Search Results

Now showing 1 - 2 of 2

Determination of the Best Simple Moving Average By Stochastic Processes
(2017) İlalan, Deniz
In this study, we consider one of the most popular technical indicators and try to determine the best fitting simple moving average to a given data. Here we utilize from a general mean reverting stochastic process where the mean is time dependent. We propose an identification algorithm which mainly concentrates on the normality of the residual terms after the data is demeaned from simple moving average and also provide evidence that our algorithm works quite well for determination of the “best” simple moving average.
Citation - Scopus: 1
How Stock Markets Become Desensitized To Terror
(Emerald Group Publishing Ltd., 2017) Ilalan, D.
Purpose-A widely accepted belief indicates that terror activities have negative impact on stock markets. Contrary to numerous empirical studies, the purpose of this paper is to consider this issue from another point of view in the sense that markets can become desensitized to terror. Design/methodology/approach-Here, instead of directly analyzing the existing data, the stochastic nature of the events is taken into consideration. Findings-The author compares three countries and found out that the correlation between terror and stock markets is almost nil when terror events become a commonplace. Originality/value-This paper applies mean reverting stochastic processes to terror incidents and brings out interesting results. © Emerald Publishing Limited.

Bankacılık ve Finans Bölümü Yayın Koleksiyonu