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  • İKÜ Güncesi Fen ve Mühendislik Bilimleri / Journal of İstanbul Kültür University Science and Engineering
  • Cilt 4, Sayı 2, Temmuz 2006
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  • Cilt 4, Sayı 2, Temmuz 2006
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Modeling Chaotic Behaviours In Financial Markets

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Author
Özün, Alper
Type
Article
Date
2006-07
Language
en_US
Metadata
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Abstract
Lack of deef trading volüme, increasing levels of hot Money and information, flexibilities of hedge funds an volatilitiesin emerging markets interrupt the linear relationship between risk and return. Due to corupted risk perspectives and irrational risk appettites of the market participants, chaotic patterns and non-linear behaviours in financial time series might ocur in emerging markets. Traditional econometric models are not able to capture chaotic natüre of the markets due to their strick assumptions on time series such as requirement of normal distribution fort he series. Recently, artificial neural networks, wavelets, fuzzy logic and genetic algortihms have been uset to model chaotic behaviours. This paper discusses the reasons of emergence of chaotic patterns and algorithms of modeling of those patterns. Neural networks and wavelets are introduced as modeling methods with a simple simulations based on feedforward neural networks. The paper concludes that successfully designed hybrid intelligent models might capture the chaos and non-linearities in the markets.
Subject
Chaotic Markets
Nonlinear Dynamics
Neural Networks
Wavelets
Kaotik Piyasalar
Doğrusal Olmayan Dinamikleri
Sinir Ağları
Dalgalanma
URI
http://hdl.handle.net/11413/371
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  • Cilt 4, Sayı 2, Temmuz 2006 [24]

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İstanbul Kültür University

Hakkında |Politika | Kütüphane | İletişim | Send Feedback | Admin

Istanbul Kültür University, Ataköy Campus E5 Karayolu Üzeri Bakırköy 34158, İstanbul / TURKEY
Copyright © İstanbul Kültür University

Creative Commons Lisansı
IKU Institutional Repository, Creative Commons Alıntı-GayriTicari-Türetilemez 4.0 Uluslararası Lisansı ile lisanslanmıştır.

Designed by  UNIREPOS