Determination of the Best Simple Moving Average By Stochastic Processes
| dc.contributor.author | İlalan, Deniz | |
| dc.contributor.other | 03.01. Bankacılık ve Finans | |
| dc.contributor.other | 03. İktisadi ve İdari Birimler Fakültesi | |
| dc.contributor.other | 01. Çankaya Üniversitesi | |
| dc.date.accessioned | 2024-03-05T13:00:02Z | |
| dc.date.available | 2024-03-05T13:00:02Z | |
| dc.date.issued | 2017 | |
| 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. | en_US |
| dc.description.publishedMonth | 1 | |
| 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. | en_US |
| dc.identifier.doi | 10.14784/marufacd.305567 | |
| dc.identifier.issn | 1309-1123 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.12416/7473 | |
| dc.language.iso | en | en_US |
| dc.relation.ispartof | Finansal Araştırmalar ve Çalışmalar Dergisi | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Stock Returns | en_US |
| dc.subject | Simple Moving Average | en_US |
| dc.subject | Mean Reverting Stochastic Processes | en_US |
| dc.subject | Normality Test | en_US |
| dc.title | Determination of the Best Simple Moving Average By Stochastic Processes | tr_TR |
| dc.title | Determination of the Best Simple Moving Average by Stochastic Processes | en_US |
| dc.title.alternative | Stokastik Süreçlerle En İyi Basit Hareketli Ortalamanın Belirlenmesi | en_US |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
| gdc.author.institutional | İlalan, Deniz | |
| gdc.description.department | Çankaya Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Bankacılık ve Finans Bölümü | en_US |
| gdc.description.endpage | 67 | en_US |
| gdc.description.issue | 16 | en_US |
| gdc.description.startpage | 59 | en_US |
| gdc.description.volume | 9 | en_US |
| gdc.identifier.openalex | W2606531787 | |
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