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Using Stacked Generalization Model in Stock Price Forecasting: A Comparative Analysis on BIST100 Index

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  • Ahmed Ä°hsan ŞİMÅžEK

Abstract

Investing in financial markets requires an adequately planned approach and decision-making process for both individual and institutional investors. The volatility of financial markets is influenced by intricate and constantly evolving factors, prompting investors, analysts, and financial experts to employ progressively sophisticated and data-centric methodologies to precisely forecast future price swings. Deep learning models for stock price prediction demonstrate the ability to comprehend intricate connections by amalgamating extensive datasets. The objective of this essay is to employ various machine learning models using daily data from the BIST100 index, a prominent financial indicator in Turkey. The models under question encompass Support Vector Regression (SVR), K-Nearest Neighbors (KNN), Random Forest (RF), XGBoost and Stacked Generalization. The models' prediction skills were evaluated using RMSE, MSE, MAE, and R2 performance indicators. Based on the observed results, the Stacked Generalization model demonstrated greater performance in making predictions for the analyzed dataset. These findings offer valuable insights that should be considered when selecting models for similar analyses in the future.

Suggested Citation

  • Ahmed Ä°hsan ŞİMÅžEK, 2025. "Using Stacked Generalization Model in Stock Price Forecasting: A Comparative Analysis on BIST100 Index," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 1.
    • Handle: RePEc:fis:journl:250118
    DOI: 10.25295/fsecon.1444407
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    References listed on IDEAS

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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