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Comparative Evaluation of the Supervised Machine Learning Classification Methods and the Concept Drift Detection Methods in the Financial Business Problems

2021; Springer Science+Business Media; Linguagem: Inglês

10.1007/978-3-030-75418-1_13

1865-1356

Victor Ulisses Pugliese, Renato Duarte Costa, Celso Massaki Hirata,

Imbalanced Data Classification Techniques

Machine Learning methods are key tools for aiding in the decision making of financial business problems, such as risk analysis, fraud detection, and credit-granting evaluations, reducing the time and effort and increasing accuracy. Supervised machine learning classification methods learn patterns in data to improve prediction. In the long term, the data patterns may change in a process known as concept drift, with the changes requesting retraining the classification methods to maintain their accuracies. We conducted a comparative study using twelve classification methods and seven concept drift detection methods. The evaluated methods are Gaussian and Incremental Naïve Bayes, Logistic Regression, Support Vector Classifier, k-Nearest Neighbors, Decision Tree, Random Forest, Gradient Boosting, XGBoost, Multilayer Perceptron, Stochastic Gradient Descent, and Hoeffding Tree. The analyzed concept drift detection methods are ADWIN, DDM, EDDM, HDDMa, HDDMw, KSWIN, and Page Hinkley. We used the next-generation hyperparameter optimization framework Optuna and applied the non-parametric Friedman test to infer hypotheses and Nemeyni as a posthoc test to validate the results. We used five datasets in the financial domain. With the performance metrics of F1 and AUROC scores for classification, XGBoost outperformed other methods in the classification experiments. In the data stream experiments with concept drift, using accuracy as performance metrics, Hoeffding Tree and XGBoost showed the best results with the HDDMw, KSWIN, and ADWIN concept drift detection methods. We conclude that XGBoost with HDDMw is the recommended combination when financial datasets that exhibit concept drift.