IMKB100 ENDEKS DEĞİŞİM DEĞERLERİNDE LYAPUNOV ÜSTELİ METODUYLA KAOSUN İNCELENMESİ

Authors : Orcan ALPAR, Özge EREN

Pages : 151-174

View : 15 | Download : 8

Publication Date : 2016-06-01

Article Type : Research Paper

Abstract :In nonlinear time series analysis, the largest Lyapunov exponent, which, if positive, is the evidence for chaos. In this paper, we investigate chaos in IMKB100 time series data with Lyapunov Exponent Method. With the well-known time series analysis tools, we show that the future market values are sequentially unpredictable.
Keywords : Lyapunov Üsteli, Kaos teorisi, Borsa, IMKB100, Zaman Serisi Analizi