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

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dc.authorid0000-0002-7088-2104
dc.contributor.authorArık, Oğuzhan Ahmet
dc.date.accessioned2025-04-16T21:39:59Z
dc.date.available2025-04-16T21:39:59Z
dc.date.issued2018
dc.departmentFakülteler, Mühendislik Fakültesi, Endüstri Mühendisliği Bölümü
dc.description.abstractThis 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 in a year. Furthermore, this paper includes a numerical example of XU030 stock prices for the past 5 years and shows that most of the XU030 stocks have seasonal anomalies.
dc.identifier.doi10.18844/prosoc.v5i2.3651
dc.identifier.endpage28
dc.identifier.startpage19
dc.identifier.urihttps://doi.org/10.18844/prosoc.v5i2.3651
dc.identifier.urihttps://hdl.handle.net/20.500.14440/1337
dc.institutionauthorArık, Oğuzhan Ahmet
dc.language.isoen
dc.publisher7th World Conference on Business, Economics and Management (BEM-2018)
dc.relation.ispartof7th World Conference on Business, Economics and Management (BEM-2018)
dc.relation.publicationcategoryKonferans Öğesi - Ulusal - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_Kurum_20250417
dc.subjectMixed integer linear programming
dc.subjectstock markets
dc.subjectseasonal anomalies
dc.subjectBITS
dc.titleMixed integer linear programming approach for seasonal anomalies in stock markets: A case study for BIST
dc.typeConference Object

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