Designing a Turkey Financial Stress Index Optimized via the Artificial Bee Colony Algorithm

İnci Merve Altan

doi:10.21541/apjess.1824468

Designing a Turkey Financial Stress Index Optimized via the Artificial Bee Colony Algorithm

Abstract

Financial stress indexes quantify stress levels in financial markets, differentiate between crisis and stable periods, and provide early warning signals for policymakers. Existing research often employs non-generalizable indicators and insufficiently addresses indicator sensitivity during crisis periods. To address this gap, the present study applies the Artificial Bee Colony (ABC) algorithm, a metaheuristic optimization approach, to assign dynamic weights to the Turkey Financial Stress Index (TFSI). The index is constructed using monthly data from January 2000 to September 2025, incorporating MSCI Turkey Index volatility, maximum drawdown, the Sharpe ratio, and the beta coefficient relative to the MSCI World Index. Empirical findings reveal that the ABC-optimized TFSI registers sharper increases than the equally weighted index during the 2000–2001 twin crisis, the 2008 global financial crisis, and the COVID-19 crisis. These results suggest that the ABC-based index provides a more effective framework for identifying systemic shocks compared to traditional weighting methods.

Keywords

References

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Details

Primary Language

English

Subjects

Algorithms and Calculation Theory, Theory of Computation (Other)

Journal Section

Research Article

Authors

İnci Merve Altan ^*
0000-0002-6269-7726
Türkiye

Publication Date

May 31, 2026

Submission Date

November 15, 2025

Acceptance Date

February 26, 2026

Published in Issue

Year 2026 Volume: 14 Number: 2

DOI

https://doi.org/10.21541/apjess.1824468

IZ

https://izlik.org/JA64TY34KM

Cite

RIS / Bibtex

APA

Altan, İ. M. (2026). Designing a Turkey Financial Stress Index Optimized via the Artificial Bee Colony Algorithm. Academic Platform Journal of Engineering and Smart Systems, 14(2), 105-113. https://doi.org/10.21541/apjess.1824468

AMA

1.Altan İM. Designing a Turkey Financial Stress Index Optimized via the Artificial Bee Colony Algorithm. APJESS. 2026;14(2):105-113. doi:10.21541/apjess.1824468

Chicago

Altan, İnci Merve. 2026. “Designing a Turkey Financial Stress Index Optimized via the Artificial Bee Colony Algorithm”. Academic Platform Journal of Engineering and Smart Systems 14 (2): 105-13. https://doi.org/10.21541/apjess.1824468.

EndNote

Altan İM (May 1, 2026) Designing a Turkey Financial Stress Index Optimized via the Artificial Bee Colony Algorithm. Academic Platform Journal of Engineering and Smart Systems 14 2 105–113.

IEEE

[1]İ. M. Altan, “Designing a Turkey Financial Stress Index Optimized via the Artificial Bee Colony Algorithm”, APJESS, vol. 14, no. 2, pp. 105–113, May 2026, doi: 10.21541/apjess.1824468.

ISNAD

Altan, İnci Merve. “Designing a Turkey Financial Stress Index Optimized via the Artificial Bee Colony Algorithm”. Academic Platform Journal of Engineering and Smart Systems 14/2 (May 1, 2026): 105-113. https://doi.org/10.21541/apjess.1824468.

JAMA

1.Altan İM. Designing a Turkey Financial Stress Index Optimized via the Artificial Bee Colony Algorithm. APJESS. 2026;14:105–113.

MLA

Altan, İnci Merve. “Designing a Turkey Financial Stress Index Optimized via the Artificial Bee Colony Algorithm”. Academic Platform Journal of Engineering and Smart Systems, vol. 14, no. 2, May 2026, pp. 105-13, doi:10.21541/apjess.1824468.

Vancouver

1.İnci Merve Altan. Designing a Turkey Financial Stress Index Optimized via the Artificial Bee Colony Algorithm. APJESS. 2026 May 1;14(2):105-13. doi:10.21541/apjess.1824468