Likiditenin Derin Öğrenme Hatalarına Etkisi

Öz

Bu çalışma, piyasa likiditesinin ve makroekonomik değişkenlerin finansal piyasalardaki derin öğrenme modellerinin tahmin performansı üzerindeki etkisini araştırmaktadır. Temel amaç, tek katmanlı bir Uzun Kısa Süreli Bellek (LSTM) modeli kullanarak BIST 30 endeksinde kote edilen on hisse senedine ilişkin fiyat hareketlerini tahmin etmek ve tahmin başarısızlıklarıyla ilişkili piyasa koşullarını tespit etmektir. 2006–2025 dönemini kapsayan günlük veriler kullanılarak iki aşamalı ampirik bir çerçeve uygulanmaktadır. İlk olarak, LSTM hiperparametreleri Bayesçi optimizasyon ve ileriye dönük doğrulama (walk-forward validation) yoluyla optimize edilmektedir. İkinci olarak, hisse senedi düzeyindeki likidite ölçütlerinin ve küresel makroekonomik değişkenlerin etkilerini incelemek üzere günlük Mutlak Yüzde Hata (APE), OLS-HAC ve EGARCH-X regresyonları kullanılarak modellenmektedir. Sonuçlar, LSTM modelinin on hisse senedinin tamamında %3.29 ile %8.40 arasında değişen MAPE değerleriyle iyi kalibre edilmiş tahminler ürettiğini göstermektedir. İşlem hacmi ve Amihud oranıyla ölçülen likidite düşüklüğü (illikidite), hisse senetlerinin çoğu için tahmin hatalarıyla pozitif yönde ilişkilidir. On hisse senedinden dokuzunda en az bir likidite göstergesi istatistiksel olarak anlamlıdır ve anlamlılığın gözlemlendiği durumlarda katsayı işaretleri tutarlılık sergilemektedir. Buna karşılık, makroekonomik ve küresel göstergeler sınırlı ve hisse senedine özgü etkiler ortaya koymaktadır. Bu bulgular, tahmin güvenilirliğini artırmak amacıyla likidite koşullarının derin öğrenme tabanlı finansal tahmin modellerine dahil edilmesinin önemini vurgulamaktadır.

Anahtar Kelimeler

• Derin Öğrenme
• LSTM
• Likidite
• Piyasa Etkinliği
• Tahmin Hatası

The Effect of Liquidity on Deep Learning Errors

Öz

This study investigates the impact of market liquidity and macroeconomic variables on the forecasting performance of deep learning models in financial markets. The primary objective is to forecast price movements for ten stocks listed on the BIST 30 index using a single-layer Long Short-Term Memory (LSTM) model and identify market conditions associated with prediction failures. A two-stage empirical framework is employed using daily data covering 2006–2025. First, LSTM hyperparameters are optimized through Bayesian optimization and walk-forward validation. Second, daily Absolute Percentage Error (APE) is modeled using OLS-HAC and EGARCH-X regressions to examine the effects of stock-level liquidity measures and global macroeconomic variables. Results show that the LSTM model generates well-calibrated forecasts across all ten equities, with MAPE values ranging from 3.29% to 8.40%. Trading volume and illiquidity, measured by the Amihud ratio, are positively associated with prediction errors for most stocks. At least one liquidity proxy is statistically significant for nine of the ten equities, with consistent coefficient signs where significance is observed. In contrast, macroeconomic and global indicators exhibit limited and stock-specific effects. These findings highlight the importance of incorporating liquidity conditions into deep learning-based financial forecasting models to improve forecast reliability.

Anahtar Kelimeler

• Deep Learning
• LSTM
• Liquidity
• Market Efficiency
• Prediction Error

Kaynakça

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