Emtia Piyasalarının Birlikte Hareketlerinin Veri Madenciliği ile İncelenmesi

Year 2024, Volume: 9 Issue: 1, 183 - 212, 29.03.2024

Binali Selman Eren

https://doi.org/10.30784/epfad.1413706

Abstract

Emtialar, yatırımları çeşitlendirmek ve enflasyona karşı korunmak için alternatif bir yol olarak görülmüştür. Bu nedenle yatırımcıların bir piyasanın düşüşü veya yükselişi sonrasında diğer piyasaların veya finansal varlıkların hangi yöne doğru hareket edeceğini öngörmesi, hızlı ve etkili kararlar almasında kritik öneme sahiptir. Bu çalışmada, emtia piyasalarının birlikte hareketi veri madenciliğinde yer alan birliktelik kuralı ile analiz edilmiştir. Bu doğrultuda çalışmada 20 adet emtianın 01.01.2010-01.08.2023 tarihleri arasındaki 3216 işlem günündeki birlikte hareketleri analiz edilmiştir. Çalışmada birliktelik kuralı analizleri, Apriori ve FP-Growth algoritmaları kullanılarak gerçekleştirilmiştir. Hem Apriori hem de FP-Growth algoritmaları ile üretilen birliktelik kurallarının tümünde Brent petrolün diğer emtialara eşlik ettiği gözlemlenmiştir. Bu sonuç, Brent petrol fiyatlarının yukarı veya aşağı yönde hareketinin, Brent petrol fiyatlarını yakından takip eden yatırımcılara, karar vericilere ve politika yapıcılara, diğer emtiaların hareketi ile ilgili yol gösterici olabileceğini göstermektedir. Petrolün ekonomik sistemi etkileyen stratejik bir enerji kaynağı olduğu gerçeği göz önüne alındığında, bu sonucun şaşırtıcı olmadığı ifade edilebilir.

Keywords

Emtia, Emtia Piyasaları, Veri Madenciliği, Birliktelik Kuralı

An Investigation of Co-movements of Commodity Markets by Data Mining

Abstract

Commodities have been seen as an alternative way to diversify investments and protect against inflation. As a result, it is critically important for investors to predict the direction in which other stock exchanges or financial assets will move after a stock market’s rise or fall in order to make quick and effective decisions. In this study, the co-movement of commodity markets are analyzed with the association rule in data mining. In this direction, the movements of 20 commodities in 3216 trading days between 01.01.2010 and 01.08.2023 are analyzed in the study. Association rule analyses in the study are conducted using the Apriori and FP-Growth algorithms. It is observed that Brent crude oil accompanied other commodities in all association rules generated by both the Apriori and FP-Growth algorithms. This result suggests that the upward or downward movement of Brent oil prices may provide guidance to investors, decision makers and policymakers who closely follow Brent oil prices regarding the movement of other commodities. Considering the fact that oil is a strategic energy source that affects the economic system, this result is not surprising.

Keywords

Commodity, Commodity Markets, Data mining, Association Rule

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