Stock market decision support modeling with tree-based AdaBoost ensemble machine learning models
نویسندگان
چکیده
Forecasting stock market behavior has received tremendous attention from investors, and researchers for a very long time due to its potential profitability. Predicting is regarded as one of the extremely challenging applications series forecasting. While there divided opinion on efficiency markets, numerous empirical studies which are widely accepted have shown that predictable some extent. Statistical based methods machine learning models used forecast analyze market. Machine (ML) typically perform better than those statistical econometric models. In addition, performance ensemble ML superior individual this paper, we study compare tree-based AdaBoost (namely, AdaBoost-DecisionTree (Ada-DT), AdaBoost-RandomForest (Ada-RF), AdaBoost-Bagging (Ada-BAG), Bagging-ExtraTrees (Bag-ET)). Ten data sets randomly collected three different exchanges (NYSE, NASDAQ, NSE) study. Forty technical indicators computed input features. The evaluated using accuracy, precision, recall, F-measure, specificity. And AUC metrics. Also, Kendall W test concordance rank experimental results show AdaBoost- ExtraTree (Ada-ET ) model highest performer among studied.
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ژورنال
عنوان ژورنال: Informatica
سال: 2021
ISSN: ['0350-5596', '1854-3871']
DOI: https://doi.org/10.31449/inf.v44i4.3159