Analysis of Price Models in Istanbul Stock Exchange

Abstract

Equity investments are one of the most important asset classes. Equity investments have high return yield however also high risk due to the variability of share prices. Therefore, precise share price modeling is essential. In this study, we examined the data of 30 leading companies of Borsa ˙Istanbul. We applied ARIMA, Machine learning algorithms and Deep learning techniques (LSTM) to BIST30 stock prices. As a result of the computational analysis, we observed that ARIMA performs better than LSTM and linear regression performs better than other machine learning techniques.