Abstract:
The stock market is one of the key sectors of a country's economy. It provides investors with an opportunity to invest and gain returns on their investment. Predicting the stock market is a very challenging task and has attracted serious interest from researchers from many fields such as statistics, artificial intelligence, economics, and finance. An accurate prediction of the stock market reduces investment risk in the market. Different approaches have been used to predict the stock market. The performances of Machine learning (ML) models are typically superior to those of statistical and econometric models. The ability of Gaussian Naive Bayes ML algorithm to predict stock price movement has not been addressed properly in the existing literature, hence this attempt to fill that gap in the literature by evaluating the performance of GNB algorithm when combined with different feature scaling and feature extraction techniques in stock price movement prediction. The performance of the GNB models set up were ranked using the Kendall's test of concordance for the various evaluation metrics used. The results indicated that, the predictive model based on integration of GNB algorithm and Linear Discriminant Analysis (GNB_LDA) outperformed all the other models of GNB considered in three of the four evaluation metrics (i.e., accuracy, F1-score, and AUC). Similarly, the predictive model based on GNB algorithm, Min-Max scaling, and PCA produced the best rank using the specificity results. In addition, GNB produced better performance with Min-Max scaling technique than it does with standardization scaling techniques. 2021 Slovene Society Informatika. All rights reserved.
Description:
Ampomah, E.K., School of Information and Software Engineering, University of Electronic Science and Technology of China, China; Nyame, G., Department of Information Technology Education, Akenten Appiah-Menka University of Skills Training and Entrepreneurial Development, Kumasi-Ghana, Ghana; Qin, Z., School of Information and Software Engineering, University of Electronic Science and Technology of China, China; Addo, P.C., School of Management and Economics, University of Electronic Science and Technology of China, China; Gyamfi, E.O., School of Information and Software Engineering, University of Electronic Science and Technology of China, China; Gyan, M., Department of Physics Education, University of Education, Winneba-Ghana, Ghana