BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ

Hakan Pabuçcu

doi:10.18092/ulikidince.484138

EN TR

BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ

Öz

Finansal zaman serilerinin barındırdığı belirsizlik, kaotik hareketler yanında doğrusal olmayan dinamik yapı, tahminleri oldukça güçleştirmektedir. Borsa endekslerinin politik değişimler, ekonominin genel görünümü, yatırımcıların beklenti ve yatırım tercihleri ve diğer endekslerin hareketleri gibi birçok makroekonomik faktörden etkilenmeleri, endeks tahminlerini oldukça zor ancak bir o kadar da çekici kılmaktadır. Borsa endeksi hareketleri ve geleceğe dönük tahminler üretmede makine öğrenme algoritmalarının başarılı oldukları bilinmektedir. Bu çalışmada BIST 100 endeksi hareketlerinin yönünün tahmin edilmesi problemi ele alınmıştır. Üç farklı makine öğrenme algoritması olan yapay sinir ağları, destek vektör makineleri ve naive Bayes sınıflandırıcı algoritması kullanılmış ve performansları karşılaştırılmıştır. Borsa endeksi tahminleri için kullanılan on teknik gösterge modeller için girdi olarak kullanılmıştır. Veri seti 2009-2018 periyodunu kapsayan günlük kapanış değerlerini içermektedir. Analiz sonuçları, her üç modelin de borsa endeks hareketlerini yakalamada kullanılabilir olduğunu, yapay sinir ağı algoritmasının ise daha iyi bir sınıflandırıcı olduğunu göstermiştir.

Anahtar Kelimeler

BIST100,yapay sinir ağları,destek vektör makineleri,naive Bayes,makine öğrenme

Kaynakça

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Ayrıntılar

Birincil Dil

Türkçe

Konular

-

Bölüm

Araştırma Makalesi

Yazarlar

Hakan Pabuçcu ^*
0000-0003-2267-5175
Türkiye

Yayımlanma Tarihi

9 Nisan 2019

Gönderilme Tarihi

16 Kasım 2018

Kabul Tarihi

25 Ocak 2019

Yayımlandığı Sayı

Yıl 2019 Sayı: 23

DOI

https://doi.org/10.18092/ulikidince.484138

IZ

https://izlik.org/JA37DC92PR

APA

Pabuçcu, H. (2019). BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 23, 179-190. https://doi.org/10.18092/ulikidince.484138

AMA

1.Pabuçcu H. BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ. UİİİD. 2019;(23):179-190. doi:10.18092/ulikidince.484138

Chicago

Pabuçcu, Hakan. 2019. “BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ”. Uluslararası İktisadi ve İdari İncelemeler Dergisi, sy 23: 179-90. https://doi.org/10.18092/ulikidince.484138.

EndNote

Pabuçcu H (01 Nisan 2019) BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ. Uluslararası İktisadi ve İdari İncelemeler Dergisi 23 179–190.

IEEE

[1]H. Pabuçcu, “BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ”, UİİİD, sy 23, ss. 179–190, Nis. 2019, doi: 10.18092/ulikidince.484138.

ISNAD

Pabuçcu, Hakan. “BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ”. Uluslararası İktisadi ve İdari İncelemeler Dergisi. 23 (01 Nisan 2019): 179-190. https://doi.org/10.18092/ulikidince.484138.

JAMA

1.Pabuçcu H. BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ. UİİİD. 2019;:179–190.

MLA

Pabuçcu, Hakan. “BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ”. Uluslararası İktisadi ve İdari İncelemeler Dergisi, sy 23, Nisan 2019, ss. 179-90, doi:10.18092/ulikidince.484138.

Vancouver

1.Hakan Pabuçcu. BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ. UİİİD. 01 Nisan 2019;(23):179-90. doi:10.18092/ulikidince.484138