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Stock Market Index Prediction Using Dollar-TL and Euro-TL Exchange Rates With K-Nearest Neighbor Algorithm

Author

Listed:
  • Çiğdem Özarı

    (Istanbul Aydın University)

  • Özge Demirkale

    (Istanbul Aydın University)

Abstract

In the study, the decisions determined with technical analysis for the stock-market index values were estimated using the K-Nearest Neighbor (KNN) algorithm. Considering the closing prices of 2008-2021, the Buy/Sell/ Wait decisions were determined for the BIST30, BIST50, and BIST100 with most well-known indicators (Bollinger Band and Relative Strength Index). The decisions obtained from technical analysis and Dollar-TL, Euro-TL daily exchange rates are used to estimate the next day’s prices with the K-NN. The main purpose is to determine the effect of exchange rate changes from stock market indices. From obtained decisions, "the index is affected by exchange rate changes" is determined.

Suggested Citation

  • Çiğdem Özarı & Özge Demirkale, 2022. "Stock Market Index Prediction Using Dollar-TL and Euro-TL Exchange Rates With K-Nearest Neighbor Algorithm," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 37(117), pages 41-62, April.
    • Handle: RePEc:acc:malfin:v:37:y:2022:i:117:p:41-62
    DOI: https://doi.org/10.33203/mfy.1034155
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    More about this item

    Keywords

    K-NN Algorithm; Bollinger Band; Relative Strength Index; Financial Forecasting;
    All these keywords.

    JEL classification:

    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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