Sector-Based Stock Price Prediction with Machine Learning Models

Doğangün Kocaoğlu; Korhan Turgut; Mehmet Zeki Konyar

doi:10.35377/saucis...1200151

EN

Sector-Based Stock Price Prediction with Machine Learning Models

Abstract

Stock price prediction is an important topic for investors and companies. The increasing effect of machine learning methods in every field also applies to stock forecasting. In this study, it is aimed to predict the future prices of the stocks of companies in different sectors traded on the Borsa Istanbul (BIST) 30 Index. For the study, the data of two companies selected as examples from each of the holding, white goods, petrochemical, iron and steel, transportation and communication sectors were analyzed. In the study, in addition to the share analysis of the sectors, the price prediction performances of the machine learning algorithm on a sectoral basis were examined. For these tests, XGBoost, Support Vector Machines (SVM), K-nearest neighbors (KNN) and Random Forest (RF) algorithms were used. The obtained results were analyzed with mean absolute error (MAE), mean absolute percent error (MAPE), mean squared error (MSE), and R2 correlation metrics. The best estimations on a sectoral basis were made for companies in the Iron and Steel and Petroleum field. One of the most important innovations in the study is the examination of the effect of current macro changes on the forecasting model. As an example, the effect of the changes in the Central Bank Governors, which took place three times in the 5-year period, on the forecast was investigated. The results showed that the unpredictable effects on the policies after the change of Governors also negatively affected the forecast performance

Keywords

Thanks

This study was partially carried out in the Software Technologies Research Laboratory (STAR Lab) of the Kocaeli University Software Engineering Department.

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Details

Primary Language

English

Subjects

Artificial Intelligence , Software Engineering

Journal Section

Research Article

Authors

Doğangün Kocaoğlu
0000-0002-5983-7855
Türkiye

Korhan Turgut
0000-0001-8759-3678
Türkiye

Mehmet Zeki Konyar ^*
0000-0001-8914-5553
Türkiye

Publication Date

December 31, 2022

Submission Date

November 7, 2022

Acceptance Date

November 30, 2022

Published in Issue

Year 2022 Volume: 5 Number: 3

DOI

https://doi.org/10.35377/saucis...1200151

IZ

https://izlik.org/JA84NW84KN

Cite

RIS / Bibtex

APA

Kocaoğlu, D., Turgut, K., & Konyar, M. Z. (2022). Sector-Based Stock Price Prediction with Machine Learning Models. Sakarya University Journal of Computer and Information Sciences, 5(3), 415-426. https://doi.org/10.35377/saucis...1200151

AMA

1.Kocaoğlu D, Turgut K, Konyar MZ. Sector-Based Stock Price Prediction with Machine Learning Models. SAUCIS. 2022;5(3):415-426. doi:10.35377/saucis.1200151

Chicago

Kocaoğlu, Doğangün, Korhan Turgut, and Mehmet Zeki Konyar. 2022. “Sector-Based Stock Price Prediction With Machine Learning Models”. Sakarya University Journal of Computer and Information Sciences 5 (3): 415-26. https://doi.org/10.35377/saucis. 1200151.

EndNote

Kocaoğlu D, Turgut K, Konyar MZ (December 1, 2022) Sector-Based Stock Price Prediction with Machine Learning Models. Sakarya University Journal of Computer and Information Sciences 5 3 415–426.

IEEE

[1]D. Kocaoğlu, K. Turgut, and M. Z. Konyar, “Sector-Based Stock Price Prediction with Machine Learning Models”, SAUCIS, vol. 5, no. 3, pp. 415–426, Dec. 2022, doi: 10.35377/saucis...1200151.

ISNAD

Kocaoğlu, Doğangün - Turgut, Korhan - Konyar, Mehmet Zeki. “Sector-Based Stock Price Prediction With Machine Learning Models”. Sakarya University Journal of Computer and Information Sciences 5/3 (December 1, 2022): 415-426. https://doi.org/10.35377/saucis. 1200151.

JAMA

1.Kocaoğlu D, Turgut K, Konyar MZ. Sector-Based Stock Price Prediction with Machine Learning Models. SAUCIS. 2022;5:415–426.

MLA

Kocaoğlu, Doğangün, et al. “Sector-Based Stock Price Prediction With Machine Learning Models”. Sakarya University Journal of Computer and Information Sciences, vol. 5, no. 3, Dec. 2022, pp. 415-26, doi:10.35377/saucis. 1200151.

Vancouver

1.Doğangün Kocaoğlu, Korhan Turgut, Mehmet Zeki Konyar. Sector-Based Stock Price Prediction with Machine Learning Models. SAUCIS. 2022 Dec. 1;5(3):415-26. doi:10.35377/saucis. 1200151