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Endeks getirilerinin yapay sinir agları modelleri ile tahmin edilmesi: Gelismekte olan Avrupa borsaları uygulaması

Author

Listed:
  • Emin AVCI

    (Marmara Üniversitesi)

  • Murat ÇİNKO

    (Marmara Üniversitesi)

Abstract

Çalısmamızda yapay sinir agları (YSA) modellerinin 6 gelismekte olan ülke, ki bu ülkeler Avrupa Toplulugu’nun 5 yeni üyesi ve biri aday ülkeden olusmaktadır, borsalarındaki günlük endeks getirilerini tahmin etmedeki etkinligi incelenmistir. Çalısmanın bulguları göstermistir ki MSE, NMSE, MAE ve trend dogrulugu performans ölçütleri karlı modellerin belirlenmesinde yetersiz kalmaktadır. Gelistirilen YSA modelleri çogu dönemlerde piyasa üzerinde getiri saglamıstır. Fakat, hiç bir YSA modeli sürekli olarak piyasaya ve diger YSA modellerine üstünlük saglayamamıstır.

Suggested Citation

  • Emin AVCI & Murat ÇİNKO, 2008. "Endeks getirilerinin yapay sinir agları modelleri ile tahmin edilmesi: Gelismekte olan Avrupa borsaları uygulaması," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 23(266), pages 114-137.
    • Handle: RePEc:iif:iifjrn:v:23:y:2008:i:266:p:114-137
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    More about this item

    Keywords

    yapay sinir agları; gelismekte olan borsalar; tahmin.;
    All these keywords.

    JEL classification:

    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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