Author, as appears in the article.: Akyildirim, Erdinc; Bariviera, Aurelio F.; Duc Khuong Nguyen; Sensoy, Ahmet;
Department: Gestió d'Empreses
URV's Author/s: Fernández Bariviera, Aurelio
Keywords: Stock market Prediction Machine learning Index Forecasting Artificial neural-networks Algorithmic trading
Abstract: We compare the performance of various advanced forecasting techniques, namely artificial neural networks, k-nearest neighbors, logistic regression, Naive Bayes, random forest classifier, support vector machine, and extreme gradient boosting classifier to predict stock price movements based on past prices. We apply these methods with the high frequency data of 27 blue-chip stocks traded in the Istanbul Stock Exchange. Our findings reveal that among the selected methodologies, random forest and support vector machine are able to capture both future price directions and percentage changes at a satisfactory level. Moreover, consistent ranking of the methodologies across different time frequencies and train/test set partitions prove the robustness of our empirical findings.
Thematic Areas: Saúde coletiva Operations research & management science Medicina i Matemática / probabilidade e estatística Management science and operations research Interdisciplinar General decision sciences Ensino Engenharias iv Engenharias iii Engenharias i Economia Decision sciences (miscellaneous) Decision sciences (all) Ciencias sociales Ciências agrárias i Ciência da computação Administração, ciências contábeis e turismo Administração pública e de empresas, ciências contábeis e turismo
licence for use: https://creativecommons.org/licenses/by/3.0/es/
Author's mail: aurelio.fernandez@urv.cat
Author identifier: 0000-0003-1014-1010
Record's date: 2023-02-19
Papper version: info:eu-repo/semantics/acceptedVersion
Link to the original source: https://link.springer.com/article/10.1007/s10479-021-04464-8
Licence document URL: http://repositori.urv.cat/ca/proteccio-de-dades/
Papper original source: Annals Of Operations Research. 313 (2): 639-690
APA: Akyildirim, Erdinc; Bariviera, Aurelio F.; Duc Khuong Nguyen; Sensoy, Ahmet; (2022). Forecasting high-frequency stock returns: a comparison of alternative methods. Annals Of Operations Research, 313(2), 639-690. DOI: 10.1007/s10479-021-04464-8
Article's DOI: 10.1007/s10479-021-04464-8
Entity: Universitat Rovira i Virgili
Journal publication year: 2022
Publication Type: Journal Publications
Repositori URV