Yıl 2017, Cilt 9, Sayı 16, Sayfalar 59 - 67 2017-01-01

Stokastik Süreçlerle En İyi Basit Hareketli Ortalamanın Belirlenmesi
Determination of the Best Simple Moving Average By Stochastic Processes

Deniz İLALAN [1]

221 266

Bu çalışmada en gözde teknik analiz indikatörlerinden birisi incelenmiş ve veriye en iyi uyan basit hareketli
ortalama belirlenmeye çalışılmıştır. Burada, ortalamanın zamana bağlı olduğu genel bir ortalamaya
dönen stokastik süreçten faydalanılmıştır. Veri basit hareketli ortalamadan arındırıldıktan sonra kalan terimlerin
normal dağılımına odaklanan bir algoritma sunulmuştur. En iyi hareketli ortalamayı belirleyen algoritmamızın
çalıştığı bir örnek verilmiştir.

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.

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Konular Sosyal
Yayımlanma Tarihi 2017
Dergi Bölümü Makaleler
Yazarlar

Yazar: Deniz İLALAN

Bibtex @araştırma makalesi { marufacd305567, journal = {Finansal Araştırmalar ve Çalışmalar Dergisi}, issn = {1309-1123}, eissn = {2529-0029}, address = {Marmara Üniversitesi}, year = {2017}, volume = {9}, pages = {59 - 67}, doi = {10.14784/marufacd.305567}, title = {Stokastik Süreçlerle En İyi Basit Hareketli Ortalamanın Belirlenmesi}, key = {cite}, author = {İLALAN, Deniz} }
APA İLALAN, D . (2017). Stokastik Süreçlerle En İyi Basit Hareketli Ortalamanın Belirlenmesi. Finansal Araştırmalar ve Çalışmalar Dergisi, 9 (16), 59-67. DOI: 10.14784/marufacd.305567
MLA İLALAN, D . "Stokastik Süreçlerle En İyi Basit Hareketli Ortalamanın Belirlenmesi". Finansal Araştırmalar ve Çalışmalar Dergisi 9 (2017): 59-67 <http://dergipark.gov.tr/marufacd/issue/28613/305567>
Chicago İLALAN, D . "Stokastik Süreçlerle En İyi Basit Hareketli Ortalamanın Belirlenmesi". Finansal Araştırmalar ve Çalışmalar Dergisi 9 (2017): 59-67
RIS TY - JOUR T1 - Stokastik Süreçlerle En İyi Basit Hareketli Ortalamanın Belirlenmesi AU - Deniz İLALAN Y1 - 2017 PY - 2017 N1 - doi: 10.14784/marufacd.305567 DO - 10.14784/marufacd.305567 T2 - Finansal Araştırmalar ve Çalışmalar Dergisi JF - Journal JO - JOR SP - 59 EP - 67 VL - 9 IS - 16 SN - 1309-1123-2529-0029 M3 - doi: 10.14784/marufacd.305567 UR - http://dx.doi.org/10.14784/marufacd.305567 Y2 - 2019 ER -
EndNote %0 Finansal Araştırmalar ve Çalışmalar Dergisi Stokastik Süreçlerle En İyi Basit Hareketli Ortalamanın Belirlenmesi %A Deniz İLALAN %T Stokastik Süreçlerle En İyi Basit Hareketli Ortalamanın Belirlenmesi %D 2017 %J Finansal Araştırmalar ve Çalışmalar Dergisi %P 1309-1123-2529-0029 %V 9 %N 16 %R doi: 10.14784/marufacd.305567 %U 10.14784/marufacd.305567
ISNAD İLALAN, Deniz . "Stokastik Süreçlerle En İyi Basit Hareketli Ortalamanın Belirlenmesi". Finansal Araştırmalar ve Çalışmalar Dergisi 9 / 16 (Ocak 2017): 59-67. http://dx.doi.org/10.14784/marufacd.305567