Predicting Stock Market Risk Using Machine Learning Classification Models

초록

This study aims to predict stock market risk and improve preparedness for potential economic crises by identifying sharp declines in stock returns using classification-based machine learning models. Using ten years of KOSPI 200 index data (2015 to 2024), a daily return series was constructed. A day was labeled a risk event (1) if its return fell below the 5th percentile of the returns observed over the preceding 100 trading days, indicating a sharp decline. Nine classification models-Logistic Regression, k-nearest Neighbor, Decision Tree, Random Forest, Linear Discriminant Analysis, Naive Bayes, Quadratic Discriminant Analysis, AdaBoost, and Gradient Boosting-were trained and validated. Among these, Logistic Regression demonstrated the strongest overall performance across multiple evaluation metrics, including accuracy, non-risk F1 score, risk F1 score, and AUC.

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