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Stock market prediction with gaussian naive bayes machine learning algorithm - 2021

Stock Market Prediction With Gaussian Naive Bayes Machine Learning Algorithm

Research Area:  Machine Learning

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 Naïve Bayes ML algorithm to predict stock price movement has not been addressed properly in the existing literature, hence this work attempt to fill that gap 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 integration of 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

Keywords:  

Author(s) Name:  Ernest Kwame Ampomah, Gabriel Nyame, Zhiguang Qin, Prince Clement Addo, Enoch Opanin Gyamfi, Micheal Gyan

Journal name:  AN INTERNATIONAL JOURNAL OF COMPUTING AND INFORMATICS

Conferrence name:  

Publisher name:  Slovenian Society Informatika

DOI:  10.31449/inf.v45i2.3407

Volume Information:   Vol 45, No 2