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Predicting Market Direction With Deep Learning: An Application on E-7 Country Stock Markets

Author

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  • Nazif Ayyıldız

    (Harran University)

Abstract

This study aims to examine the prediction performance of the deep learning method on the stock indices of e-7 countries, known as emerging market economies. In this context, the daily movement directions of the stock indices of ipc (mexico), sse (china), bist 100 (turkey), rts (russia), bovespa (brazil), idx (indonesia), and nifty 50 (india) were predicted using the h2o deep learning model. Technical indicators calculated based on the daily closing prices between 01.01.2015 and 31.12.2024 were used as inputs for the model. The data was split into 80% training and 20% test sets during the prediction process. The calculated accuracy rates were 88.47% for the ipc index, 78.13% for sse, 77.29% for bist 100, 76.05% for rts, 75.81% for bovespa, 75.05% for idx, and 74.34% for nifty 50. The findings demonstrate that deep learning methods can predict stock index movements with a certain level of accuracy.

Suggested Citation

  • Nazif Ayyıldız, 2025. "Predicting Market Direction With Deep Learning: An Application on E-7 Country Stock Markets," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 40(123), pages 92-111, April.
    • Handle: RePEc:acc:malfin:v:40:y:2025:i:123:p:92-111
    DOI: https://doi.org/10.33203/mfy.1442589
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    More about this item

    Keywords

    Deep Learning; H2O Deep Learning Model; Classification; Developing Countries;
    All these keywords.

    JEL classification:

    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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