Browsing by Author "Akat, Muzaffer"
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Algorithmic pairs trading with expert inputs, a fuzzy statistical arbitrage framework
Bayram, M.; Akat, Muzaffer; Bulkan, S. (IOS Press, 2020)Pairs trading is a widespread market-neutral trading strategy aiming to utilize the relationship between pairs of financial instruments in efficient markets, where predictability of separate asset movements is theoretically ... -
A analysis of the low-volatility anomaly on the Borsa Istanbul
Yaman, Erkin Levent (2021-06-04)In financial markets, obtaining high returns against high systematic risk is basically the expected situation. It is regarded as a financial anomaly that high-risk stocks yield lower returns than low-risk stocks. This ... -
An approximation of stochastic hyperbolic equations: case with Wiener process
Ashyralyev, A.; Akat, Muzaffer (Wiley, 2013-06)In the present paper, the two-step difference scheme for the Cauchy problem for the stochastic hyperbolic equation is presented. The convergence estimate for the solution of the difference scheme is established. In ... -
An approximation of stochastic telegraph equations
Ashyralyev, A.; Akat, Muzaffer (AIP Publishing, 2012)In the present paper the two-step difference scheme for the telegraph equation is presented. The convergence estimate for the solution of the difference scheme is established. In applications, the convergence estimates for ... -
Backtesting the modified VaR and Expected Shortfall methods: For non-linear portfolios within basel accords
Memiş, Cahit (2018-05)The banks have to measure the market risk daily for the calculation of their capital adequacy. According to the Fundamental Review of Trading Book (FRTB) market risk revision, which was released in 2016 by the Basel Committee ... -
Does the auction cycle have an effect on the momentum strategies in Turkish bond market?
Öztürk, İlkay (2018-05)A momentum strategy is applied on the 5-year and the 10-year maturity Turkish bonds between March 2010 and August 2017 with various look-back periods. The U.S. 10-year maturity bond yield and the Istanbul Stock Exchange ... -
Effect of wage payment days on USD/TL foreign exchange rate in Turkey
Karagöz, Erdi Mertcan (2019-06-10)This paper examines and analyzes changes (increase, decrease otherwise) in US Dollar against Turkish Lira foreign exchange rate returns in some calendar days such as wage payment days in Turkish free foreign exchange market ... -
An empirical study for the systemic risk in the Turkish banking system
Filizer, Petek (2019-06-10)In this thesis, the relationship between the interbank connections and the systemic risk have been analyzed in the Turkish Banking System. The data is gathered from the financial statements of banks on a yearly basis between ... -
Market-neutral trading with fuzzy inference, a new method for the pairs trading strategy
Bayram, M.; Akat, Muzaffer (Kaunas University of Technology, 2019)Pricing of financial instruments and stock market predictions is a specific and relatively narrow field, which has been mainly explored by mathematicians, economists and financial engineers. Prediction to make profits in ... -
Numerical discretization of stochastic oscillators with generalized numerical integrators
Sirma, A.; Kosker, R.; Akat, Muzaffer (Vinča Institute of Nuclear Sciences, 2021)In this study, we propose a numerical scheme for stochastic oscillators with additive noise obtained by the method of variation of constants formula using generalized numerical integrators. For both of the displacement and ... -
On the numerical schemes for Langevin-type equations
Akat, Muzaffer; Kosker, R.; Sirma, A. (Karaganda University, 2020)In this paper, a numerical approach is proposed based on the variation-of-constants formula for the numerical discretization Langevin-type equations. Linear and non-linear cases are treated separately. The proofs of ... -
Product differentiation as a tool of sustainability and financial performance
Sever, Funda (2019-11-20)Sustainable product differentiation has been distinguished essential factors to assist environmental balance of ecosystem, gain growth to sustainable future. Defining sustainable product differentiation is initiated with ...
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