Abstract
In this study, Artificial Neural Networks and Support Vector Machines which are widely used machine learning methods were examined. Usability of these methods for the prediction of the Istanbul Stock Exchange (ISE) National 100 Index (currently named BIST—100) movement direction was investigated. In the analysis, performances of these methods on the 2005–2011 period data sets containing technical indicators, other stock market indices and common macroeconomic indicators were compared. The results showed that technical variables give better performances than other variables. Later, a data set that predicts the stock index movement direction most accurately with a minimum number of variables was formed by feature selection on the aggregation of the mentioned data sets. Artificial Neural Networks gave better results than Support Vector Machines for all analyzes.
This study is a summary of Ph.D. thesis written by Şenol Emir in the Department of Quantitative Methods (Institute of Social Sciences, Istanbul University, 2013).
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Abe, S. (2010). Support vector machines for pattern classification. London: Springer.
Akcan, A., & Kartal, C. (2011). İMKB Sigorta Endeksini Oluşturan Şirketlerin Hisse Senedi Fiyatlarının Yapay Sinir Ağları İle Tahmini. Muhasebe ve Finansman Dergisi, 27–40.
Alpaydın, E. (2009). Introduction to machine learning. Cambridge: MIT.
Alpaydın, E. (2011). Yapay Öğrenme. İstanbul: Boğaziçi Üniversitesi Yayınevi.
Belousov, A. I., Verzakov, S. A., & von Frese, J. (2002). A flexible classification approach with optimal generalisation performance: Support vector machines. Chemometrics and Intelligent Laboratory Systems, 64(1), 15–25.
Bennett, K. P., & Campbell, C. (2000). Support vector machines: Hype or hallelujah? ACM SIGKDD Explorations Newsletter, 2(2), 1–13.
Boser, B. E., Guyon, I. M., & Vapnik, V. N. (1992). A training algorithm for optimal margin classifiers. In Proceedings of the Fifth Annual Workshop on Computational Learning Theory (pp. 144–152).
Boyacioglu, M. A., & Avci, D. (2010). An adaptive network-based fuzzy inference system (ANFIS) for the prediction of stock market return: The case of the Istanbul stock exchange. Expert Systems with Applications, 37(12), 7908–7912.
Boyd, S., & Vandenberghe, L. (2004). Convex optimization. London: Cambridge University Press.
Burges, C. J. C. (1998). A tutorial on support vector machines for pattern recognition. Data Mining and Knowledge Discovery, 2(2), 121–167.
Cherkassky, V., & Mulier, F. (2007). Learning from data: Concepts, theory, and methods. New York: Wiley-IEEE Press.
Çinko, M., & Avcı, E. (2007). A comparison of neural network and linear regression forecasts of the ISE-100 index. Öneri, 7(28), 301–307.
Clarke, B., Fokoue, E., & Hao, Z. (2009). Principles and theory for data mining and machine learning. New York: Springer.
Cortes, C., & Vapnik, V. (1995). Support-vector networks. Machine Learning, 20(3), 273–297.
Cover, T. M. (1965). Geometrical and statistical properties of systems of linear inequalities with applications in pattern recognition. IEEE Transactions on Electronic Computers, 14, 326–334.
Cox, P. G., & Adhami, R. (2002). Multi-class support vector machine classifier applied to hyper-spectral data. In Proceedings of the Thirty-Fourth Southeastern Symposium on System Theory (271–274).
Cristianini, N., & Schölkopf, B. (2002). Support vector machines and kernel methods: The new generation of learning machines. AI Magazine, 23(3), 31–41.
Diler, A. İ. (2003). İMKB Ulusal 100 Endeksinin Yönünün Yapay Sinir Ağları Hata Geriye Yayma Yöntemi ile Tahmin Edilmesi. İMKB Dergisi, 7(25), 65–81.
Dogan, N., & Yalcin, Y. (2007). The effects of the exchange rate movements on the Istanbul stock exchange. Applied Financial Economics Letters, 3(1), 39–46.
Du, K. L., & Swamy, M. N. S. (2006). Neural networks in a Softcomputing framework. New York: Springer.
Dunis, C. L., Rosillo, R., & de la Fuente, D. (2012). Forecasting IBEX-35 moves using support vector machines. Neural Computing and Applications, 23(1), 229–236.
Efe, M. Ö., & Kaynak, O. (2000). Yapay Sinir Ağları Ve Uygulamaları. İstanbul: Boğaziçi Üniversitesi Yayınları.
Erdem, C., Arslan, C. K., & Erdem, M. S. (2005). Effects of macroeconomic variables on Istanbul stock exchange indexes. Applied Financial Economics, 15(14), 987–994.
Erdinç, Y. (2004). Yatırımcı ve Teknik Analiz Sorgulanıyor. Ankara: Siyasal Kitabevi.
Eryiğit, M. (2009). Effects of oil price changes on the sector indices of Istanbul stock exchange. International Research Journal of Finance and Economics, 25, 209–216.
Evgeniou, T., Pontil, M., & Poggio, T. (2000). Statistical learning theory: A primer. International Journal of Computer Vision, 38(1), 9–13.
Evgeniou, T., Poggio, T., Pontil, M., & Verri, A. (2002). Regularization and statistical learning theory for data analysis. Computational Statistics & Data Analysis, 38(4), 421–432.
Gençtürk, M. (2009). Finansal Kriz Dönemlerinde Makroekonomik Faktörlerin Hisse Senedi Fiyatlarına Etkisi. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 14(1), 127–136.
Hamel, L. H. (2009). Knowledge discovery with support vector machines. Hoboken, NJ: Wiley-Interscience.
Haykin, S. (1999). Neural networks: A comprehensive foundation. Upper Saddle River: Prentice Hall.
Huang, W., Nakamori, Y., & Wang, S. Y. (2005). Forecasting stock market movement direction with support vector machine. Computers & Operations Research, 32(10), 2513–2522.
Huang, T. M., Kecman, V., & Kopriva, I. (2006). Kernel based algorithms for mining huge data sets: Supervised, semi-supervised, and unsupervised learning. New York: Springer.
Ivanciuc, O. (2007). Applications of support vector machines in chemistry. Reviews in Computational Chemistry, 26, 291–400.
Jain, A. K., Mao, J., & Mohiuddin, K. M. (1996). Artificial neural networks: A tutorial. Computer, 29(3), 31–44.
Kara, Y., Boyacioglu, M. A., & Baykan, Ö. K. (2011). Predicting direction of stock price index movement using artificial neural networks and support vector machines: The sample of the Istanbul stock exchange. Expert Systems with Applications, 28(5), 5311–5319.
Kecman, V. (2001). Learning and soft computing: Support vector machines, neural networks and fuzzy logic models. Cambridge: A Bradford Book.
Kim, K. J. (2003). Financial time series forecasting using support vector machines. Neurocomputing, 55(1), 307–319.
Kim, K. J., & Han, I. (2000). Genetic algorithms approach to feature discretization in artificial neural networks for the prediction of stock price index. Expert Systems with Applications, 19(2), 125–132.
Korkmaz, T., Çevik, E. I., Birkan, E., & Özataç, N. (2011). Causality in mean and variance between ISE 100 and S&P 500: Turkcell case. African Journal of Business Management, 5(5), 1673–1683.
Kriesel, D. (2007). A brief introduction to neural networks. Retrieved from http://www.dkriesel.com
Kutlu, B., & Badur, B. (2009). Yapay Sinir Ağları Ile Borsa Endeksi Tahmini. Yönetim, 20(63), 25–40.
Larose, D. T. (2005). Discovering knowledge in data: An introduction to data mining. Hoboken, NJ: Wiley-Interscience.
Mammone, A., Turchi, M., & Cristianini, N. (2009). Support vector machines. Wiley Interdisciplinary Reviews: Computational Statistics, 1(3), 283–289.
Mavroforakis, M. E., & Theodoridis, S. (2006). A geometric approach to support vector machine (SVM) classification. IEEE Transactions on Neural Networks, 17(3), 671–682.
Mehrotra, K., Mohan, C. K., & Ranka, S. (1997). Elements of artificial neural networks. Complex adaptive systems series. Cambridge: MIT.
Mitchell, T. (1997). Machine learning. New York: McGraw-Hill.
Moguerza, J. M., & Muñoz, A. (2006). Support vector machines with applications. Statistical Science, 21(3), 322–336.
Munakata, T. (2008). Fundamentals of the new artificial intelligence: Neural, evolutionary, fuzzy and more. London: Springer.
Özdemir, A. K., Tolun, S., & Demirci, E. (2011). Endeks Getirisi Yönünün İkili Sınıflandırma Yöntemiyle Tahmin Edilmesi: IMKB-100 Endeks Örneği. Niğde Üniversitesi İİBF Dergisi, 4(2), 45–59.
Ozun, A. (2007). Are the reactions of emerging equity markets to the volatility in advanced markets similar? Comparative evidence from Brazil and Turkey. International Research Journal of Finance and Economics, 9, 220–230.
Perşembe, A. (2010). Teknik Analiz mi Dedin? Hadi Canım Sen De! Üçüncü Kitap. İstanbul: Scala Yayıncılık.
Pontil, M., & Verri, A. (1998). Properties of support vector machines. Neural Computation, 10(4), 955–974.
Ramon, M. M., & Christodoulou, C. (2006). Support vector machines for antenna array processing and electromagnetics. San Rafael, CA: Morgan & Claypool.
Reed, R. D., & Marks, R. J. (1999). Neural smithing: Supervised learning. Cambridge: MIT.
Rumelhart, D. E., Hinton, G. E., & Williams, R. J. (1986). Learning representations by back-propagating errors. Nature, 323, 533–536.
Schölkopf, B., & Smola, A. J. (2001). Learning with kernels: Support vector machines, regularization, optimization, and beyond. Cambridge, MA: MIT.
Steinwart, I., & Christmann, A. (2008). Support vector machines. New York: Springer.
Türsoy, T., Nil, G., & Rjoub, H. (2008). Macroeconomic factors, the APT and the Istanbul stock market. International Research Journal of Finance and Economics, 22, 49–57.
Vapnik, V. N. (1998). Statistical learning theory. New York: Wiley-Interscience.
Vapnik, V. N. (1999). An overview of statistical learning theory. IEEE Transactions on Neural Networks, 10(5), 988–999.
Von Luxburg, U., & Schölkopf, B. (2008). Statistical learning theory: Models, concepts, and results. arXiv Preprint arXiv:0810.4752.
Vuran, B. (2010). The determination of long-run relationship between ISE 100 and international equity indices using cointegration analysis. Istanbul University Journal of the School of Business Administration, 39(1), 154–168.
Wang, X., & Zhong, Y. (2003). Statistical learning theory and state of the art in SVM. In Proceedings of the Second IEEE International Conference on Cognitive Informatics (pp. 55–59).
Warren, W. S. (1994). Neural networks and statistical models. In Proceedings of the Nineteenth Annual SAS Users Group International Conference. Dallas, TX: SAS.
Wu, C. H., Ken, Y., & Huang, T. (2010). Patent classification system using a new hybrid genetic algorithm support vector machine. Applied Soft Computing, 10(4), 1164–1177.
Yegnanarayana, B. (2005). Artificial neural networks. New Delhi: Prentice-Hall of India.
Yıldız, B., Yalama, A., & Coşkun, M. (2008). Forecasting the Istanbul stock exchange national 100 index using an artificial neural network. World Academy of Science, Engineering and Technology, 46, 36–39.
Zügül, M., & Şahin, C. (2009). İMKB 100 Endeksi ile Bazı Makroekonomik Değişkenler Arasındaki İlişkiyi İncelemeye Yönelik Bir Uygulama. Akademik Bakış, 16, 1–16.
Zurada, J. M. (1992). Introduction to artificial neural systems. St. Paul: West Group.
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2020 Springer Nature Switzerland AG
About this chapter
Cite this chapter
Emir, Ş. (2020). Classification Performance Comparison of Artificial Neural Networks and Support Vector Machines Methods: An Empirical Study on Predicting Stock Market Index Movement Direction. In: Dincer, H., Yüksel, S. (eds) Strategic Priorities in Competitive Environments. Contributions to Management Science. Springer, Cham. https://doi.org/10.1007/978-3-030-45023-6_10
Download citation
DOI: https://doi.org/10.1007/978-3-030-45023-6_10
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-030-45022-9
Online ISBN: 978-3-030-45023-6
eBook Packages: Business and ManagementBusiness and Management (R0)