), Johannesburg Stock Exchange (JSE), Bombay Stock Exchange (BSE-SENSEX) and New York Stock Exchange (NYSE), from January 2012 to December 2018. The study outcome shows that stacking and blending ensemble techniques offer higher prediction accuracies (90–100%) and (85.7–100%) respectively, compared with that of bagging (53–97.78%) and boosting (52.7–96.32%). Furthermore, the root means square error (RMSE) recorded by stacking (0.0001–0.001) and blending (0.002–0.01) shows a better fit of ensemble classifiers and regressors based on these two techniques in market analyses compared with bagging (0.01–0.11) and boosting (0.01–0.443). Finally, the results undoubtedly suggest that an innovative study in the domain of stock market direction prediction ought to include ensemble techniques in their sets of algorithms.
  • Publisher: Cham: Springer International Publishing
  • Language: English
  • Identifier: ISSN: 2196-1115
    EISSN: 2196-1115
    DOI: 10.1186/s40537-020-00299-5
  • Source: ROAD: Directory of Open Access Scholarly Resources
    ProQuest Central
    DOAJ Directory of Open Access Journals
    Springer Nature OA Free Journals
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