Markoviyen Optimal Durdurma Probleminin İyileştirilmesi ve İMKB'de Bir Uygulama (original) (raw)

Abstract

In this study, it is tried to find the most right sales time through using stock market close index values for 5110 sessions including ISE’s January 1997- April 2007 dates. A disadvantage of Markovian Optimal Stopping method that emerges in the low inflation environment is acting slowly in sales of share certificates; in other words, it highly decreases the transaction number. Beside the mean and median models which are used frequently with this technique, a new model called Beta-restricted is developed and with this model the disadvantages that emerge in low inflation environment is tried to be improved. In the 511 of 514 selling operations of mean and median models are also made with - restricted model in which it is seen that with 58 more processes, that is, approximately in the rate of 11,28% more processes was made and approximately in proportion to 10,61% increase in the yearly profit is realized. In one sense, this shows that - restricted model is better. On the other hand, i...

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