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dc.contributorEconomicsen
dc.contributor.advisorErdem, Orhan
dc.contributor.authorOruç, Hande
dc.date.accessioned2015-02-13T11:25:07Z
dc.date.available2015-02-13T11:25:07Z
dc.date.issued2010
dc.identifier.urihttp://hdl.handle.net/11411/370
dc.description.abstractIn this study, we consider a nonlinear probabilistic discretized version of Geo- metric Brownian Motion (GBM) to model the stock prices traded in Istanbul Stock Exchange. By nonlinearity we mean the existence of di¤erent states in the model, namely positive return process, negative return process. As the names im- ply, each process is formed using positive and negative returns respectively. The model decides which process to use according to a probabilistic framework en- dogenously determined in the model. By means of these probabilities, this model is designed to give better t than GBM, where the better t is acquired by Mean Squared Errors (MSE). We obtain the results via the Monte Carlo technique using Matlab and hundred stock prices. As a result, the obtained probabilities after simulation demonstrate that positive returns tend to be followed by negative return process and vice versa.en
dc.language.isoenen
dc.publisherİstanbul Bilgi Üniversitesien
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 United States*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/us/*
dc.titleA switching model approach to stock price modelingen
dc.title.alternativeRejim değiştirme modelleri kullanarak hisse senedi modellemesien
dc.typeThesisen


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