Stock market direction prediction using deep neural networks

Abstract

In this study, the daily movement directions of three frequently traded stocks (GARAN, THYAO and ISCTR) in Borsa Istanbul were predicted using deep neural networks. Technical indicators obtained from individual stock prices and dollar-gold prices were used as features in the prediction. Class labels indicating the movement direction were found using daily close prices of the stocks and they were aligned with the feature vectors. In order to perform the prediction process, the type of deep neural network, Convolutional Neural Network, was trained and the performance of the classification was evaluated by the accuracy and F-measure metrics. In the experiments performed, using both price and dollar-gold features, the movement directions in GARAN, THYAO and ISCTR stocks were predicted with the accuracy rates of 0.61, 0.578 and 0.574 respectively. Compared to using the price based features only, the use of dollar-gold features improved the classification performance.