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İstanbul Menkul Kıymetler Borsası Üzerine Saklı Markov Modeli İle Bir Tahminleme

Author

Listed:
  • Ersoy ÖZ

    (Yildiz Technical University)

Abstract

Ülkemizde son yıllarda finans sektörü üzerine yapılan geleceğe yönelik tahmin çalışmaları oldukça yaygınlaşmıştır. Bu tahmin yöntemleri genel olarak geçmiş verileri kullanarak geleceğe ilişkin yorum getirebilecek niteliktedirler. Hisse senetleri piyasası finans sektöründe önemli bir yere sahiptir. Bu piyasada işlem gören hisse senetleri için bir gösterge olan İstanbul Menkul Kıymetler Borsası Ulusal 100 Endeksi değerinin değişim oranı pek çok ekonomik nedene bağlı olabildiği gibi psikolojik ve siyasi nedenlere de bağlıdır. Bu çalışmada, Markov Zincirleri üzerine kurulu olan Saklı Markov Modeli kullanılarak İstanbul Menkul Kıymetler Borsası Ulusal 100 Endeksi değerinin değişim oranlarını tahmin etmek amacı ile bir uygulama geliştirilmiştir. Saklı Markov Modeli’nin kullanıldığı bu tahminlemede etkili sonuçlar ortaya çıktığı görülmüştür.

Suggested Citation

  • Ersoy ÖZ, 2009. "İstanbul Menkul Kıymetler Borsası Üzerine Saklı Markov Modeli İle Bir Tahminleme," Ekonomik Yaklasim, Ekonomik Yaklasim Association, vol. 20(72), pages 59-85.
    • Handle: RePEc:eyd:eyjrnl:v:20:y:2009:i:72:p:59-85
    DOI: 10.5455/ey.10692
    Note: [English Title] AN ESTIMATION BY HIDDEN MARKOV MODEL FOR THE ISTANBUL STOCK EXCHANGE [English Abstract] Futuristic estimations on the finance sector have become more frequent over the recent years in our country. These estimation methods are generally in the form of making comments about the future by using the past data. Stock market have an important place in finance sector. The change rate of the value of The Istanbul Stock Exchange National 100 index which is an indicator for the stocks that are transacted in this market can be based not just only on many economic reasons but also on psychological and political reasons. In this study, to estimate the change rate of the value of The Istanbul Stock Exchange National 100 Index using Hidden Markov Model which is based upon Markov Chains, an application has been improved. By this estimation, at which Hidden Markov Model is used, effective results are observed. [English Keywords] Markov Chains, Hidden Markov Model, Algorithms of Hidden Markov Model, The Istanbul Stock Exchange, Estimation
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