Prediction of Economical Investment Tool Returns With Hidden Markov Model for Turkey

Nowadays there is a great demand to financial investment tools due to the desire of profiting from future predictions. The revival in the markets drafted everyone interested in financial investment to information hunting. This causes an increase in future prediction studies.In this study BIST 100 index change rate is predicted by the Hidden Markov Model using the exogenous factors affecting stocks.With the help of Hidden Markov Model’s first solution algorithms, forward-backward algorithms, BIST 100 index change rate direction possibilities were predicted based on past values. Secondly prediction of the exogenous factor change affecting the BIST 100 index change rate was done. Using Baum-Welch algorithm model parameters were predicted again and results were found out to be very effective