A switching model approach to stock price modeling
dc.contributor | Economics | en |
dc.contributor.advisor | Erdem, Orhan | |
dc.contributor.author | Oruç, Hande | |
dc.date.accessioned | 2015-02-13T11:25:07Z | |
dc.date.available | 2015-02-13T11:25:07Z | |
dc.date.issued | 2010 | |
dc.department | Enstitüler, Lisansüstü Programlar Enstitüsü, Ekonomi Ana Bilim Dalı | en_US |
dc.description.abstract | In 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_US |
dc.identifier.uri | https://hdl.handle.net//11411/370 | |
dc.identifier.uri | https://tez.yok.gov.tr/UlusalTezMerkezi/TezGoster?key=zD1B0cW7zVr3VcnZjitVXgRWncGnFifuZog2ODAsDYEY-6ABr_48MW0YctYefD1f | |
dc.identifier.yoktezid | 288073 | en_US |
dc.language.iso | en | en_US |
dc.publisher | İstanbul Bilgi Üniversitesi | en_US |
dc.relation.publicationcategory | Tez | en_US |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 United States | * |
dc.rights | info:eu-repo/semantics/openAccess | en |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/us/ | * |
dc.title | A switching model approach to stock price modeling | en_US |
dc.title.alternative | Rejim değiştirme modelleri kullanarak hisse senedi modellemesi | en_US |
dc.type | Master Thesis | en_US |
Dosyalar
Orijinal paket
1 - 1 / 1
Yükleniyor...
- İsim:
- A switching model approach to stock price modeling.pdf
- Boyut:
- 333.99 KB
- Biçim:
- Adobe Portable Document Format
- Açıklama:
- A switching model approach to stock price modeling
Lisans paketi
1 - 1 / 1
Küçük Resim Yok
- İsim:
- license.txt
- Boyut:
- 1.71 KB
- Biçim:
- Item-specific license agreed upon to submission
- Açıklama: