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Journals / Sigma Mühendislik ve Fen Bilimleri Dergisi / 2019 / Cilt: 37 - Sayı: 4

BAYESIAN NETWORK MODEL OF TURKISH FINANCIAL MARKET FROM YEAR-TO-SEPTEMBER 30TH OF 2016

Ersin SENER
Hasan Aykut KARABOGA
Ibrahim DEMIR
Pages
1496–1511
Publication Date
2019-12-01
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

TBN model has simplified the Market relations with conditional probability.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Bayesian Networks (BNs) are a useful graphical probabilistic structure for visualizing and understanding the dependencies of random variables.
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Key Findings & Data:In this study, July 15 coup attempts’ effects on Turkish Financial Market are analyzed with the BN approach.
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Conclusion & Impact:TBN model has simplified the Market relations with conditional probability.
🔬Design:Modeling & Simulation
📍Scope:2016 Verileri
⚙️Variables:Bayesian network · structure learning · Istanbul stock exchange return indexes

Abstract

Bayesian Networks (BNs) are a useful graphical probabilistic structure for visualizing and understanding the dependencies of random variables. In this study, July 15 coup attempts’ effects on Turkish Financial Market are analyzed with the BN approach. To this end, 31 Istanbul Stock Exchange (BIST) return indexes and seven foreign exchange rates (CNY, EUR, GBP, JPY, SAR, RUB, and USD) from year-to-September 30th of 2016 are examined. BN structure is learned (predict) via Greedy Thick Thinning algorithm with K2 prior from the dataset and is expertized. BN model is validated and trained from real dataset instead of generated data from the established model. The BN is called Trained Bayesian Network (TBN) model. TBN is validated and the beliefs of TBN are updated again by dataset via learning parameters with Expectation Maximization (EM) algorithm. BNs have not before been used to relate the presence/absence of BIST return indexes with foreign exchange rates. Accuracy rate (AUC) of the TBN model to generating the real data is calculated as 85.5% percent. TBN model has simplified the Market relations with conditional probability.

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Cite This Article

SENER, E., KARABOGA, H. A., DEMIR, I. (2019). BAYESIAN NETWORK MODEL OF TURKISH FINANCIAL MARKET FROM YEAR-TO-SEPTEMBER 30TH OF 2016. Sigma Mühendislik ve Fen Bilimleri Dergisi, Cilt: 37 - Sayı: 4, 1496–1511. https://ajindex.com/articles/419141

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