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Journals / İstanbul Aydın Üniversitesi Sosyal Bilimler Dergisi / 2016 / Cilt: 8 - Sayı: 30

INVESTIGATION OF CHAOS IN IMKB100 CHANGE VALUES VIA LYAPUNOV EXPONENT METHOD

IMKB100 ENDEKS DEĞİŞİM DEĞERLERİNDE LYAPUNOV ÜSTELİ METODUYLA KAOSUN İNCELENMESİ

Orcan ALPAR, Özge EREN

Pages
151–174
DOI
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Abstract

In nonlinear time series analysis, the largest Lyapunov exponent, which, if positive, is the evidence for chaos. In this paper, we investigate chaos in IMKB100 time series data with Lyapunov Exponent Method. With the well-known time series analysis tools, we show that the future market values are sequentially unpredictable.

Keywords: Lyapunov Üsteli, Kaos teorisi, Borsa, IMKB100, Zaman Serisi Analizi