Browsing by Author "Bayram, M."

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Algorithmic pairs trading with expert inputs, a fuzzy statistical arbitrage framework
(IOS Press, 2020) Bayram, M.; Akat, Muzaffer; Bulkan, S.; International Finance; AKAT, Muzaffer
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 not possible. The implication of trading pairs, following statistical analysis, is to buy the underpriced asset while short selling the overpriced. The predicted price relationship is determined through analysis of historical spread data between the members of the corresponding pair. The investor expects the price difference, in an efficient market, should converge and stocks return to their ‘fair value’, where the positions are closed and profit is realized. The main focus of this study is the contribution of the fuzzy engine to the existing pairs trading strategy. Widespread classical ‘crisp’ technique is chosen, utilized and compared with the developed ‘fuzzy’ model throughout the paper. In order to further improve this contribution, the expert opinions extracted from the Bloomberg database are also integrated into the fuzzy decision-making process. In most studies, transaction costs are simply ignored. As a final robustness check, the transaction costs are also considered. The improvement reached by the developed fuzzy technique is observed to be even more remarkable in this case.
Open Access
Market-neutral trading with fuzzy inference, a new method for the pairs trading strategy
(Kaunas University of Technology, 2019) Bayram, M.; Akat, Muzaffer; International Finance; AKAT, Muzaffer
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 a martingale domain is a hard task. Pairs trading, a market neutral arbitrage strategy, attempts to resolve the drawback of unpredictability and yield market independent returns using relative pricing idea. If two securities have similar characteristics, so should their prices. Deviation from the acceptable similarity range in price is considered an anomaly, and whenever noticed, trading is executed assuming the anomaly will correct itself. This work proposes a fuzzy inference model for the market-neutral pairs trading strategy. Fuzzy logic lets mimicking human decision-making in a complex trading environment and taking advantage of arbitrage opportunities that the crisp models may miss to acquire for trade decision-making. Spread between two co-integrated stocks and volatility of the spread are used as decision-making inputs. The main focus of this study is the contribution of the fuzzy engine to the existing pairs trading strategies based on the spread measure. Widespread classical 'crisp' techniques are chosen and compared with the developed fuzzy' model. Significant enhancement on the performance of the trading strategies has been reported.
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Prevalence of depression, anxiety, stress, and anger in Turkish prisoners
(Wiley, 2013-09) Ünver, Yener; Yuce, M.; Bayram, M.; Bilgel, N.; Law; ÜNVER, Yener
In Turkey, prison studies are rare and the mental health status of prisoners has not received proper attention. The purpose of this cross-sectional and descriptive study was to assess the prevalence of depression, anxiety, stress, and anger among a group of Turkish prisoners. Two self-reporting instruments (the Depression Anxiety Stress Scale-42 and Multidimensional Anger Scale) were filled out by 685 prisoners. Prisoners in the study group were found to be depressive, anxious, and stressed. Anger symptoms and aggressive behaviors were found to be at a moderate level. Prisoners with a history of being subjected to domestic violence in childhood had higher depression, anxiety, and stress scores than those without such a history. Young prisoners, those who had been previously imprisoned, with substance dependency and higher stress and anxiety levels reported more anger symptoms than others. Psychological support, together with stress and anger management programs, seems to be essential.