Predicting the Istanbul Stock Exchange Index Return using Technical Indicators
Open Access
- 21 July 2013
- journal article
- Published by Center for Strategic Studies in Business and Finance SSBFNET in International Journal of Finance & Banking Studies (2147-4486)
- Vol. 2 (3), 111-117
- https://doi.org/10.20525/ijfbs.v2i3.158
Abstract
The aim of this study to examine the performance of Support Vector Regression (SVR) which is a novel regression method based on Support Vector Machines (SVM) approach in predicting the Istanbul Stock Exchange (ISE) National 100 Index daily returns. For bechmarking, results given by SVR were compared to those given by classical Linear Regression (LR). Dataset contains 6 technical indicators which were selected as model inputs for 2005-2011 period. Grid search and cross valiadation is used for finding optimal model parameters and evaluating the models. Comparisons were made based on Root Mean Square (RMSE), Mean Absolute Error (MAE), Mean Absolute Percentage Error (MAPE), Theil Inequality Coefficient (TIC) and Mean Mixed Error (MME) metrics. Results indicate that SVR outperforms the LR for all metrics.Keywords
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