Predicting direction of stock price index movement using artificial neural networks and support vector machines: The sample of the Istanbul Stock Exchange

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dc.contributor.authorKara, Yakup
dc.contributor.authorBoyacioglu, Melek Acar
dc.contributor.authorBaykan, Omer Kaan
dc.date.accessioned2020-03-26T18:15:42Z
dc.date.available2020-03-26T18:15:42Z
dc.date.issued2011
dc.departmentSelçuk Üniversitesien_US
dc.description.abstractPrediction of stock price index movement is regarded as a challenging task of financial time series prediction. An accurate prediction of stock price movement may yield profits for investors. Due to the complexity of stock market data, development of efficient models for predicting is very difficult. This study attempted to develop two efficient models and compared their performances in predicting the direction of movement in the daily Istanbul Stock Exchange (ISE) National 100 Index. The models are based on two classification techniques, artificial neural networks (ANN) and support vector machines (SVM). Ten technical indicators were selected as inputs of the proposed models. Two comprehensive parameter setting experiments for both models were performed to improve their prediction performances. Experimental results showed that average performance of ANN model (75.74%) was found significantly better than that of SVM model (71.52%). (C) 2010 Elsevier Ltd. All rights reserved.en_US
dc.identifier.doi10.1016/j.eswa.2010.10.027en_US
dc.identifier.endpage5319en_US
dc.identifier.issn0957-4174en_US
dc.identifier.issn1873-6793en_US
dc.identifier.issue5en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage5311en_US
dc.identifier.urihttps://dx.doi.org/10.1016/j.eswa.2010.10.027
dc.identifier.urihttps://hdl.handle.net/20.500.12395/26736
dc.identifier.volume38en_US
dc.identifier.wosWOS:000287419900072en_US
dc.identifier.wosqualityQ1en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherPERGAMON-ELSEVIER SCIENCE LTDen_US
dc.relation.ispartofEXPERT SYSTEMS WITH APPLICATIONSen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.selcuk20240510_oaigen_US
dc.subjectArtificial neural networksen_US
dc.subjectSupport vector machinesen_US
dc.subjectPredictionen_US
dc.subjectStock price indexen_US
dc.titlePredicting direction of stock price index movement using artificial neural networks and support vector machines: The sample of the Istanbul Stock Exchangeen_US
dc.typeArticleen_US

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