Matematik Bölümü Yayın Koleksiyonu

Permanent URI for this collectionhttps://hdl.handle.net/20.500.12416/413

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20202

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Author: search.filters.author.Baleanu, DumitruSubject: search.filters.subject.Forecasting

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  • Article
    Citation - WoS: 33
    Citation - Scopus: 40
    A Novel R/S Fractal Analysis and Wavelet Entropy Characterization Approach for Robust Forecasting Based on Self-Similar Time Series Modeling
    (World Scientific Publ Co Pte Ltd, 2020) Baleanu, Dumitru; Karaca, Yeliz
    It has become vital to effectively characterize the self-similar and regular patterns in time series marked by short-term and long-term memory in various fields in the ever-changing and complex global landscape. Within this framework, attempting to find solutions with adaptive mathematical models emerges as a major endeavor in economics whose complex systems and structures are generally volatile, vulnerable and vague. Thus, analysis of the dynamics of occurrence of time section accurately, efficiently and timely is at the forefront to perform forecasting of volatile states of an economic environment which is a complex system in itself since it includes interrelated elements interacting with one another. To manage data selection effectively and attain robust prediction, characterizing complexity and self-similarity is critical in financial decision-making. Our study aims to obtain analyzes based on two main approaches proposed related to seven recognized indexes belonging to prominent countries (DJI, FCHI, GDAXI, GSPC, GSTPE, N225 and Bitcoin index). The first approach includes the employment of Hurst exponent (HE) as calculated by Rescaled Range (R/S) fractal analysis and Wavelet Entropy (WE) in order to enhance the prediction accuracy in the long-term trend in the financial markets. The second approach includes Artificial Neural Network (ANN) algorithms application Feed forward back propagation (FFBP), Cascade Forward Back Propagation (CFBP) and Learning Vector Quantization (LVQ) algorithm for forecasting purposes. The following steps have been administered for the two aforementioned approaches: (i) HE and WE were applied. Consequently, new indicators were calculated for each index. By obtaining the indicators, the new dataset was formed and normalized by min-max normalization method' (ii) to form the forecasting model, ANN algorithms were applied on the datasets. Based on the experimental results, it has been demonstrated that the new dataset comprised of the HE and WE indicators had a critical and determining direction with a more accurate level of forecasting modeling by the ANN algorithms. Consequently, the proposed novel method with multifarious methodology illustrates a new frontier, which could be employed in the broad field of various applied sciences to analyze pressing real-world problems and propose optimal solutions for critical decision-making processes in nonlinear, complex and dynamic environments.
  • Article
    Citation - WoS: 8
    Citation - Scopus: 8
    A Novel Fractional Grey Model Applied To the Environmental Assessment in Turkey
    (World Scientific Publ Co Pte Ltd, 2020) Arshad, Sadia; Defterli, Ozlem; Xie, Xiaoqing; Baleanu, Dumitru; Shaheen, Aliya; Sheng, Jinyong
    This study presents a novel fractional order grey model FGM (alpha,1) obtained by extending the grey model (GM (1,1)). For this, we generalize the whitenization first-order differential equation to fractional order by using the Caputo fractional derivative of order alpha. A real-world case study, scrutinize the economic growth influence on environmental degradation in Turkey, is performed to evaluate the significance of the projected model FGM (alpha,1) in contrast to the current classical GM. We apply autoregressive distributed lags bounds testing co-integration approach to empirically examine the long-run and short-run relation among economic growth, agriculture, forestry and fishing (AFF), electricity utilization and CO2 emissions. Using the new fractional order model, all the variables are forecasted in the forthcoming years until 2030. Findings disclose that electricity utilization and economic growth (GDP) accelerate emission of CO2 though in the long run agriculture, forestry, and fishing reduce the environmental pollution in Turkey.