People continuously hunt for a precise and productive strategy to control the stock exchange because the monetary trade is recognised for its unbelievably different character and unpredictability. Even a minor gain in predicting performance will be extremely profitable and significant. Our novel study implemented six boosting techniques, i.e., XGBoost, AdaBoost, Gradient Boosting, LightGBM, CatBoost, and Histogram-based Gradient Boosting, and these boosting techniques were hybridised using a stacking framework to find out the direction of the stock market. Five different stock datasets were selected from four different countries and were used for our experiment. We used two-way overfitting protection during our model building process, i.e., dynamic reduction technique and cross-validation technique. For model evaluation purposes, we used the performance metrics, i.e., accuracy, ROC curve (AUC), F-score, precision, and recall. The aim of our study was to propose and select a predictive model whose training and testing accuracy difference was minimal in all stocks. The findings revealed that the meta-classifier Meta-LightGBM had training and testing accuracy differences that were very low among all stocks. As a result, a proper model selection might allow investors the freedom to invest in a certain stock in order to successfully control risk and create short-term, sustainable profits.

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Developing reliable equity market models allows investors to make more informed decisions. A trading model can reduce the risks associated with investment and allow traders to choose the best-paying stocks. However, stock market analysis is complicated with batch processing techniques since stock prices are highly correlated. In recent years, advances in machine learning have given us a lot of chances to use forecasting theory and risk optimization together. The study postulates a unique two-stage framework. First, the mean-variance approach is utilized to select probable stocks (portfolio construction), thereby minimizing investment risk. Second, we present an online machine learning technique, a combination of “perceptron” and “passive-aggressive algorithm,” to predict future stock price movements for the upcoming period. We have calculated the classification reports, AUC score, accuracy, and Hamming loss for the proposed framework in the real-world datasets of 20 health sector indices for four different geographical reasons for the performance evaluation. Lastly, we conduct a numerical comparison of our method’s outcomes to those generated via conventional solutions by previous studies. Our aftermath reveals that learning-based ensemble strategies with portfolio selection are effective in comparison.

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