Stock Price Forecasting with Deep Learning Techniques

Saracık, Özgür; İncekırık, Aynur

doi:https://doi.org/10.17093/alphanumeric.1357466

Stock Price Forecasting with Deep Learning Techniques

Özgür Saracık

Aynur İncekırık, Ph.D.

Abstract

In this study, LSTM (Long-Short Term Memory) and GRU (Gated Recurrent Unit) techniques of deep learning, which are among the latest advanced technologies, were applied in the Google Colab software program for stock price forecasting. The dataset used in the study was obtained from Yahoo Finance and covers the dates between 02/01/2013 and 30/12/2022. Forecast models were created by considering 5 companies belonging to the XELKT (Electricity Market in Borsa Istanbul) index, which is part of BIST (Borsa Istanbul). Subsequently, the success of these forecast models was tested with the calculated model performance criteria, aiming to determine whether the techniques used were successful in stock price forecasting. Additionally, based on the results of MSE (Mean Squared Error) and MAPE (Mean Absolute Percentage Error) among the calculated model performance criteria, the techniques used were compared with each other, aiming to determine which of these techniques provided forecasts with less error. Then, through the analysis conducted on four different days, an attempt was made to identify the day that yielded the most successful forecasts. As a final step, the goal was to find a model with the least error based on techniques, epoch number, and the number of days forecasted, considering both MSE and MAPE for stocks. Since the model performance criteria outputs obtained from these analyses are below 1 for MSE and below 5% for MAPE, it can be concluded that both techniques demonstrate successful stock price forecasting. Consequently, in the comparison between these two techniques, it is observed that the LSTM technique is slightly more successful than the GRU technique.

Keywords: BIST, Deep Learning, Forecasting Stock Price, GRU, LSTM, XELKT

Jel Classification: C46

Suggested citation

Saracık, Ö. & İncekırık, A. (2023). Stock Price Forecasting with Deep Learning Techniques. Alphanumeric Journal, 11(2), 137-156. https://doi.org/10.17093/alphanumeric.1357466

bibtex

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