Kaos ve Finans

İçerik

Dersin Amacı

Öğrencide zaman serisi ve kaos mefhumlarını oluşturmak ve finans verileri üzerine tatbiki analizi

Dersin İçeriği

Yüksek istatistiki ve ekonometrik analiz teorisi ve pratiği

Dersin Öğrenme Çıktıları

Yüksek istatistiki ve ekonometrik analiz bilgisi tecrübi altyapısı

Öğretim Yöntemleri

Teori ve uygulama

Kaynaklar

Johansen, S. (1991) Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models. Econometrica, 59, p 1151-1181

Johansen, S ., Juselius, K. (1991) Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK. Journal of Econometrics, 53, p 211-244

Kahneman, D., Slovic, P., Tversky, A. (1982). Judgment Under Uncertainty: Heuristics and Biases . New York: Cambridge University Press.

Kantz, H. (1994) A robust method to estimate the maximal Lyapunov exponent of a time series, Physics Letters A 185, 77-87.

Kantz, H., Schreiber T.(1997) Nonlinear time series analysis. Cambridge, UK: Cambridge University Press.

Karanfil, F., Ozkaya, A. (2007). Estimation of real GDP and unrecorded economy in Turkey based on environmental data. Energy Policy 35 (10), 4902-4908.


Grassberger, P., Procaccia, I. (1983a). Characterization of strange attractors. Phy. Rev. Let., 50: 346-349

Grassberger, P., Procaccia, I. (1983b.) Estimation of the Kolmogorov entropy from a chaotic signal. Phys Rev [A] 29:2591-3.

Rosenstein, M.T., Collins, J.J., De Luca, C.J. (1993) A practical method for calculating largest Lyapunov exponents from small data sets, Physica D 65, 117-34.

Sachs, J.D. (1984) Theoretical issues in international borrowing. Princeton Studies in International Finance, vol. 54. Department of Economics, Princeton University, Princeton.

Said, S.E., Dickey, D.A. (1984) Testing for unit roots in autoregressive moving average models of unknown order. Biometrica, 71, p 599-608

Takens, F. (1981) Detecting strange attractors in turbulence. In: Dynamical systems and turbulence. Berlin: Springer; p. 366.

Wolf, A., Swift, J.B., Swinney, H.L., Vastano, J.A. (1985) Determining Lyapunov Exponents from a time series, Physica D 16, 285-317.

World Bank (2000, September). Turkey—Country economic memorandum— Structural reforms for sustainable Growth (Vols. I and II) (Report No.20657TU), Washington, DC.