计算机科学 ›› 2022, Vol. 49 ›› Issue (11A): 211000017-7.doi: 10.11896/jsjkx.211000017
岑健铭1,2, 封全喜1,2, 张丽丽1, 佟锐超1
CEN Jian-ming1,2, FENG Quan-xi1,2, ZHANG Li-li1, TONG Rui-chao1
摘要： “高送转”现象指上市公司转增较大比例的股票。针对上市公司实施“高送转”现象的预测问题,文中提出了一种基于差分进化算法超参数优化的lightGBM模型(简记为DE-lightGBM)。该模型主要包括两个方面:首先,利用差分进化算法调整lightGBM模型的损失函数中少数类别的权重以及正则项系数,以处理数据类别不平衡的问题;其次,以F1和AUC作为评价指标,再次利用差分进化算法优化li-ghtGBM模型的重要超参数变量,找到一组预测效果最优的参数组合。数值结果显示,DE-lightGBM模型取得了较好的效果,F1和AUC值分别为0.536 8和0.873 4。提出的DE-lightGBM模型能够有效识别下一年将会实施“高送转”的上市公司。
中图分类号:
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