Journal of Artificial Intelligence1994-54502077-2173Asian Network for Scientific Information10.3923/jai.2008.70.77SenolD.OzturanM.2200812In this study, it is aimed to illustrate that Artificial
Neural Network (ANN) can be used for predicting the stock price behaviour
in terms of its direction. Financial daily statistical data, derived from
raw price data obtained from Istanbul Stock Exchange (ISE), which is the
only stock market in Turkey, have been defined in terms of five independent
variables that are grouped in seven different Prediction System (PS) models
to which eight different ANN and Logistic Regression (LR) models have
been applied. For this purpose, a software library package is developed
using C#.NET to run the ANN models whereas a commercial statistical analysis
software package is used to run the LR model. At the end of the study;
the best PS and ANN models are determined for ANN methodology by comparing
the average mean squared errors of training sets and the best PS model
is determined for LR methodology by eliminating the insignificant independent
variables; the outputs of the developed software library package and a
commercial ANN software are compared on the basis of prediction success
rate and the accuracies of prediction by ANN and LR methodologies are
compared on the basis of coefficient of determination. The results show
that; the best results are obtained for the PS model that has used stochastic
indicator for 14 days (K14%), stochastic moving average (D3%) and relative
strength index of 14 days (RSI14) simultaneously for both ANN and LR methodologies
whereas the best ANN model has consisted of three inputs, 11 hidden neurons
in single hidden layer and one output; developed software library package
performs statistically same as the commercial software; statistically
ANN methodology outperforms LR methodology; and there is relevant empirical
evidence that ISE-30 is not weak form efficient.]]>Azoff, E.M.,1994Bell, T.B., G.S. Ribar and J. Verchio,1990Bernd, F. and R. Klaus,1996Chiang, W.C., T.L. Urban and G.W. Baldridge,1996Dietrich, J.R., S.J. Kachelmeier, D.N. Kleinmuntz and T.J. Linsmeier,2001Dreiseitl, S. and L. Ohno-Machado,2002Dutt, S.D. and D. Ghosh,1999Dutta, S. and S. Shekhar,1988Egeli, B., M. Ozturan and B. Badur,2003Fernandez-Rodriguez, F., C. Gonzalez-Martel and S. Sosvilla-Rivero,2000Freisleben, B.,1992Gencay, R.,1998Heaton, J.T.,2005Hellstrom, T. and K. Holmstrom,1997Huang, C.S., R.E. Dorsey and M.A. Boose,1994Kimoto, T., K. Asakawa, M. Yoda and M. Takeoka,1990Luther, R.K.,1998Man-Chung, C., W. Chi-Cheong and L. Chi-Chung,2000Phua, P.K.H., D. Ming and W. Lin,2000Quah, T.S. and B. Srinivasan,1999Reilly, F. and K. Brown,1997Schumacher, M., R. Robner and W. Vach,1996Tsibouris, G. and M. Zeidenberg,1995Van Eyden, R.J.,1996Versace, M., R. Bhatt, O. Hinds and M. Shiffer,2004Weigend, A.S., D.E. Rumelhart and B.A. Huberman,1990White, H.,1988Yao, J. and H.L. Poh,1995Yümlü, S., F. Gürgen and N.Okay,2004Zekic, M.,1998