BİST100 ENDEKSİ FİYAT ve İŞLEM HACMİNİN FRAKTALLIK ANALİZİ

Yıl 2015, Cilt: 16 Sayı: 1, 35 - 50, 01.01.2015

Samet Günay

Öz

Bu çalışmada 04.01.2000-19.03.2014 dönemi için BIST100 Endeksi’nin getirileri ve işlem hacminin fraktal yapısı incelenmiştir. Fraktallık testlerinde uzun dönemli bellek analizleri ve fraktal boyut hesaplama yöntemleri kullanılmıştır. Uzun dönemli bellek hesaplamalarında Dönüştürülmüş Genişlik analizi, Eğilimden Arındırılmış Dalgalanma Analizi ve Smith’in 2005 modifiye GPH analizi kullanılırken, fraktal boyut hesaplamalarında Kutu Sayım,Yarı-Periyodogram ve Variogram yöntemleri uygulanmıştır. Elde edilen sonuçlar tüm yöntemler için tutarlı olup, hem BIS100 endeks getirlerinde hem de işlem hacminde fraktal bir yapı olmadığı görülmüştür.

Anahtar Kelimeler

Uzun Dönemli Bellek, Fraktal Boyut, Kendine Benzerlik, Fraktallık

FRACTALITY ANALYSIS of BIST100 INDEX RETURNS and VOLUME

Öz

In this study, we examined the fractal structure of the BIST100 index returns and volume during the period of 04.01.2000-19.03.2014. In the fractality tests we used long memory analysis and the fractal dimension calculation methods. Long memory analysis was conducted via Rescaled Range R/S analysis, Detrended Fluctuaiton Analysis DFA and Smith’s 2005 modified GPH analysis; fractal dimension calculations were performed with Box-Counting, Semi-Periodogram and Variogram methods. Results showed that all findings of the different methods consistent with each other, and there is no fractality in the BIST100 index returns and volume

Anahtar Kelimeler

Long Memory, Fractal Dimension, Self-Similarity, Fractality

Kaynakça

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