Show/Hide Menu
Hide/Show Apps
Logout
Türkçe
Türkçe
Search
Search
Login
Login
OpenMETU
OpenMETU
About
About
Open Science Policy
Open Science Policy
Open Access Guideline
Open Access Guideline
Postgraduate Thesis Guideline
Postgraduate Thesis Guideline
Communities & Collections
Communities & Collections
Help
Help
Frequently Asked Questions
Frequently Asked Questions
Guides
Guides
Thesis submission
Thesis submission
MS without thesis term project submission
MS without thesis term project submission
Publication submission with DOI
Publication submission with DOI
Publication submission
Publication submission
Supporting Information
Supporting Information
General Information
General Information
Copyright, Embargo and License
Copyright, Embargo and License
Contact us
Contact us
Algorithmic trading strategies using dynamic mode decomposition: applied to Turkish stock market
Download
index.pdf
Date
2017
Author
Savaş, Mehmet Can
Metadata
Show full item record
Item Usage Stats
484
views
278
downloads
Cite This
Algorithmic trading schemes are growing of importance in modern financial world. Each year, increasing proportion of the total trading volume is handled by algorithmic trading systems and they have become a fundamental element of modern day trading. We demonstrate the application of an algorithmic trading strategy using dynamic mode decomposition and genetic algorithm. The dynamic mode decomposition is a data analysis tool which is capable of characterizing the dynamical systems in an equation free manner by decomposing the system into low-rank structures, dynamic modes, whose temporal evolution is known. The method enables financial market prediction using dynamic modes. In order to improve the prediction success of the method, we use a complementary technical analysis tool which is optimized with genetic algorithm. We are able to build algorithmic trading strategies using dynamic mode decomposition and test them in Turkish stock market. We conclude that dynamic mode decomposition is a capable method to analyze stock markets.
Subject Keywords
Dynamics.
,
Algorithms.
,
Investments.
,
Stock exchanges.
,
Portfolio management.
URI
http://etd.lib.metu.edu.tr/upload/12621107/index.pdf
https://hdl.handle.net/11511/26714
Collections
Graduate School of Applied Mathematics, Thesis
Suggestions
OpenMETU
Core
Volatility indexes and an implementation of the Turkish BIST 30 index
Karakurt, Caner; Uğur, Ömür; Department of Financial Mathematics (2018)
In 1993, by representing of CBOE Vix, global financial markets met volatility indexes. In 2003, methodology of the CBOE Vix is updated and it took the form which used today. Day after day, volatility indexes have attracted more and more investors and financial institutions, and soon volatility indexes have succeeded in becoming one of the most followed financial indicators. Following these developments, many countries have introduced their implied volatility indexes by using CBOE Vix methodology or its vari...
Robust conditional value–at–risk under parallelpipe uncertainty: an application to portfolio optimization
Kara, Güray; Weber, Gerhard Wilhelm; Department of Financial Mathematics (2016)
In markets with high uncertainties, the trade–off between maximizing expected return and minimizing the risk is one of the main challenges in modeling and decision making. Since investors mostly shape their invested amounts towards certain assets and their risk version level according to their returns; scientists and practitioners has done studies on this subject since the beginning of the stock markets’ establishment. Developments and inventions in the mathematical optimization provide a wide range of solu...
An Application of the Black Litterman model in Borsa İstanbul using analysts’ forecasts as views
Adaş, Cansu; Güner, Zehra Nuray; Danışoğlu, Seza; Department of Financial Mathematics (2016)
The optimal number of stocks to include in a portfolio in order to achieve the maximum diversification benefit has been one of the issues in which investors have focused on since Markowitz introduced fundamentals of the Modern Portfolio Theory. Each stock included in an investor's portfolio decreases the portfolio risk, while increasing the transaction costs incurred by the investor to create this portfolio. In this thesis, the size of a well-diversified portfolio consisting of stocks included consistently ...
An Analysis of momentum and mean reversion effects on equity indices
Özbilge, Armağan; Yolcu Okur, Yeliz; Nazlıben, Kamil Korhan; Department of Financial Mathematics (2015)
Momentum and mean-reversion effects have become very popular in finance literature for the last two decades since their presence can generate abnormal profit patterns by applying either relative strength or contrarian trading strategy accordingly. Even though there are some common factor explanations for return reversals, they might not provide the full picture for return persistence. In our theoretical framework, we analyse some of the well-known discrete time momentum studies including the initial one and...
Skewness and kurtosis factors and asset pricing in Borsa İstanbul
Gürbüz, Aybike; Danışoğlu, Seza; Department of Financial Mathematics (2014)
Asset pricing always attracted a lot of attention in the finance world literature and it is built mainly on the mean-variance framework of the Capital Asset Pricing Model (CAPM). Although CAPM is commonly used by academics and practitioners, its validity is often questioned. The researchers have investigated the significance of CAPM by empirical tests, and there is a fairly large body of the literature about the shortcomings of the model. For these reasons, researchers on asset pricing have started to devel...
Citation Formats
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
M. C. Savaş, “Algorithmic trading strategies using dynamic mode decomposition: applied to Turkish stock market,” M.S. - Master of Science, Middle East Technical University, 2017.