Markov Zincirleri ile Finansal Tahminleme: Teorik Bir Yaklaşım ve Uygulamalı Bir Çalışma

Yasemin Yurtoğlu

doi:10.16951/trendbusecon.1760688

TR EN

Markov Zincirleri ile Finansal Tahminleme: Teorik Bir Yaklaşım ve Uygulamalı Bir Çalışma

Abstract

Bu çalışma, finansal zaman serilerinde Markov zincirleri kullanılarak tahminleme yapılmasını amaçlamaktadır. Borsa İstanbul BIST 100 endeksi, USD/TRY döviz kuru ve Bitcoin (BTC/USD) fiyat verileri kullanılarak, farklı volatiliteye sahip piyasalarda modelin performansı değerlendirilmiştir. Modelde, kapanış fiyatlarına dayalı olarak belirlenen üç durum (pozitif, negatif ve nötr getirili günler) için geçiş olasılıkları hesaplanmıştır. Elde edilen geçiş olasılık matrisleri kullanılarak bir sonraki günün yönü tahmin edilmiştir. Model performansı MAE, RMSE, MAPE, RMSE / MAE oranı ve Theil’s U istatistikleriyle değerlendirilmiş; BIST 100 için yüksek doğruluk ve düşük hata oranları elde edilmiştir. USD / TRY’de orta düzey, BTC / USD’de ise yüksek hata oranları gözlemlenmiştir. Cross -validation ve out-of-sample testler ile modelin geçerliliği test edilmiştir. Sonuçlar, Markov zincirleri modelinin BIST 100 endeksi ve USD/TRY döviz kuru hareketlerini tahminlemede belirli bir performans sergilediğini, ancak yüksek volatiliteye sahip Bitcoin fiyat hareketlerinin öngörülmesinde hibrit modellere duyulan ihtiyacı ortaya koymaktadır.

Keywords

Markov Zinciri, Finansal Tahminleme, Geçiş Olasılık Matrisi, MAE ve RMSE, Volatilite Analizi

Financial Forecasting with Markov Chains: A Theoretical Approach and an Application

Abstract

This study aims to perform forecasting using Markov chains in financial time series. The performance of the model was evaluated in markets with different volatilities using the Borsa Istanbul BIST 100 index, USD/TRY exchange rate, and Bitcoin (BTC/USD) price data. In the model, transition probabilities were calculated for three states (positive, negative, and neutral return days) determined based on closing prices. The direction of the next day was predicted using the obtained transition probability matrices. Model performance was evaluated using MAE, RMSE, MAPE, RMSE/MAE ratio, and Theil's U statistics; high accuracy and low error rates were obtained for BIST 100. Moderate error rates were observed for USD/TRY, and high error rates for BTC/USD. The validity of the model was tested using cross-validation and out-of-sample tests. The results show that the Markov chain model performs well in predicting BIST 100 index and USD/TRY exchange rate movements, but highlights the need for hybrid models in predicting Bitcoin price movements, which are characterized by high volatility.

Keywords

Markov Chain, Financial Forecasting, Transition Probability Matrix, MAE and RMSE, Volatility Analysis

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Details

Primary Language

Turkish

Subjects

Financial Forecast and Modelling

Journal Section

Research Article

Authors

Yasemin Yurtoğlu ^*
0000-0001-9579-6133
Türkiye

Publication Date

March 31, 2026

Submission Date

August 8, 2025

Acceptance Date

November 26, 2025

Published in Issue

Year 2026 Volume: 40 Number: 2

DOI

https://doi.org/10.16951/trendbusecon.1760688

IZ

https://izlik.org/JA36BD99AW

APA

Yurtoğlu, Y. (2026). Markov Zincirleri ile Finansal Tahminleme: Teorik Bir Yaklaşım ve Uygulamalı Bir Çalışma. Trends in Business and Economics, 40(2), 220-235. https://doi.org/10.16951/trendbusecon.1760688

AMA

1.Yurtoğlu Y. Markov Zincirleri ile Finansal Tahminleme: Teorik Bir Yaklaşım ve Uygulamalı Bir Çalışma. Trend Bus Econ. 2026;40(2):220-235. doi:10.16951/trendbusecon.1760688

Chicago

Yurtoğlu, Yasemin. 2026. “Markov Zincirleri Ile Finansal Tahminleme: Teorik Bir Yaklaşım Ve Uygulamalı Bir Çalışma”. Trends in Business and Economics 40 (2): 220-35. https://doi.org/10.16951/trendbusecon.1760688.

EndNote

Yurtoğlu Y (March 1, 2026) Markov Zincirleri ile Finansal Tahminleme: Teorik Bir Yaklaşım ve Uygulamalı Bir Çalışma. Trends in Business and Economics 40 2 220–235.

IEEE

[1]Y. Yurtoğlu, “Markov Zincirleri ile Finansal Tahminleme: Teorik Bir Yaklaşım ve Uygulamalı Bir Çalışma”, Trend Bus Econ, vol. 40, no. 2, pp. 220–235, Mar. 2026, doi: 10.16951/trendbusecon.1760688.

ISNAD

Yurtoğlu, Yasemin. “Markov Zincirleri Ile Finansal Tahminleme: Teorik Bir Yaklaşım Ve Uygulamalı Bir Çalışma”. Trends in Business and Economics 40/2 (March 1, 2026): 220-235. https://doi.org/10.16951/trendbusecon.1760688.

JAMA

1.Yurtoğlu Y. Markov Zincirleri ile Finansal Tahminleme: Teorik Bir Yaklaşım ve Uygulamalı Bir Çalışma. Trend Bus Econ. 2026;40:220–235.

MLA

Yurtoğlu, Yasemin. “Markov Zincirleri Ile Finansal Tahminleme: Teorik Bir Yaklaşım Ve Uygulamalı Bir Çalışma”. Trends in Business and Economics, vol. 40, no. 2, Mar. 2026, pp. 220-35, doi:10.16951/trendbusecon.1760688.

Vancouver

1.Yasemin Yurtoğlu. Markov Zincirleri ile Finansal Tahminleme: Teorik Bir Yaklaşım ve Uygulamalı Bir Çalışma. Trend Bus Econ. 2026 Mar. 1;40(2):220-35. doi:10.16951/trendbusecon.1760688

Content of this journal is licensed under a Creative Commons Attribution 4.0 International License

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Markov Zincirleri ile Finansal Tahminleme: Teorik Bir Yaklaşım ve Uygulamalı Bir Çalışma

Abstract

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Financial Forecasting with Markov Chains: A Theoretical Approach and an Application

Abstract

Keywords

References

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