Year 2018, Volume 7, Issue 1, Pages 414 - 417 2018-09-01

EURO/TL KURU TAHMİNİNDE İSTATİSTİK VE YAPAY SİNİR AĞLARI KULLANIMI
USING ARTIFICIAL NEURAL NETWORK AND A STATISTICAL METHOD FOR THE ESTIMATION OF EURO/TURKISH LIRA EXCHANGE RATE

Oktay Tas [1] , Emir Yakak [2] , Umut Ugurlu [3]

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Amaç- Bu çalışmanın amacı Euro/Türk lirası kurunun hareketinin istatistik ve yapay sinir ağları yöntemleri ile tahmin edilmesidir.

Yöntem- Çalışmada iki farklı tahmin yöntemi ile Euro/Türk lirası kuru tahmini yapılmıştır. Girdi olarak her iki modelde de son 10 yılın Euro/Türk lirası günlük kuru kullanılmış ve son 1 yılın günlük dolar kuru tahmin edilmiştir.

Bulgular- Yapay sinir ağları yöntemi ile bulunan ortalama mutlak hatalar istatistik yöntemi ile bulunanların yaklaşık %2’si kadar daha azdır. Tahminler 365 günün her biri için “rolling window” yöntemi kullanılarak yapıldığından, elde edilen sonuçların “robust” olduğu söylenebilir.

Sonuç- Araştırmada kullanılan her iki modelin de belirli bir başarı ile Dolar kurunu tahmin tahmin edebildikleri ancak Yapay Sinir Ağları modelinin, istatistik modeline kıyasla daha başarılı sonuçlar verdiği gözlemlenmiştir. Bundan sonraki çalışmalarda dışsal değişkenlerin de modele eklenmesi ile tahmin performansının arttırılabilmesi mümkün olabilir.

Purpose- The aim of this study is to estimate the movement of the Euro/Turkish lira currency with a statistical method and artificial neural networks methods and to compare the performance of these two methods.

Methodology- In the study, two different forecasting methods were used to estimate the dollar exchange rate. In both models, the Euro/Turkish lira daily rate for the last 10 years was used and the daily dollar rate for the last 1 year was estimated.

Findings- The mean absolute errors found by artificial neural networks method are about 2% less than those found by the statistical method. Since estimates are made using the "rolling window" method for each of the 365 days, it can be said that the results obtained are "robust".

Conclusion- It has been observed that the Artificial Neural Networks model yields more successful results than the statistical model, although both models used in the research can forecast the dollar exchange rate with a certain success. In future studies it may be possible to increase the estimation performance by adding the exogenous variables to the model.

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Primary Language tr
Subjects Humanities, Multidisciplinary
Journal Section Articles
Authors

Orcid: 0000-0002-7570-549X
Author: Oktay Tas (Primary Author)

Orcid: 0000-0002-0476-0280
Author: Emir Yakak

Orcid: 0000-0002-6183-969X
Author: Umut Ugurlu

Bibtex @research article { pap459537, journal = {PressAcademia Procedia}, issn = {}, eissn = {2459-0762}, address = {PressAcademia}, year = {2018}, volume = {7}, pages = {414 - 417}, doi = {10.17261/Pressacademia.2018.926}, title = {EURO/TL KURU TAHMİNİNDE İSTATİSTİK VE YAPAY SİNİR AĞLARI KULLANIMI}, key = {cite}, author = {Tas, Oktay and Yakak, Emir and Ugurlu, Umut} }
APA Tas, O , Yakak, E , Ugurlu, U . (2018). EURO/TL KURU TAHMİNİNDE İSTATİSTİK VE YAPAY SİNİR AĞLARI KULLANIMI. PressAcademia Procedia, 7 (1), 414-417. DOI: 10.17261/Pressacademia.2018.926
MLA Tas, O , Yakak, E , Ugurlu, U . "EURO/TL KURU TAHMİNİNDE İSTATİSTİK VE YAPAY SİNİR AĞLARI KULLANIMI". PressAcademia Procedia 7 (2018): 414-417 <http://dergipark.org.tr/pap/issue/39064/459537>
Chicago Tas, O , Yakak, E , Ugurlu, U . "EURO/TL KURU TAHMİNİNDE İSTATİSTİK VE YAPAY SİNİR AĞLARI KULLANIMI". PressAcademia Procedia 7 (2018): 414-417
RIS TY - JOUR T1 - EURO/TL KURU TAHMİNİNDE İSTATİSTİK VE YAPAY SİNİR AĞLARI KULLANIMI AU - Oktay Tas , Emir Yakak , Umut Ugurlu Y1 - 2018 PY - 2018 N1 - doi: 10.17261/Pressacademia.2018.926 DO - 10.17261/Pressacademia.2018.926 T2 - PressAcademia Procedia JF - Journal JO - JOR SP - 414 EP - 417 VL - 7 IS - 1 SN - -2459-0762 M3 - doi: 10.17261/Pressacademia.2018.926 UR - https://doi.org/10.17261/Pressacademia.2018.926 Y2 - 2019 ER -
EndNote %0 PressAcademia Procedia EURO/TL KURU TAHMİNİNDE İSTATİSTİK VE YAPAY SİNİR AĞLARI KULLANIMI %A Oktay Tas , Emir Yakak , Umut Ugurlu %T EURO/TL KURU TAHMİNİNDE İSTATİSTİK VE YAPAY SİNİR AĞLARI KULLANIMI %D 2018 %J PressAcademia Procedia %P -2459-0762 %V 7 %N 1 %R doi: 10.17261/Pressacademia.2018.926 %U 10.17261/Pressacademia.2018.926
ISNAD Tas, Oktay , Yakak, Emir , Ugurlu, Umut . "EURO/TL KURU TAHMİNİNDE İSTATİSTİK VE YAPAY SİNİR AĞLARI KULLANIMI". PressAcademia Procedia 7 / 1 (September 2018): 414-417. https://doi.org/10.17261/Pressacademia.2018.926