Endeks Modeli Kripto Para Birimlerinde Kullanılabilir mi? Geleneksel Yöntemlerden ve Sayısal Simülasyondan Elde Edilen Kanıtlar

Abstract

Çalışma, kripto varlıklar için üç farklı endeks modelini karşılaştırarak yatırımcılara risk yönetiminde yeni yöntemler sunmayı ve literatüre bu alanda katkı sağlamayı amaçlamaktadır. Bu amaç doğrultusunda, endeks modellerinin piyasa volatilitesini tahmin etme doğruluğunu belirlemek için geleneksel ağırlıklandırma, standartlaştırma ve sayısal simülasyon yöntemleri kullanılarak üç farklı endeks hesaplanmıştır. Araştırmanın kapsamı, en yüksek işlem hacmine sahip yedi kripto varlık ile kontrol grubu olarak seçilen üç farklı kripto varlıkla sınırlıdır. Çalışmanın kapsamı yalnızca endeks ile volatilite arasındaki ilişkiyi incelemekle sınırlandırılmıştır. Bununla beraber endeksin tahmin edilmesi veya endeksi etkileyebilecek diğer değişkenlerin analizi çalışmanın gelişime açık alanlarıdır. Hesaplanan endeksler üzerinden elde edilen bulgular, geleneksel ağırlıklandırma modelinin piyasa volatilitesini %65 doğrulukla tahmin ettiğini, standartlaştırılmış endeksin ise bu oranı %78’e yükselttiğini göstermektedir. Buna karşın, sayısal simülasyonun yalnızca %42 doğruluk sağlaması, literatürdeki yerleşik varsayımların sorgulanmasına neden olmaktadır. Bu sonuçlar, özellikle kripto yatırımcılarının risk değerlendirme süreçlerinde önemli bir dönüşüm potansiyeli taşımaktadır. Endeks tabanlı bu yaklaşım, piyasa şeffaflığını artırırken düzenleyici kurumlar için yeni bir gözetim çerçevesi sunmaktadır. Çalışmanın politika yapıcılar açısından en önemli çıkarımı ise, kripto piyasalarında veriye dayalı düzenlemelerin teknik olarak mümkün olduğunu kanıtlamasıdır.

Keywords

• Kripto Paralar
• Risk Düzeyi
• Sayısal Simülasyon

Can the Index Model Be Used in Cryptocurrencies? Evidence from Traditional Methods and Numerical Simulation

Abstract

The study aims to compare three different index models for crypto assets, offering investors new methods for risk management and contributing to the literature in this field. To this end, three different indices were calculated using traditional weighting, standardization, and numerical simulation methods to determine the accuracy of these models in predicting market volatility. The scope of the study is limited to seven crypto assets with the highest trading volumes and three additional crypto assets as a control group. The study is confined to examining the relationship between the index and volatility. Furthermore, analysis of index forecasting or the impact of other variables on the index remains an area for future development. The findings based on the calculated indices show that the traditional weighting model predicts market volatility with 65% accuracy, while the standardized index increases this rate to 78%. In contrast, the numerical simulation achieves only 42% accuracy, calling into question established assumptions in the literature. These results carry significant transformative potential for crypto investors’ risk assessment processes. The index-based approach enhances market transparency and provides regulatory bodies with a new supervisory framework. The vital implication for policymakers is that data-driven regulation in crypto markets is now technically feasible.

Keywords

• Cryptocurrencies
• Risk Level
• Numerical Simulation

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