Predicting Market Direction With Deep Learning: An Application on E-7 Country Stock Markets

Year 2025, Issue: 123, 92 - 111, 01.04.2025

Nazif Ayyıldız

Abstract

This study aims to examine the prediction performance of the deep learning method on the stock indices of E-7 countries, known as emerging market economies. In this context, the daily movement directions of the stock indices of IPC (Mexico), SSE (China), BIST 100 (Turkey), RTS (Russia), BOVESPA (Brazil), IDX (Indonesia), and NIFTY 50 (India) were predicted using the H2O deep learning model. Technical indicators calculated based on the daily closing prices between 01.01.2015 and 31.12.2024 were used as inputs for the model. The data was split into 80% training and 20% test sets during the prediction process. The calculated accuracy rates were 88.47% for the IPC index, 78.13% for SSE, 77.29% for BIST 100, 76.05% for RTS, 75.81% for BOVESPA, 75.05% for IDX, and 74.34% for NIFTY 50. The findings demonstrate that deep learning methods can predict stock index movements with a certain level of accuracy.

Keywords

Deep Learning, H2O Deep Learning Model, Classification, Developing Countries

Piyasa Yönünün Derin Öğrenme ile Tahmini: E-7 Ülke Borsaları Üzerine Bir Uygulama

Abstract

Bu çalışmada, derin öğrenme yönteminin yükselen piyasa ekonomileri olarak bilinen E-7 ülkelerinin borsa endeksleri üzerindeki tahmin performansının incelenmesi amaçlanmıştır. Bu bağlamda, IPC (Meksika), SSE (Çin), BIST 100 (Türkiye), RTS (Rusya), BOVESPA (Brezilya), IDX (Endonezya) ve NIFTY 50 (Hindistan) borsa endekslerinin günlük hareket yönleri H2O derin öğrenme modeli kullanılarak tahmin edilmiştir. Modelin girdileri olarak, 01.01.2015 ve 31.12.2024 tarihleri arasında günlük kapanış fiyatlarına dayalı olarak hesaplanan teknik göstergeler kullanılmıştır. Tahmin sürecinde veriler %80 eğitim ve %20 test seti olarak bölünmüştür. Hesaplanan doğruluk oranları IPC endeksi için %88,47, SSE için %78,13, BIST 100 için %77,29, RTS için %76,05, BOVESPA için %75,81, IDX için %75,05 ve NIFTY 50 için %74,34 olarak bulunmuştur. Elde edilen bulgular, derin öğrenme yöntemlerinin borsa endeksi hareketlerini belirli bir doğruluk düzeyiyle tahmin edebildiğini göstermektedir.

Keywords

Derin Öğrenme, H20 Derin Öğrenme Modeli, Sınıflandırma, Gelişmekte Olan Ülkeler.

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