Predicting the Turkish Stock Market BIST 30 Index using Deep Learning

Halil RAŞO; Mehmet DEMİRCİ

doi:https://doi.org/10.29137/umagd.425560

Makale detayları

Predicting the Turkish Stock Market BIST 30 Index using Deep Learning

Yazarlar:

Halil RAŞO | Mehmet DEMİRCİ

Yayıncı:

Kirikkale University

Ana Başlıklar:

Mühendislik ve uygulamalı operasyonlar

Dergi:

International Journal of Engineering Research and Development 2019 Vol.11 Issue 1, pp.253-265

Belge Tipi:

Makale

Yayın Tarihi:

1/2019

Belge Dili:

İngilizce

Document ID (Org No.):

2000647335

Sıklık:

İki Yıllık

eISSN:

1308-5514

DOI:

https://doi.org/10.29137/umagd.425560

Özet:

 

The non-linearity and high change rates of stock
market index prices make prediction a challenging problem for traders and data
scientists. Data modeling and machine learning have been extensively utilized
for proposing solutions to this difficult problem. In recent years, deep
learning has proved itself in solving such complex problems. In this paper, we tackle
the problem of forecasting the Turkish Stock Market BIST 30 index
movements and prices. We propose a deep learning model fed with
technical indicators and oscillators calculated from historical index price
data. Experiments conducted by applying our model on a dataset gathered for a
period of 27 months on www.investing.com demonstrate that our solution
outperforms other similar proposals and attains good accuracy, achieving 0.0332,
0.109, 0.09, 0.1069 and 0.2581 as mean squared error in predicting BIST 30
index prices for the next five trading days. Based on these results, we argue
that using deep neural networks is advisable for stock market index prediction.

Makale detayları

Predicting the Turkish Stock Market BIST 30 Index using Deep Learning

Yazarlar: Halil RAŞO | Mehmet DEMİRCİ

Yayıncı: Kirikkale University

Ana Başlıklar: Mühendislik ve uygulamalı operasyonlar

Dergi: International Journal of Engineering Research and Development 2019 Vol.11 Issue 1, pp.253-265

Belge Tipi: Makale

Yayın Tarihi: 1/2019

Belge Dili: İngilizce

Document ID (Org No.): 2000647335

Sıklık: İki Yıllık

eISSN: 1308-5514

DOI: https://doi.org/10.29137/umagd.425560

Sayı

Yazarlar:

Halil RAŞO | Mehmet DEMİRCİ

Yayıncı:

Kirikkale University

Ana Başlıklar:

Mühendislik ve uygulamalı operasyonlar

Dergi:

International Journal of Engineering Research and Development 2019 Vol.11 Issue 1, pp.253-265

Belge Tipi:

Makale

Yayın Tarihi:

1/2019

Belge Dili:

İngilizce

Document ID (Org No.):

2000647335

Sıklık:

İki Yıllık

eISSN:

1308-5514

DOI:

https://doi.org/10.29137/umagd.425560