Junfeng Hu, Xiaosa Li, Yuru Xu, Shaowu Wu and Bin Zheng, Beijing University of Technology, China

In this paper, company investment value evaluation models are established based on comprehensive company information. After data mining and extracting a set of 436 feature parameters, an optimal subset of features is obtained by dimension reduction through treebased feature selection, followed by the 5-fold cross-validation using XGBoost and LightGBM models. The results show that the Root-Mean-Square Error (RMSE) reached 3.098 and 3.059, respectively. In order to further improve the stability and generalization capability, Bayesian Ridge Regression has been used to train a stacking model based on the XGBoost and LightGBM models. The corresponding RMSE is up to 3.047. Finally, the importance of different features to the LightGBM model is analysed.

Company investment value assessment, XGBoost model, LightGBM model, Model fusion.