@article{article_357395, title={FORECASTING CLOSING RETURNS OF BORSA ISTANBUL INDEX WITH MARKOV CHAIN PROCESS OF THE FUZZY STATES}, journal={Journal of Economics Finance and Accounting}, volume={4}, pages={15–24}, year={2017}, DOI={10.17261/Pressacademia.2017.362}, author={Kiral, Ersin and Uzun, Berna}, keywords={Stock return,fuzzy sets,conditional probability,Markov Decision Process,Markov Chain with fuzzy states}, abstract={<p class="MsoNormal" style="margin-bottom:.0001pt;text-align:justify;"> <b> <span style="font-size:8pt;line-height:115%;">Purpose- </span> </b> <span style="font-size:8pt;line-height:115%;"> The
estimation regarding to the exact daily price of the stock market index has
always been a difficult task in the business sector. Therefore, there are
numerous research studies carried out to predict the direction of stock price
index movement. </span> </p> <p> </p> <p class="MsoNormal" style="margin-bottom:.0001pt;text-align:justify;"> <b> <span style="font-size:8pt;line-height:115%;">Methodology- </span> </b> <span style="font-size:8pt;line-height:115%;"> </span> <span style="font-size:8pt;line-height:115%;">Classical
Markov chain model (MC) is commonly used for this prediction and it gives
valuable signals about the movements of the closing returns of the </span> <span lang="en-us" style="font-size:8pt;line-height:115%;" xml:lang="en-us">stock market index </span> <span style="font-size:8pt;line-height:115%;">. </span> <span lang="en-us" style="font-size:8pt;line-height:115%;" xml:lang="en-us">In this paper, we propose Markov Chain Model with
Fuzzy States (MCFS) to predict </span> <span style="font-size:8pt;line-height:115%;">the closing returns of Borsa
Istanbul (BIST 100) </span> <span lang="en-us" style="font-size:8pt;line-height:115%;" xml:lang="en-us"> index </span> <span style="font-size:8pt;line-height:115%;">using
triangular fuzzy numbers. We apply this method to hold the information while
system moves between the extreme values of the states. </span> </p> <p> </p> <p class="MsoNormal" style="margin-bottom:.0001pt;text-align:justify;"> <b> <span style="font-size:8pt;line-height:115%;">Findings- </span> </b> <span style="font-size:8pt;line-height:115%;">
With this study, we show that the use of MCFS for the selected period provides
a higher forecasting accuracy to the investors compared to MC model. </span> </p> <p> </p> <p> </p> <p class="MsoNormal" style="margin-bottom:.0001pt;text-align:justify;"> <b> <span style="font-size:8pt;line-height:115%;">Conclusion-  </span> </b> <span style="font-size:8pt;line-height:115%;">Markov chains of the
fuzzy states defines a stochastic system more precisely than the classical Markov
chains and it gives more sensitive future prediction opportunities. It can be used for estimating returns of individual common stocks and
also for the other investment instruments. </span> </p> <p> </p>}, number={1}, publisher={Suat TEKER}