Deep Learning Based Price Prediction and Algorithmic Trading on BIST100

Abstract

This research addresses using deep learning-based methodologies for trading stocks in the BIST100 index. In particular, the focus is on recent market fluctuations. A deep learning-based trading algorithm called Predictive Trading Algorithm (PTA) is developed, and its success in predicting stock movements in various sectors represented in the BIST100 is evaluated. The study is based on data from August 2022 to December 2023, covering 270 trading days. Algorithmic trading is essential in the modern financial world thanks to its efficiency, speed, and precision in trade execution. Especially in dynamic markets such as the BIST100, the importance of algorithmic trading becomes even more evident due to the difficulties of traditional strategies in adapting to rapid changes and complexities. The methodology adopted in this study involves developing and applying a deep learning model to predict future stock movements using historical price, volume, stock index, and exchange rate data. This model forms the basis of a Predictive Trading Algorithm based on a defined set of rules to execute buy or sell orders. The main findings of the research show that the PTRA achieves remarkable success with an average profit of 15.87% on the selected stocks. These results emphasize the potential of algorithmic trading and the effectiveness of using deep learning methodologies in financial markets.

Keywords

• Algorithmic Trading
• Price Prediction
• Deep Learning
• Predictive Trading Algorithm

Derin Öğrenme Tabanlı Fiyat Tahmini ve Algoritmik Ticaret: BİST100 Endeksinde Bir Uygulama

Öz

Bu araştırma, BİST100 endeksinde yer alan hisse senetlerinin alım satımı için derin öğrenme tabanlı metodolojilerin kullanılmasını ele almaktadır. Özellikle, son dönemdeki piyasa dalgalanmaları üzerine yoğunlaşılmıştır. Tahmine Dayalı İşlem Algoritması (TDİA) adı verilen, derin öğrenme esaslı bir işlem algoritması geliştirilmiş ve bu algoritmanın BİST100'de temsil edilen çeşitli sektörlerdeki hisse senedi hareketlerini tahmin etme ve işlem gerçekleştirme başarısı değerlendirilmiştir. Çalışma, Ağustos 2022'den Aralık 2023'e kadar olan ve toplam 270 işlem gününü kapsayan veriler üzerine kuruludur. Algoritmik ticaret, ticaretin yürütülmesinde sağladığı verimlilik, hız ve hassasiyet sayesinde modern finans dünyasında önemli bir yere sahiptir. Özellikle BİST100 gibi dinamik piyasalarda, algoritmik alım satımın önemi, geleneksel stratejilerin hızlı değişimlere ve karmaşıklıklara uyum sağlama konusundaki zorlukları nedeniyle daha da belirginleşmektedir. Bu çalışmada benimsenen metodoloji, geçmiş fiyat, hacim, hisse senedi endeksi ve döviz kuru verilerini kullanarak gelecekteki hisse senedi hareketlerini tahmin etmeye yönelik derin öğrenme modelinin geliştirilmesini ve uygulanmasını kapsamaktadır. Bu model, alım veya satım emirlerini gerçekleştirmek üzere tanımlanmış kurallar seti üzerinde çalışan bir Tahmine Dayalı İşlem Algoritması'nın temelini oluşturmaktadır. Araştırmanın temel bulguları, TDİA'nın seçilen hisse senetlerinde ortalama %15,87 kar ile kayda değer bir başarı elde ettiğini göstermektedir. Bu sonuçlar, algoritmik ticaretin potansiyelini ve derin öğrenme metodolojilerinin finansal piyasalarda kullanımının etkinliğini vurgulamaktadır.

Anahtar Kelimeler

• Algoritmik Ticaret
• Fiyat Tahmini
• Derin Öğrenme
• Tahmine Dayalı İşlem Algoritması

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