Browsing by Author "İlalan, Deniz"

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Citation - Scopus: 8
A Poisson process with random intensity for modeling financial stability
(Ediciones Doyma, S.L., 2016) Ilalan, D.; İlalan, Deniz; Bankacılık ve Finans
Stock market crashes are hazardous for financial stability and usually modeled via Poisson processes having a predetermined fixed intensity. This study uses a more general framework by allowing the intensity to be random in order to model rare events called the “unpredictable unknowns”. Three stock indices, namely Japan Nikkei 225, US Dow Jones Industrial Average and Turkish BIST 100 are analyzed. Simulation results indicate that in stable markets, we encounter fewer unpredictable unknowns compared to unstable ones. However, it is also shown that stable markets are more prone to severe financial crises. © 2015 Asociación Española de Finanzas
Can Stock Price Manipulation be Prevented by Granting More Freedom to Manipulators
(2015) İlalan, Deniz; Bankacılık ve Finans
Allen and Gale (1992) construct a model to show that stock price manipulation is possible. The time structure of their model allows manipulators to pretend as “informed” traders, so that the local investors cannot distinguish what type of entrant they are facing. When the type of the entrant becomes known to the local investors it is already too late to make any use of that information. This paper shows an institution can be designed in a very natural fashion which induces different behaviors on the part of manipulators and “informed” traders at the beginning of the process. The institution designed roughly consists of entitling the entrants to resell stocks at a later date as well if they wish to do so. As this reasoning is also accessible to manipulators, the designed institution deters them from entering the market. Regarding the informed traders, their expected gain from entering the stock market may or may not be positive contingent on the basic parameters of the model. There are cases, however, when there is an improvement in the expected total gain of the local investors.
Determination of the Best Simple Moving Average By Stochastic Processes
(2017) İlalan, Deniz; Bankacılık ve Finans
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.
Doğrusal Olmayan Birim Kök Testi İle Bıst 100 Endeksi Üzerine Ampirik Bir Çalışma
(2018) İlalan, Deniz; İlalan, Deniz; Bankacılık ve Finans
Bu çalışmada Borsa İstanbul 100 endeksinin etkinliği sınanmaktadır. En sık kullanılandoğrusal ve yapısal kırılmalı birim kök testleri elimizdeki zaman serisinin durağan olmadığınıyani başka bir deyişle birim kökün varlığını desteklerken Kapatenios, Snell ve Shin’in geliştirmişolduğu doğrusal olmayan birim kök testi ise bunun aksini iddia etmektedir. Bu bağlamdabelirli dönemlerde doğrusal olmayan bir yapının varlığı söz konusudur. Bu bulgu araştırmacıaçısından veride gereksiz yere fark alınmasının önüne geçeceği gibi yatırımcı açısından daendeksin hareketini analiz etmede faydalı olacaktır
Citation - WoS: 5
Citation - Scopus: 6
Elliott wave principle and the corresponding fractional Brownian motion in stock markets: Evidence from Nikkei 225 index
(Pergamon-elsevier Science Ltd, 2016) Ilalan, Deniz; İlalan, Deniz; Bankacılık ve Finans
This paper examines one of the vital technical analysis indicators known as the Elliott wave principle. Since these waves have a fractal nature with patterns that are not exact, we first determine the dimension of them. Our second aim is to find a linkage between Elliott wave principle and fractional Brownian motion via comparing their Hausdorff dimensions. Thirdly, we consider the Nikkei 225 index during Japan asset price bubble, which is a perfect example of an Elliott wave. (C) 2016 Elsevier Ltd. All rights reserved.
Citation - Scopus: 1
How stock markets become desensitized to terror
(Emerald Group Publishing Ltd., 2017) Ilalan, D.; İlalan, Deniz; Bankacılık ve Finans
Purpose-A widely accepted belief indicates that terror activities have negative impact on stock markets. Contrary to numerous empirical studies, the purpose of this paper is to consider this issue from another point of view in the sense that markets can become desensitized to terror. Design/methodology/approach-Here, instead of directly analyzing the existing data, the stochastic nature of the events is taken into consideration. Findings-The author compares three countries and found out that the correlation between terror and stock markets is almost nil when terror events become a commonplace. Originality/value-This paper applies mean reverting stochastic processes to terror incidents and brings out interesting results. © Emerald Publishing Limited.
Citation - WoS: 0
Citation - Scopus: 0
How Us Wages Effect Post-Socialist European Stock Markets: an Empirical Study
(Univ Oviedo, 2018) Ilalan, Deniz; İlalan, Deniz; Ilalan, Deniz; Bankacılık ve Finans
Following the famous tapering speech of Bernanke on 2013, US non-farm payroll data became the leading indicator for the monetary policy of Fed. After midst of 2014 Fed shifted its attention to average hourly wage increases which was regarded as the determinant of inflation. As inflation is closely linked with possible increments of Fed funds rate, investors began to follow US wages more closely. We investigate the impact of US wages especially through concentrating on some Post-Socialist European stock markets. As US wages are found to Granger cause these stock exchanges, interestingly with domestic wages, a similar causation relation could not be achieved. This brings out the question whether wages are indeed an indicator for stock markets or not.
Modeling Correlation Structure for Collateralized Debt Obligations
(2015) İlalan, Deniz; Bankacılık ve Finans
Pricing complex financial derivatives such as collateralized debt obligations (CDO) is considered as the main reason triggering the 2008 financial crisis. The correlation structure related to the credit risks involved in a portfolio for pricing issues have been tried to overcome via a Gaussian copula framework first introduced by David Li (2000). This approach regards the correlation among the credit risks as normally distributed (tied with a Gaussian copula framework), enabling us to derive analytical solutions. However, despite its simplicity, this approach is far from reality, which caused mispricing of the tranches of CDOs. This phenomenon is called the correlation smile. This paper takes the correlation smile issue by considering a Levy copula framework. When this is introduced to pricing equations, one can see that the correlation smile is “corrected”. Thus, a more accurate model of pricing the above-mentioned tranches is introduced.
Citation - WoS: 0
Non-linear unit root testing with arctangent trend: Simulation and applications in finance
(Taylor & Francis As, 2018) Ilalan, Deniz; İlalan, Deniz; Ozel, Ozgur; 234617; Bankacılık ve Finans
We consider arctangent as the logistic function and compute the asymptotic critical values of the related non-linear unit root test via Monte Carlo simulation. While doing so, we got inspiration from some pioneering articles and use first-order Taylor approximation. We observe that this newly proposed test exhibits higher power than some well-known linear and non-linear tests. We apply our test to some stock indexes and find out that a non-linear arctangent trend can be at stage, rather than a linear unit root process.
Nonlinearity of Turkish Credit Default Swap Spreads
(2018) İlalan, Deniz; İlalan, Deniz; Bankacılık ve Finans
Bu çalışmada araştırmacı ve yatırımcılar için önemli gösterge niteliği taşıyan durağanlık kavramı Türk Kredi Temerrüt Takası (KTT) primleri özelinde incelenmiştir. Verimiz için her ne kadar en çok kullanılan doğrusal birim kök testi olan Dickey Fuller (ADF) birim kökün varlığının reddedemezken, doğrusal olmayan Kapatenios, Snell ve Shin (KSS) ve Sollis testleri yumuşak geçişli bir durağanlık saptamışlardır. Ayrıca, bu yumuşak geçişin asimetrik bir yapıda olduğu bulgularımız arasındadır. KTT primlerinin dinamiklerini anlama öngörülebilirlik ve modellemeyi güçlendireceğinden araştırmacılara ADF testi beraberinde KSS ve Sollis testlerini uygulamalarını da önermekteyiz.
The Impact of Fed Policy Announcements on Emerging Stock Markets: Evidence from Borsa Istanbul
(2017) İlalan, Deniz; İlalan, Deniz; Bankacılık ve Finans
This paper aims to understand the impact of US nonfarm payroll announcements on emerging stock markets through concentrating on the Turkish Stock Exchange: BIST 100. We not only investigate the impact of each of the three components of the nonfarm payroll data for the whole period under consideration, but also look for possible differences among four sub-periods. A comparative analysis leads us to conclude that it is not the nonfarm payroll which significantly affect BIST 100, but the fact that it is regarded as an important indicator to foresee Fed’s policy actions that can alter the capital flows.