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Erişime Açık

Mixed integer linear programming approach for seasonal anomalies in stock markets: A case study for BIST

Oğuzhan Ahmet ARIK

This paper proposes a mixed integer programming approach for seasonal anomalies in stock markets and presents a case study for the XU030 index in the stock market of Istanbul Stock Exchange (BIST). Stock markets are significant for economies of countries all over the world. Investors get economical wealth or lose some of their investment by selling and buying stocks. Therefore, buying and selling times of stocks are so important. This paper investigates a well-known effect called as ‘Sell in May and Go Away’ by proposing a MIP approach that searches best times for buying and selling of stocks ...Daha fazlası

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Memetic algorithm applied to forecast future natural gas demand of Turkey

Oğuzhan Ahmet ARIK

This paper presents a Memetic Algorithm (MA) algorithm to forecast natural gas consumption of Turkey. Although Turkey has its own resources to produce natural gas for heating, producing electricity and production; the most of the needed natural gas amount is exported from other countries. Therefore approximate forecasting of vital energy sources such as natural gas is extremely significant for countries having an imbalance between export and import values. This paper suggests MA algorithm for forecasting natural gas consumption in billion cubic meters (bcm) for the years between 2018-2030 by u ...Daha fazlası

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Fuzzy parallel machine scheduling problem under fuzzy job deterioration and learning effects with fuzzy processing times

Oğuzhan Ahmet ARIK

This chapter presents a mixed integer non-linear programming (MINLP) model for a fuzzy parallel machine scheduling problem under fuzzy job deterioration and learning effects with fuzzy processing times in order to minimize fuzzy makespan. The uncertainty of parameters such as learning/deterioration effects and processing times in a scheduling problem makes the solution of the problem uncertain. Fuzzy sets can be used to encode uncertainty in parameters. In this chapter, possibilistic distributions of fuzzy parameters and possibilistic linear programming approaches are used in order to create a ...Daha fazlası

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Dynamic programming approach to selling and buying of stocks in XU030 ındex of BIST by forecasting stock prices for next five years

Oğuzhan Ahmet ARIK

- In this paper, historical data of stocks in the XU030 index of BIST are examined by considering their trends and seasonal behaviors in order to forecast next five year’s stock prices by using ARIMA or seasonal ARIMA technique. Then, a mixed integer programming model is executed for generating a portfolio management for next five years. The proposed mixed integer programming model is based on knapsack problem. The knapsack problem is one of the most applicable portfolio management models.

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