Stock Return Prediction using Machine Learning-Based Techniques

  • Tra Ngoc Nguyen The University of Danang, University of Economics, Vietnam
  • Tien Ho-Phuoc The University of Danang, University of Science and Technology, Vietnam
  • Dat Thanh Nguyen The University of Danang, University of Economics, Vietnam
  • Minh Nhu Mac The University of Danang, University of Science and Technology, Vietnam

Abstract

The paper attempts to forecast the intraday return of HNX index by using 3 machine learning models: Support Vector Machine, Random Forest, and Extra-Trees Classifier. Kernel principal component analysis is used for feature extraction and dimension reduction. The prediction performance is compared to the classic Logistic Regression’s. Our empirical results show that Extra-Trees Classifier has the highest prediction accuracy of about 55% which outperforms Logistic Regression by about 0.6%. Although both Extra-Trees Classifier and Random Forest (RF) are based on the same approach, the former always obtains better prediction performance. Besides, while not providing the optimal results, Support Vector Machine seems not to depend on the number of features and training length.

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Published
2020-12-29
How to Cite
NGUYEN, Tra Ngoc et al. Stock Return Prediction using Machine Learning-Based Techniques. Journal of Science and Technology: Issue on Information and Communications Technology, [S.l.], v. 18, n. 12.2, p. 49-56, dec. 2020. ISSN 1859-1531. Available at: <http://ict.jst.udn.vn/index.php/jst/article/view/122>. Date accessed: 21 june 2024. doi: https://doi.org/10.31130/ict-ud.2020.122.