Predicting profitability of new customers using gradient boosting tree models : Evaluating the predictive capabilities of the XGBoost, LightGBM and CatBoost algorithms

Abstract: In the context of providing credit online to customers in retail shops, the provider must perform risk assessments quickly and often based on scarce historical data. This can be achieved by automating the process with Machine Learning algorithms. Gradient Boosting Tree algorithms have demonstrated to be capable in a wide range of application scenarios. However, they are yet to be implemented for predicting the profitability of new customers based solely on the customers’ first purchases. This study aims to evaluate the predictive performance of the XGBoost, LightGBM, and CatBoost algorithms in this context. The Recall and Precision metrics were used as the basis for assessing the models’ performance. The experiment implemented for this study shows that the model displays similar capabilities while also being biased towards the majority class.