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Journals / Uluslararası İktisadi ve İdari İncelemeler Dergisi / 2019 / Sayı: 23

PREDICTING STOCK MARKET MOVEMENT BY USING MACHINELEARNING ALGORITHM

BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ

Hakan PABUÇCU
Pages
179–190
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Analysis results show that the models can be used to capture stock market index movements, whereas artificial neural network algorithm is a better classifier.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In addition to the uncertainty and chaotic movements of the financial time series, the nonlinear dynamic structure makes the forecasts very difficult.
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Key Findings & Data:In this study, the problem of forecasting the direction of BIST 100 index movements is discussed.
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Conclusion & Impact:Analysis results show that the models can be used to capture stock market index movements, whereas artificial neural network algorithm is a better classifier.
🔬Design:Modeling & Simulation
📍Scope:2009-2018 Verileri
⚙️Variables:BIST100 · yapay sinir ağları · destek vektör makineleri

Abstract

In addition to the uncertainty and chaotic movements of the financial time series, the nonlinear dynamic structure makes the forecasts very difficult. The fact that the stock market index are affected by the political changes, the general outlook of the economy, the investors' expectations and investment preferences, and the movements of other indexes, make the index estimates quite difficult but attractive. It is known that the machine learning algorithms are successful in estimating stock index movements and their future values. In this study, the problem of forecasting the direction of BIST 100 index movements is discussed. Three different machine learning algorithms, artificial neural networks, support vector machines and naïve Bayes classifier were used and their performances were compared. Ten technical indicators were used as inputs for the models. The data set consists of ten-year daily closing price values covering the 2009-2018 period. Analysis results show that the models can be used to capture stock market index movements, whereas artificial neural network algorithm is a better classifier.

Özet

Finansal zaman serilerinin barındırdığı belirsizlik, kaotik hareketler yanında doğrusal olmayan dinamik yapı, tahminleri oldukça güçleştirmektedir. Borsa endekslerinin politik değişimler, ekonominin genel görünümü, yatırımcıların beklenti ve yatırım tercihleri ve diğer endekslerin hareketleri gibi birçok makroekonomik faktörden etkilenmeleri, endeks tahminlerini oldukça zor ancak bir o kadar da çekici kılmaktadır. Borsa endeksi hareketleri ve geleceğe dönük tahminler üretmede makine öğrenme algoritmalarının başarılı oldukları bilinmektedir. Bu çalışmada BIST 100 endeksi hareketlerinin yönünün tahmin edilmesi problemi ele alınmıştır. Üç farklı makine öğrenme algoritması olan yapay sinir ağları, destek vektör makineleri ve naive Bayes sınıflandırıcı algoritması kullanılmış ve performansları karşılaştırılmıştır. Borsa endeksi tahminleri için kullanılan on teknik gösterge modeller için girdi olarak kullanılmıştır. Veri seti 2009-2018 periyodunu kapsayan günlük kapanış değerlerini içermektedir. Analiz sonuçları, her üç modelin de borsa endeks hareketlerini yakalamada kullanılabilir olduğunu, yapay sinir ağı algoritmasının ise daha iyi bir sınıflandırıcı olduğunu göstermiştir.

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Cite This Article

PABUÇCU, H. (2019). PREDICTING STOCK MARKET MOVEMENT BY USING MACHINELEARNING ALGORITHM. Uluslararası İktisadi ve İdari İncelemeler Dergisi, Sayı: 23, 179–190. https://ajindex.com/articles/321868

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