IMKB100 ENDEKS DEĞİŞİM DEĞERLERİNDE LYAPUNOV ÜSTELİ METODUYLA KAOSUN İNCELENMESİ

Yıl 2016, Cilt: 8 Sayı: 30, 151 - 174, 01.06.2016

Orcan Alpar Özge Eren

Öz

Anahtar Kelimeler

Lyapunov Üsteli, Kaos teorisi, Borsa, IMKB100, Zaman Serisi Analizi

INVESTIGATION OF CHAOS IN IMKB100 CHANGE VALUES VIA LYAPUNOV EXPONENT METHOD

Öz

In nonlinear time series analysis, the largest Lyapunov exponent, which,
if positive, is the evidence for chaos. In this paper, we investigate chaos
in IMKB100 time series data with Lyapunov Exponent Method. With the
well-known time series analysis tools, we show that the future market
values are sequentially unpredictable.

Anahtar Kelimeler

Lyapunov Exponent, Chaos Theory, Financial Market, IMKB100, Time Series Analysis