Evaluation Optimal Prediction Performance of MLMs on High-volatile Financial Market Data

Abstract

The present study evaluates the prediction performance of the multi-machine learning models (MLMs) on high-volatile financial markets data sets since 2007 to 2020. The linear and nonlinear empirical data sets are comprised on stock price returns of Karachi stock exchange (KSE) 100-Index of Pakistan and currencies exchange rates of Pakistani Rupees (PKR) against five major currencies (USD, Euro, GBP, CHF & JPY). In the present study, the support vector regression (SVR), random forest (RF), and machine learning-linear regression model (ML-LRM) are under-evaluated for comparative prediction performance. Moreover, the findings demonstrated that the SVR comparatively gives optimal prediction performance on group1. Similarly, the RF relatively gives the best prediction performance on group2. The findings of study concludes that the algorithm of RF is most appropriate for nonlinear approximation/evaluation and the algorithm of SVR is most useful for high-frequency time-series data estimation. The present study is contributed by exploring comparative enthusiastic/optimistic machine learning model on multi-nature data sets. This empirical study would be helpful for finance and machine-learning pupils, data analysts and researchers, especially for those who are deploying machine-learning approaches for financial analysis.