Hisse Senedi Fiyat Hareketlerinin Tahmin Edilmesinde Markov Zincirlerinin Kullanılması: İMKB 10 Bankacılık Endeksi İşletmeleri Üzerine Ampirik Bir Çalışma

Bu çalışmanın amacı Markov zincirleri ile gelecekteki hisse senedi fiyat hareketlerinin tahmin edilmesidir. Araştırmada İMKB 10 Bankacılık endeksine dahil on adet hisse senedinin 02.01.2012-31.12.2012 dönemine ait günlük kapanış fiyatları kullanılmıştır. Yapılan analiz sonucunda on adet hisse senedinden dokuzunun fiyat hareketi başarılı bir şekilde tahmin edilmiştir. Bu çerçevede gelecekteki hisse senedi fiyat hareketlerinin tahmininde Markov zincirleri yönteminin kullanılmasının başarılı olduğunu söyleyebiliriz.

Anahtar Kelimeler:

Hisse Senedi Fiyat Hareketleri, Tahmin, Markov Zincirleri

HİSSE SENEDİ FİYAT HAREKETLERİNİN TAHMİN EDİLMESİNDE MARKOV ZİNCİRLERİNİN KULLANILMASI: İMKB 10 BANKACILIK ENDEKSİ İŞLETMELERİ ÜZERİNE AMPİRİK BİR ÇALIŞMA / THE USE OF MARKOV CHAİNS FOR THE PREDİCTİON OF STOCK PRİCE MOVEMENTS: AN EMPİRİCAL STUDY ON THE ISE 10 BANKİNG INDEX FİRMS

“The aim of this study, is to predict the future stock price movements by Markov chains. In this research, daily closing prices of 10 stocks under the ISE 10 Banking index were used during the 02.01.2012-31.12.2012. As a result of the analysis, the price movement of nine stocks were predicted successfully. Within this framework, we can say that the use of Markov chains is useful to predict the future stock price movements.”

Keywords:

Stock Price Movements, Prediction, Markov Chains.,

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