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Determination of the Best Simple Moving Average By Stochastic Processes

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dc.contributor.author İlalan, Deniz
dc.date.accessioned 2024-03-05T13:00:02Z
dc.date.available 2024-03-05T13:00:02Z
dc.date.issued 2017-01-01
dc.identifier.citation İlalan, Deniz. (2017). "Determination of the Best Simple Moving Average By Stochastic Processes", Finansal Araştırmalar ve Çalışmalar Dergisi, Vol.9, No.16, pp.59-67. tr_TR
dc.identifier.issn 1309-1123
dc.identifier.uri http://hdl.handle.net/20.500.12416/7473
dc.description.abstract 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. tr_TR
dc.language.iso eng tr_TR
dc.relation.isversionof 10.14784/marufacd.305567 tr_TR
dc.rights info:eu-repo/semantics/openAccess tr_TR
dc.subject Stock Returns tr_TR
dc.subject Simple Moving Average tr_TR
dc.subject Mean Reverting Stochastic Processes tr_TR
dc.subject Normality Test tr_TR
dc.title Determination of the Best Simple Moving Average By Stochastic Processes tr_TR
dc.title.alternative Stokastik Süreçlerle En İyi Basit Hareketli Ortalamanın Belirlenmesi tr_TR
dc.type article tr_TR
dc.relation.journal Finansal Araştırmalar ve Çalışmalar Dergisi tr_TR
dc.identifier.volume 9 tr_TR
dc.identifier.issue 16 tr_TR
dc.identifier.startpage 59 tr_TR
dc.identifier.endpage 67 tr_TR
dc.contributor.department Çankaya Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Bankacılık ve Finans Bölümü tr_TR


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