Year 2019, Volume , Issue 23, Pages 179 - 190 2019-04-09

BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ
PREDICTING STOCK MARKET MOVEMENT BY USING MACHINELEARNING ALGORITHM

Hakan PABUÇCU [1]

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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.

In addition to the uncertainty and chaotic movements of the financial time series, the nonlinear dynamic structure makes the forecasts very difficult. The fact that the stock market index are affected by the political changes, the general outlook of the economy, the investors' expectations and investment preferences, and the movements of other indexes, make the index estimates quite difficult but attractive. It is known that the machine learning algorithms are successful in estimating stock index movements and their future values. In this study, the problem of forecasting the direction of BIST 100 index movements is discussed. Three different machine learning algorithms, artificial neural networks, support vector machines and naïve Bayes classifier were used and their performances were compared. Ten technical indicators were used as inputs for the models. The data set consists of ten-year daily closing price values covering the 2009-2018 period. Analysis results show that the models can be used to capture stock market index movements, whereas artificial neural network algorithm is a better classifier.

BIST100, yapay sinir ağları, destek vektör makineleri, naive Bayes, makine öğrenme
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Primary Language tr
Subjects Social
Journal Section Articles
Authors

Orcid: 0000-0003-2267-5175
Author: Hakan PABUÇCU (Primary Author)
Institution: BAYBURT ÜNİVERSİTESİ
Country: Turkey


Bibtex @research article { ulikidince484138, journal = {Uluslararası İktisadi ve İdari İncelemeler Dergisi}, issn = {1307-9832}, eissn = {1307-9859}, address = {Kenan ÇELİK}, year = {2019}, volume = {}, pages = {179 - 190}, doi = {10.18092/ulikidince.484138}, title = {BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ}, key = {cite}, author = {PABUÇCU, Hakan} }
APA PABUÇCU, H . (2019). BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ. Uluslararası İktisadi ve İdari İncelemeler Dergisi, (23), 179-190. DOI: 10.18092/ulikidince.484138
MLA PABUÇCU, H . "BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ". Uluslararası İktisadi ve İdari İncelemeler Dergisi (2019): 179-190 <http://dergipark.org.tr/ulikidince/issue/41810/484138>
Chicago PABUÇCU, H . "BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ". Uluslararası İktisadi ve İdari İncelemeler Dergisi (2019): 179-190
RIS TY - JOUR T1 - BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ AU - Hakan PABUÇCU Y1 - 2019 PY - 2019 N1 - doi: 10.18092/ulikidince.484138 DO - 10.18092/ulikidince.484138 T2 - Uluslararası İktisadi ve İdari İncelemeler Dergisi JF - Journal JO - JOR SP - 179 EP - 190 VL - IS - 23 SN - 1307-9832-1307-9859 M3 - doi: 10.18092/ulikidince.484138 UR - https://doi.org/10.18092/ulikidince.484138 Y2 - 2019 ER -
EndNote %0 International Journal of Economics and Administrative Studies BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ %A Hakan PABUÇCU %T BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ %D 2019 %J Uluslararası İktisadi ve İdari İncelemeler Dergisi %P 1307-9832-1307-9859 %V %N 23 %R doi: 10.18092/ulikidince.484138 %U 10.18092/ulikidince.484138
ISNAD PABUÇCU, Hakan . "BORSA ENDEKSİ HAREKETLERİNİN MAKİNE ÖĞRENME ALGORİTMALARI İLE TAHMİNİ". Uluslararası İktisadi ve İdari İncelemeler Dergisi / 23 (April 2019): 179-190. https://doi.org/10.18092/ulikidince.484138