Predicting the Direction of Gold Price Returns: Integrating Composite Artificial Neural Network Models by Markov Chain Process

Yıl 2013, Cilt: 17 Sayı: 2, 15 - 28, 01.12.2013

Süleyman Bilgin Kılıç

Öz

In this study, we first modeled daily gold returns as the discrete state Markov chain process, and second we trained an Artificial Neural Network (ANN) model in order to estimate direction of gold return. The trained model provides valuable information about the direction of next day return.

Anahtar Kelimeler

Gold price returns, Artificial Neural Network Model, Markov process

Altın Fiyatına ait Getiri Yönünün Tahmini: Bileşik Yapay Sinir Ağları Yöntemi ile Markov Zincirleri Sürecinin Bütünleştirilmesi

Öz

Bu çalışmada, öncelikle günlük ortalama altın fiyatına ait getiriler Markov zincirleri olarak modellenmiş ve daha sonra bir sonraki gün için getirinin yönünü tahmin eden Yapay Sinir Ağı Modelleri tahmin edilmiştir. Tahmin edilen modeller bir sonraki güne ait getirinin yönü konusunda önemli bilgiler vermektedir.

Anahtar Kelimeler

Altın Fiyatına Ait Getiriler, Yapay Sinir Ağı Modeli, Markov Süreci

Kaynakça

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