Uncertainty Optimization Based Feature Selection Model for Stock Marketing

Arvind Kumar Sinha () and Pradeep Shende
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Arvind Kumar Sinha: National Institute of Technology
Pradeep Shende: National Institute of Technology

Computational Economics, 2024, vol. 63, issue 1, No 14, 357-389

Abstract: Abstract Market analyzers use different parameters as features in the market data to analyze the market trends. The feature’s values act as a signal to market fluctuations. Many studies have examined these features to predict market movement more effectively. However, the method to minimize the uncertainties associated with the features is not available in the literature. This exploratory study introduces the uncertainty optimization based feature selection method for stock marketing. We introduce a notion of certainty region of the feature as the set of feature values, which signify particular happening with certainty. We use rough set theory to find the feature’s certainty region and uncertainty region and measure each feature’s significance. The feature whose certainty region is the maximum is the most significant in the feature space. Hence we group the features by minimizing the uncertainty region of the most informative features to get feature subsets for feature selection. We propose an algorithm based on uncertainty optimization to find subsets of the feature set for effectiveness and performance enhancement in the feature selection. We obtain the decision rules with comprehensive coverage and excellent support using the selected features. The accuracy of classification using the chosen parameters is up to 85.91%, which is higher than 79.54% of the complete feature set. The study provides an uncertainty optimization model for more efficient market movement prediction.

Keywords: Stock market; Uncertainty optimization; Rough set; Feature selection; Optimization algorithm (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10614-022-10344-5

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