Dynamic programming approach to selling and buying of stocks in XU030 ındex of BIST by forecasting stock prices for next five years
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Tarih
2018
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
International Conference on Advanced Technologies, Computer Engineering and Science (ICATCES’18), May 11-13, 2018 Safranbolu, Turkey
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
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.
Açıklama
Anahtar Kelimeler
Forecasting, ARIMA, mixed integer programming, dynamic programming
Kaynak
International Conference on Advanced Technologies, Computer Engineering and Science (ICATCES’18), May 11-13, 2018 Safranbolu, Turkey
