A comprehensive evaluation of ensemble learning for stock-market prediction
Abstract 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 combinatio...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2020-03-01
|
| Series: | Journal of Big Data |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s40537-020-00299-5 |
| _version_ | 1818115494995034112 |
|---|---|
| author | Isaac Kofi Nti Adebayo Felix Adekoya Benjamin Asubam Weyori |
| author_facet | Isaac Kofi Nti Adebayo Felix Adekoya Benjamin Asubam Weyori |
| author_sort | Isaac Kofi Nti |
| collection | DOAJ |
| description | Abstract 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. |
| first_indexed | 2024-12-11T04:07:31Z |
| format | Article |
| id | doaj.art-799f728557c54bb19af0e540fbdbd2f9 |
| institution | Directory Open Access Journal |
| issn | 2196-1115 |
| language | English |
| last_indexed | 2024-12-11T04:07:31Z |
| publishDate | 2020-03-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Journal of Big Data |
| spelling | doaj.art-799f728557c54bb19af0e540fbdbd2f92022-12-22T01:21:29ZengSpringerOpenJournal of Big Data2196-11152020-03-017114010.1186/s40537-020-00299-5A comprehensive evaluation of ensemble learning for stock-market predictionIsaac Kofi Nti0Adebayo Felix Adekoya1Benjamin Asubam Weyori2Department of Computer Science and Informatics, University of Energy and Natural ResourcesDepartment of Computer Science and Informatics, University of Energy and Natural ResourcesDepartment of Computer Science and Informatics, University of Energy and Natural ResourcesAbstract 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.http://link.springer.com/article/10.1186/s40537-020-00299-5Machine-learningEnsemble-classifiersArtificial intelligencePredictionsEnsemble-regressorsStacking |
| spellingShingle | Isaac Kofi Nti Adebayo Felix Adekoya Benjamin Asubam Weyori A comprehensive evaluation of ensemble learning for stock-market prediction Journal of Big Data Machine-learning Ensemble-classifiers Artificial intelligence Predictions Ensemble-regressors Stacking |
| title | A comprehensive evaluation of ensemble learning for stock-market prediction |
| title_full | A comprehensive evaluation of ensemble learning for stock-market prediction |
| title_fullStr | A comprehensive evaluation of ensemble learning for stock-market prediction |
| title_full_unstemmed | A comprehensive evaluation of ensemble learning for stock-market prediction |
| title_short | A comprehensive evaluation of ensemble learning for stock-market prediction |
| title_sort | comprehensive evaluation of ensemble learning for stock market prediction |
| topic | Machine-learning Ensemble-classifiers Artificial intelligence Predictions Ensemble-regressors Stacking |
| url | http://link.springer.com/article/10.1186/s40537-020-00299-5 |
| work_keys_str_mv | AT isaackofinti acomprehensiveevaluationofensemblelearningforstockmarketprediction AT adebayofelixadekoya acomprehensiveevaluationofensemblelearningforstockmarketprediction AT benjaminasubamweyori acomprehensiveevaluationofensemblelearningforstockmarketprediction AT isaackofinti comprehensiveevaluationofensemblelearningforstockmarketprediction AT adebayofelixadekoya comprehensiveevaluationofensemblelearningforstockmarketprediction AT benjaminasubamweyori comprehensiveevaluationofensemblelearningforstockmarketprediction |