Explainable Ensemble Learning for Predicting Stock Market Crises: Calibration, Threshold Optimization, and Robustness Analysis

Forecasting stock market crashes is difficult because such events are rare, highly nonlinear, and shaped by latent structural and behavioral forces. This study introduces a calibrated and interpretable Random Forest framework for detecting pre-crash conditions through structural feature engineering, early-warning calibration, and model explainability. Using daily data on global equity indices and major large-cap stocks from the U.S., Europe, and Asia, we construct a feature set that captures volatility expansion, moving-average deterioration, Bollinger Band width, and short-horizon return dynamics. Probability-threshold optimization significantly improves sensitivity to rare events and yields an operating point at a crash-probability threshold of 0.33. Compared with econometric and machine learning benchmarks, the calibrated model attains higher precision while maintaining competitive F1 and MCC scores, and it delivers meaningful early-warning signals with an average lead-time of around 60 days. SHAP analysis indicates that predictions are anchored in theoretically consistent indicators, particularly volatility clustering and weakening trends, while robustness checks show resilience to noise, structural perturbations, and simulated flash crashes. Taken together, these results provide a transparent and reproducible blueprint for building operational early-warning systems in financial markets.

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Information
Published
2026-01-25
DOI
https://doi.org/10.3390/info17020114
Citations
1
Primary Topic
Stock Market Forecasting Methods
Type
article
Field-Weighted Citation Impact
58.08

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Explainable Ensemble Learning for Predicting Stock Market Crises: Calibration, Threshold Optimization, and Robustness Analysis

Eddy Suprihadi, Zaiton Ali, Nevi Danila, Gede Pramudya Ananta
1 citations
Information
Stock Market Forecasting Methods
58.08
article

Explainable Ensemble Learning for Predicting Stock Market Crises: Calibration, Threshold Optimization, and Robustness Analysis

Eddy Suprihadi, Zaiton Ali, Nevi Danila, Gede Pramudya Ananta
article en
1 citations

Abstract

Forecasting stock market crashes is difficult because such events are rare, highly nonlinear, and shaped by latent structural and behavioral forces. This study introduces a calibrated and interpretable Random Forest framework for detecting pre-crash conditions through structural feature engineering, early-warning calibration, and model explainability. Using daily data on global equity indices and major large-cap stocks from the U.S., Europe, and Asia, we construct a feature set that captures volatility expansion, moving-average deterioration, Bollinger Band width, and short-horizon return dynamics. Probability-threshold optimization significantly improves sensitivity to rare events and yields an operating point at a crash-probability threshold of 0.33. Compared with econometric and machine learning benchmarks, the calibrated model attains higher precision while maintaining competitive F1 and MCC scores, and it delivers meaningful early-warning signals with an average lead-time of around 60 days. SHAP analysis indicates that predictions are anchored in theoretically consistent indicators, particularly volatility clustering and weakening trends, while robustness checks show resilience to noise, structural perturbations, and simulated flash crashes. Taken together, these results provide a transparent and reproducible blueprint for building operational early-warning systems in financial markets.

InformationVol. 17(2)
Prince Sultan University (SA), Tun Hussein Onn University of Malaysia (MY)
Prince Sultan University
Openalex Percentile: Top 1%
Stock Market Forecasting Methods
58.08
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