Forecasting Mutual Fund Prices on TEFAS Using LightGBM

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Black Sea Journal of Engineering and Science
Cilt: 8 Sayı: 4
Forecasting Mutual Fund Prices on TEFAS Using LightGBM

Forecasting Mutual Fund Prices on TEFAS Using LightGBM

Authors : Oktay Olmez

Pages : 1134-1139

Doi:10.34248/bsengineering.1691043

View : 49 | Download : 86

Publication Date : 2025-07-15

Article Type : Research Paper

Abstract :This paper investigates the application of the Light Gradient Boosting Machine (LightGBM) algorithm for predicting the prices of mutual funds traded on the Türkiye Electronic Fund Trading Platform (TEFAS). Given the increasing importance of mutual funds as an investment vehicle in Türkiye, this study explores the effectiveness of a state-of-the-art machine learning approach. Utilizing historical data from TEFAS, the LightGBM model is employed to capture complex patterns and non-linear relationships within the financial time series data. The research outlines the methodology for data preparation, feature implementation, data splitting, model configuration, training, and evaluation, including case studies to demonstrate the practical application and results
Keywords : Machine learning, LightGBM, Tefas

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