Öz
Bu çalışmanın amacı İstanbul Menkul Kıymetler Borsası endekslerindeki muhtemel fractal davranışları araştırmaktır.Özellikle, kaotik ve fraktal davranışların kanıtları verilecektir.Verilen endekslerin monofraktal davranışlarını analiz etmek için Higuchi ve Katz metodlarını kullanacağız. Buna ek olarak,araştırılan endekslerin kaotik davranışlarını incelemek amacıyla Dönüştürülmüş Genişlik R/S ve Arındırlmış Dalgalanma DFA Analiz’leri kullanılmıştır.
Anahtar Kelimeler
Fraktal Geometri Higuchi Katz Arındırılmış Dalgalanma Analizi Dönüştürülmüş Genişlik Analizi
Kaynakça
- Edgar E.Peters , Fractal Market Analysis: Applying Chaos Theory to Investment and Economics , 1994 by John Wiley & Sons, Inc.
- http://en.wikipedia.org/wiki/Lyapunov_exponent
- http://www.physionet.org/physiotools/lyapunov/RosensteinM93.pdf
- Sammader, Swetadri and Ghosh, Koushik and Basu, Tapasendra ,Fractal Analysis of Prime Indian Stock Market Indices, Fractals, Vol. 21, No. 1 (2013) 1350003 (11 pages),World Scientific Publishing Company.
- Wentian Li , Absence of 1/f Spectra in Dow Jones Daily Price, International Journal of Bifurcation and Chaos (Impact Factor: 1.02). 07/1999; DOI: 10.1142/S0218127491000427
- Masset, Philippe, Analysis of Financial Time-Series Using Fourier and Wavelet Methods (October 24, 2008).
- http://research.cs.tamu.edu/prism/lectures/pr/pr_l29.pdf
- Nath, G. C. (2001). Long memory and Indian stock market–an empirical evidence. In UTIICM Conference Paper.
- O. Cakar, O. O. Aybar, A. S. Hacinliyan, I. Kusbeyzi , Chaoticity in the Time Evolution of Foreign Currency Exchange Rates in Turkey (2010)
- A. S. Hacınlıyan, O. O. Aybar, İ. Kuşbeyzi Aybar, M. Kulalı, Ş. Karaduman “Signals of Chaotic Behavior in Middle Eastern Stock Exchanges”, Chaos and Complex Systems– Proceedings of the 4th International Interdisciplinary Chaos Symposium, Springer, ISBN 978- 3-642-33913-4, pp. 353-356, (2013).
- Nilufer Alan, İlknur Kuşbeyzi Aybar, O. Özgür Aybar, Avadis S. Hacınlıyan, “Chaotic Trend Possibility in the Gold Market”, Chaotic Modeling and Simulation (CMSIM) 1: pp. 75-81 , (2013).
- Peng C. K., Havlin S., Stanley H. E., Goldberger A. L., Quantification of scaling exponents and crossover phenomena in nonstationary heartbeat timeseries, Chaos, 5, pp. 82–87, 1995.
- Hardstone R, Poil S-S, Schiavone G, Jansen R, Nikulin VV, Mansvelder HD and Linkenkaer-Hansen K (2012) Detrended fluctuation analysis: a scale-free view on neuronal oscillations. Front. Physio. 3:450. doi: 10.3389/fphys.2012.00450
Öz
The purpose of this study is to investigate possible fractal behavior in Istanbul Stock Exchange BIST indices. In particular evidence of chaotic and fractal behavior will be presented. To be able to analyze monofractality of given indices we are going to use Higuchi and Katz methods. In addition to this, we analyze the chaotic behavior of the investigated indices using Rescaled Range Analysis R/S and Detrended Fluctuation Analysis DFA .
Anahtar Kelimeler
Fractal Geometry Higuchi Katz Detrended Fluctuation Analysis Rescaled Range Analysis
Kaynakça
- Edgar E.Peters , Fractal Market Analysis: Applying Chaos Theory to Investment and Economics , 1994 by John Wiley & Sons, Inc.
- http://en.wikipedia.org/wiki/Lyapunov_exponent
- http://www.physionet.org/physiotools/lyapunov/RosensteinM93.pdf
- Sammader, Swetadri and Ghosh, Koushik and Basu, Tapasendra ,Fractal Analysis of Prime Indian Stock Market Indices, Fractals, Vol. 21, No. 1 (2013) 1350003 (11 pages),World Scientific Publishing Company.
- Wentian Li , Absence of 1/f Spectra in Dow Jones Daily Price, International Journal of Bifurcation and Chaos (Impact Factor: 1.02). 07/1999; DOI: 10.1142/S0218127491000427
- Masset, Philippe, Analysis of Financial Time-Series Using Fourier and Wavelet Methods (October 24, 2008).
- http://research.cs.tamu.edu/prism/lectures/pr/pr_l29.pdf
- Nath, G. C. (2001). Long memory and Indian stock market–an empirical evidence. In UTIICM Conference Paper.
- O. Cakar, O. O. Aybar, A. S. Hacinliyan, I. Kusbeyzi , Chaoticity in the Time Evolution of Foreign Currency Exchange Rates in Turkey (2010)
- A. S. Hacınlıyan, O. O. Aybar, İ. Kuşbeyzi Aybar, M. Kulalı, Ş. Karaduman “Signals of Chaotic Behavior in Middle Eastern Stock Exchanges”, Chaos and Complex Systems– Proceedings of the 4th International Interdisciplinary Chaos Symposium, Springer, ISBN 978- 3-642-33913-4, pp. 353-356, (2013).
- Nilufer Alan, İlknur Kuşbeyzi Aybar, O. Özgür Aybar, Avadis S. Hacınlıyan, “Chaotic Trend Possibility in the Gold Market”, Chaotic Modeling and Simulation (CMSIM) 1: pp. 75-81 , (2013).
- Peng C. K., Havlin S., Stanley H. E., Goldberger A. L., Quantification of scaling exponents and crossover phenomena in nonstationary heartbeat timeseries, Chaos, 5, pp. 82–87, 1995.
- Hardstone R, Poil S-S, Schiavone G, Jansen R, Nikulin VV, Mansvelder HD and Linkenkaer-Hansen K (2012) Detrended fluctuation analysis: a scale-free view on neuronal oscillations. Front. Physio. 3:450. doi: 10.3389/fphys.2012.00450
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Bölüm | Research Article |
| Yazarlar | |
| Yayımlanma Tarihi | 1 Ocak 2015 |
| Gönderilme Tarihi | 1 Ocak 2015 |
| Yayımlandığı Sayı | Yıl 2015 |
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