Intraday prediction of Borsa Istanbul using convolutional neural networks and feature correlations

Gunduz H., Yaslan Y., Çataltepe Z.

KNOWLEDGE-BASED SYSTEMS, cilt.137, ss.138-148, 2017 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 137
  • Basım Tarihi: 2017
  • Doi Numarası: 10.1016/j.knosys.2017.09.023
  • Dergi Adı: KNOWLEDGE-BASED SYSTEMS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.138-148
  • Anahtar Kelimeler: Stock market prediction, Deep learning, Borsa Istanbul, Convolutional neural networks, CNN, Feature selection, Feature correlations, SELECTION, VECTOR, MODELS
  • Kocaeli Üniversitesi Adresli: Hayır

Özet

Stock market price data have non-linear, noisy and non-stationary structure, and therefore prediction of the price or its direction are both challenging tasks. In this paper, we propose a Convolutional Neural Network (CNN) architecture with a specifically ordered feature set to predict the intraday direction of Borsa Istanbul 100 stocks. Feature set is extracted using different indicators, price and temporal information. Correlations between instances and features are utilized to order the features before they are presented as inputs to the CNN. The proposed classifier is compared with a CNN trained with randomly ordered features and Logistic Regression. Experimental results show that the proposed classifier outperforms both Logistic Regression and CNN that utilizes randomly ordered features. Feature selection methods are also utilized to reduce training time and model complexity. (C) 2017 Elsevier B.V. All rights reserved.