Performance of Deep Learning Models on Imputed Time Series Data: A Simulation Study and Application to Leading Airline Companies' Stock Price

Yıl 2025, Cilt: 37 Sayı: UYIK 2024 Special Issue, 30 - 39

İsmail Yenilmez , Kürşat Atmaca

https://doi.org/10.7240/jeps.1504048

Öz

In this study, the validity of imputation techniques for deep learning methods in time series analysis is investigated using datasets based on daily closing data in the stock market. Datasets of daily closing stock prices for Turkish Airlines, Deutsche Lufthansa AG, and Delta Airlines, as well as a simulated dataset, are used. LSTM, GRU, RNN, and Transformer models, which are deep learning models, are employed. The original dataset and datasets with 5%, 15% and 25% missing data are analyzed imputing linear, spline, Stineman, mean and random imputation techniques. The results show that model performance varies depending on the imputation technique and the rate of missing data. GRU and Transformer models are favored for their robustness and excellent performance. For handling missing data, using spline and Stineman imputations is advisable to maintain high model accuracy. This study emphasizes the usability of various imputation techniques and deep learning models in time series analysis. It assesses model performance using both MAPE and RMSE to gain a comprehensive understanding of predictive accuracy and reliability, aiming to guide future research by comparing these methods.

Anahtar Kelimeler

Missing Data, Synthetic Data, Transformer Model, RNN, Simulation, Airline Stocks

Etik Beyan

Disclaimer: The data utilized in this study are publicly accessible real-world datasets. This research focused on evaluating the performance of various deep learning methods and imputation techniques using these datasets. The study does not provide any commentary or recommendations regarding the buying, selling, or other actions related to companies' stocks. Therefore, we bear no responsibility for such actions. As the data used are publicly available, no permissions were required for this study.

Destekleyen Kurum

Eskişehir Technical University

Proje Numarası

23ADP172

Teşekkür

This study was supported by Eskişehir Technical University Scientific Research Project Commission under grant no: 23ADP172. This study was produced from Kürşat Atmaca's Master's Thesis, which was supervised by Dr. İsmail Yenilmez. An earlier version of this study was presented at UYİK-2024

Tamamlanmış Zaman Serisi Verilerinde Derin Öğrenme Modellerinin Performansı: Bir Simülasyon Çalışması ve Önde Gelen Havayolu Şirketlerinin Hisse Senedi Fiyatlarına Uygulama

Öz

Bu çalışmada, zaman serisi analizinde derin öğrenme yöntemleri için imputasyon tekniklerinin geçerliliği, hisse senedi piyasasındaki günlük kapanış verilerine dayalı veri kümeleri kullanılarak araştırılmıştır. Türk Hava Yolları, Deutsche Lufthansa AG ve Delta Airlines'ın günlük kapanış hisse senedi fiyatlarının yanı sıra simüle edilmiş bir veri kümesi kullanılmıştır. Derin öğrenme modelleri olan LSTM, GRU, RNN ve Transformer modelleri kullanılmıştır. Orijinal veri kümesi ve %5, %15 ve %25 eksik gözleme sahip veri kümeleri, Doğrusal, Spline, Stineman, Ortalama ve Rastgele atama teknikleri ile doldurularak analiz edilmiştir. Sonuçlar, model performansının atama tekniğine ve eksik veri oranına bağlı olarak değiştiğini göstermektedir. GRU ve Transformer modelleri, dayanıklılıkları ve mükemmel performansları nedeniyle tercih edilmektedir. Eksik verilerle başa çıkmak için spline ve Stineman atama tekniklerinin kullanılması, yüksek model doğruluğunu korumak açısından önerilmektedir. Bu çalışma, zaman serisi analizinde çeşitli atama tekniklerinin ve derin öğrenme modellerinin kullanılabilirliğini vurgulamaktadır. Araştırma model performansı, tahmin doğruluğu ve güvenilirliği hakkında kapsamlı bir anlayış elde etmek için hem MAPE hem de RMSE kullanarak değerlendirmeyi ve bu yöntemleri karşılaştırarak gelecekteki araştırmalara rehberlik etmeyi amaçlamaktadır.

Anahtar Kelimeler

Eksik Veri, Sentetik Veri, Transformer Model, RNN, Simülasyon, Hava Yolu Hisse Senetleri

Destekleyen Kurum

Eskişehir Technical University

Proje Numarası

23ADP172

Kaynakça

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