Stock Market Index Prediction Using Dollar-tl and Euro-tl Exchange Rates With K-nearest Neighbor Algorithm

Çiğdem Özarı and Özge Demirkale
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Çiğdem Özarı: Istanbul Aydin University
Özge Demirkale: Istanbul Aydin University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2022, vol. 37, issue 117, 41-62

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.

Keywords: K-NN Algorithm; Bollinger Band; Relative Strength Index; Financial Forecasting. (search for similar items in EconPapers)
JEL-codes: C19 C51 C52 G17 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:37:y:2022:i:117:p:41-62

DOI: 10.33203/mfy.1034155

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