Türkiye'deki Borsa Endekslerinin Fraktal Analizi

Abstract

Bu çalışmanın amacı İstanbul Menkul Kıymetler Borsası endekslerindeki muhtemel fractal davranışları araştırmaktır.Özellikle, kaotik ve fraktal davranışların kanıtları verilecektir.Verilen endekslerin monofraktal davranışlarını analiz etmek için Higuchi ve Katz metodlarını kullanacağız. Buna ek olarak,araştırılan endekslerin kaotik davranışlarını incelemek amacıyla Dönüştürülmüş Genişlik R/S ve Arındırlmış Dalgalanma DFA Analiz’leri kullanılmıştır.

Keywords

• Fraktal Geometri
• Higuchi
• Katz
• Arındırılmış Dalgalanma Analizi
• Dönüştürülmüş Genişlik Analizi

Fractal Analysis of Stock Exchange Indices in Turkey

Abstract

The purpose of this study is to investigate possible fractal behavior in Istanbul Stock Exchange BIST indices. In particular evidence of chaotic and fractal behavior will be presented. To be able to analyze monofractality of given indices we are going to use Higuchi and Katz methods. In addition to this, we analyze the chaotic behavior of the investigated indices using Rescaled Range Analysis R/S and Detrended Fluctuation Analysis DFA .

Keywords

• Fractal Geometry
• Higuchi
• Katz
• Detrended Fluctuation Analysis
• Rescaled Range Analysis

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