Yapay zekâ modelleriyle finansal performans tahmini : BIST uygulaması
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Dosyalar
Tarih
2022
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
İstanbul Ticaret Üniversitesi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Finansal piyasa küreselleşmenin de etkisiyle giderek tahmin edilemez bir hale geldiğinden günümüzde tutarlı finansal tahminlerde bulunmak öncelikli alanlardan biri haline gelmiştir. Şirketler finansal performanslarının dikkatli bir analiziyle departman, birim veya organizasyonel seviyenin performansını iyileştirme fırsatlarını belirleyebilmektedir. Zamanın en kıymetli değer olduğu günümüzde şirketler finansal performansını en hızlı ve güvenilir şekilde tahmin etmenin yollarını aramaktadır. Büyük veriye ulaşmakta ve işlemekte kullanılan yapay zekâ teknolojilerinin son yıllarda tüm disiplinlerde olduğu gibi muhasebe ve finans alanında yapılan çalışmalarda da sıklıkla kullanıldığı görülmektedir. Bu çalışmada öncelikli olarak finansal performans tahmini ve yapay zekâ teknolojileri kavramsal olarak ele alınıp sonrasında literatürde 2000-2021 yılları arasında yer alan finansal tahmin çalışmaları incelenmiştir. Son olarak BIST şirketlerinin 2009-2020 verileri üzerinde bir uygulama ile yapay zekâ teknolojileriyle oluşturulan üç farklı zaman serisi modelinin finansal performans tahmininde önemli bir gösterge olan net kâr/zarar verilerini tahmin etme potansiyeli araştırılmıştır. Uygulanan Prophet, LSTM ve ANFIS modellerinin performans matrislerinden MSE, RMSE ve MAPE değerleri incelendiğinde en tutarlı tahminde bulunan ANFIS modeli ile şirketlerin 2021-2025 net dönem kârı/zararı tahmininde bulunularak yatırımcılara fikir verecek bir katkı sağlamak amaçlanmıştır. Bununla beraber, en önemli katkı ise muhasebe ve finans alanındaki uygulayıcı ve araştırmacılara yapay zekâ teknolojilerinden faydalanabilecekleri bir bakış açısı kazandırılması olacaktır.Anahtar Kelimeler: Finansal Performans Tahmini, BIST, Yapay Zekâ, Prophet, LSTM, ANFIS
Since the financial markets has become increasingly unpredictable due to the consequence of globalization, it has become one of the priority areas to make consistent financial forecasts today. Through conscientiously analyzing the financial performance of companies, they can identify chances to boost the performance of the department. Today, when time is the most precious value, companies are looking for ways to predict their financial performance in the fastest and most reliable way. It is seen that artificial intelligence technologies used in reaching and processing big data are frequently used in studies conducted in the field of accounting and finance, as in all disciplines, in recent years. In this study, primarily financial performance forecasting and artificial intelligence technologies are discussed conceptually, and then financial forecasting studies in the literature between the years 2000-2021 are examined. Finally, with an application on the 2009-2020 data of BIST companies, the potential of forecasting the net profit/loss data, which is an important indicator in the financial performance forecasting, of three different time series models created with artificial intelligence technologies, was investigated. Examining the MSE, RMSE and MAPE values of the applied Prophet, LSTM and ANFIS models and making the net profit / loss prediction of the companies between 2021-2025 years with the ANFIS model, which makes the most consistent forecasting, it is aimed to contribute investors by giving an idea about those companies. Furthermore, the most significant contribution of this study will be to provide practitioners and researchers in the field of finance and accounting a perspective from which they can benefit from artificial intelligence technologies.Keywords: Financial Performance Forecasting, BIST, Artificial Intelligence, Prophet, LSTM, ANFIS
Since the financial markets has become increasingly unpredictable due to the consequence of globalization, it has become one of the priority areas to make consistent financial forecasts today. Through conscientiously analyzing the financial performance of companies, they can identify chances to boost the performance of the department. Today, when time is the most precious value, companies are looking for ways to predict their financial performance in the fastest and most reliable way. It is seen that artificial intelligence technologies used in reaching and processing big data are frequently used in studies conducted in the field of accounting and finance, as in all disciplines, in recent years. In this study, primarily financial performance forecasting and artificial intelligence technologies are discussed conceptually, and then financial forecasting studies in the literature between the years 2000-2021 are examined. Finally, with an application on the 2009-2020 data of BIST companies, the potential of forecasting the net profit/loss data, which is an important indicator in the financial performance forecasting, of three different time series models created with artificial intelligence technologies, was investigated. Examining the MSE, RMSE and MAPE values of the applied Prophet, LSTM and ANFIS models and making the net profit / loss prediction of the companies between 2021-2025 years with the ANFIS model, which makes the most consistent forecasting, it is aimed to contribute investors by giving an idea about those companies. Furthermore, the most significant contribution of this study will be to provide practitioners and researchers in the field of finance and accounting a perspective from which they can benefit from artificial intelligence technologies.Keywords: Financial Performance Forecasting, BIST, Artificial Intelligence, Prophet, LSTM, ANFIS
Açıklama
Tez (Doktora) -- İstanbul Ticaret Üniversitesi -- Kaynakça var.
HG 4012/Y87
HG 4012/Y87
Anahtar Kelimeler
Corporations_Finance_Mathematical models, Şirketler_Maliye_Matematiksel modeller, Capital_Mathematical models, Sermaye_Matematiksel modeller, Organizational effectiveness, Örgütsel etkinlik, Sosyal Bilimler
