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Explainable-AI powered stock price prediction using time series transformers: A Case Study on BIST100

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  • Sukru Selim Calik
  • Andac Akyuz
  • Zeynep Hilal Kilimci
  • Kerem Colak

Abstract

Financial literacy is increasingly dependent on the ability to interpret complex financial data and utilize advanced forecasting tools. In this context, this study proposes a novel approach that combines transformer-based time series models with explainable artificial intelligence (XAI) to enhance the interpretability and accuracy of stock price predictions. The analysis focuses on the daily stock prices of the five highest-volume banks listed in the BIST100 index, along with XBANK and XU100 indices, covering the period from January 2015 to March 2025. Models including DLinear, LTSNet, Vanilla Transformer, and Time Series Transformer are employed, with input features enriched by technical indicators. SHAP and LIME techniques are used to provide transparency into the influence of individual features on model outputs. The results demonstrate the strong predictive capabilities of transformer models and highlight the potential of interpretable machine learning to empower individuals in making informed investment decisions and actively engaging in financial markets.

Suggested Citation

  • Sukru Selim Calik & Andac Akyuz & Zeynep Hilal Kilimci & Kerem Colak, 2025. "Explainable-AI powered stock price prediction using time series transformers: A Case Study on BIST100," Papers 2506.06345, arXiv.org.
    • Handle: RePEc:arx:papers:2506.06345
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    References listed on IDEAS

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    1. Jinho Lee & Raehyun Kim & Yookyung Koh & Jaewoo Kang, 2019. "Global Stock Market Prediction Based on Stock Chart Images Using Deep Q-Network," Papers 1902.10948, arXiv.org.
    2. Bitanu Chatterjee & Sayan Acharya & Trinav Bhattacharyya & Seyedali Mirjalili & Ram Sarkar, 2023. "Stock market prediction using Altruistic Dragonfly Algorithm," PLOS ONE, Public Library of Science, vol. 18(4), pages 1-20, April.
    3. Patrick Weber & K. Valerie Carl & Oliver Hinz, 2024. "Applications of Explainable Artificial Intelligence in Finance—a systematic review of Finance, Information Systems, and Computer Science literature," Management Review Quarterly, Springer, vol. 74(2), pages 867-907, June.
    4. Omoshola S. Owolabi & Prince C. Uche & Nathaniel T. Adeniken & Christopher Ihejirika & Riyad Bin Islam & Bishal Jung Thapa Chhetri, 2024. "Ethical Implication of Artificial Intelligence (AI) Adoption in Financial Decision Making," Computer and Information Science, Canadian Center of Science and Education, vol. 17(1), pages 1-49, May.
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