Browsing by Subject "Finance"

Now showing 1 - 20 of 24

Open Access
Analysis of cross-correlations between financial markets after the 2008 crisis
(Elsevier BV, 2013) Sensoy, A.; Yuksel, S.; Erturk, M.
We analyze the cross-correlation matrix C of the index returns of the main financial markets after the 2008 crisis using methods of random matrix theory. We test the eigenvalues of C for universal properties of random matrices and find that the majority of the cross-correlation coefficients arise from randomness. We show that the eigenvector of the largest deviating eigenvalue of C represents a global market itself. We reveal that high volatility of financial markets is observed at the same times with high correlations between them which lowers the risk diversification potential even if one constructs a widely internationally diversified portfolio of stocks. We identify and compare the connection and cluster structure of markets before and after the crisis using minimal spanning and ultrametric hierarchical trees. We find that after the crisis, the co-movement degree of the markets increases. We also highlight the key financial markets of pre and post crisis using main centrality measures and analyze the changes. We repeat the study using rank correlation and compare the differences. Further implications are discussed.
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Arpaçay Barajı
(Bilkent University, 2020) Altuntaş, Ceren Pınar; Çetingül, Mert; Doğan, Ali Cem; Kurtulmaz, Umut; Şahin, Cemre
Arpaçay Barajı Türkiye'nin Kars ilinde bulunan bir barajdır. 1964 yılında alınan karardan sonra 1975-1983 yılları arasında inşaatı yapılmıştır. Kars ili ve dönemin Sovyet Sosyalist Cumhuriyeti Birliği arasındaki sınırda bulunduğundan dönem için politik ve ekonomik açıdan önem arz eder. Bu önemi dışında yapıldığı bölge halkına ve bölgenin ekosistemine de kayda değer etkileri olmuştur.
Open Access
Commonsense aspects of buying and selling
(Taylor & Francis Inc., 1996) Akman, V.; Ersan, M.
We describe an experimental approach toward implementing a commonsense "microtheory" for buying and selling. Our prototype system characterizes how intelligent agents hold items and money, how they buy and sell items, and the way money and items are transferred. The ontology of the system includes money (cash, check, credit card), agents (people, organizations), items (movable, real estate, service), barter, and the notions of transfer, loan, buying by installments, profit, and loss.
Open Access
Crowdfunding for financing wearable technologies
(IEEE, 2016) Tanrısever, Fehmi; Wismans-Voorbraak, K. -A.
We explore electronic crowdfunding platforms as a means of receiving money and other resources by an entrepreneur from many parties for financing wearable technology project. The electronic platform determines the cost of funding for the entrepreneur and the return investors will receive per period. This research aims to develop a framework to understand and evaluate the quantitative and qualitative implications of various crowdfunding platforms for the entrepreneur and his investment decisions in wearable technologies. We consider a debt financing based platform and examine its operational implications on the entrepreneur's decisions. In addition, we identify the incentive problems that occur in these models. © 2016 IEEE.
Open Access
Dynamic financial planning: certainty equivalents, stochastic constraints and functional conjugate duality
(Taylor & Francis, 2005) Jefferson, T. R.; Scott, C. H.
This paper studies portfolios under risk and stochastic constraints. Certainty equivalents combine risk aversion and exponential utility to form the objective. Budget and stochastic constraints on the account balance are used to ensure a positive net worth over time. These portfolio models are analyzed by functional conjugate duality for general distributions and by conjugate duality for the normal distribution. All the programs are convex. The duals provide insight into this approach and relate it to other stochastic and financial concepts.
Open Access
Efficiency of the Turkish stock exchange with respect to monetary variables: a cointegration analysis
(Elsevier BV, 1996) Muradoglu, Y. G.; Metin, K.
In this study, we test the semistrong form of the efficient market hypothesis in Turkey by using the recently developed techniques in time series econometrics, namely unit roots and cointegration. The long run relationship between stock prices and inflation is investigated by assuming the possible existence of a proxy effect. Conclusions are made as to the efficiency of the Turkish Stock Exchange and its possible implications for investors. To our knowledge, this is among the pioneering studies conducted in an emerging market that uses an updated econometric methodology to allow for an analysis of long run steady state properties together with short run dynamics.
Open Access
Exploring exchange rate returns at different time horizons
(Elsevier, 2002) Nekhili, R.; Altay-Salih, A.; Gençay, R.
The performance of the well-known stochastic processes used for the empirical distribution of the exchange rate returns at different time scales was discussed. The parameters of the candidate processes at different time scales were estimated and proceed with simulating the empirical distributions of exchange rate returns from selected candidate processes. Results showed that the empirical distribution of returns behaves differently at different frequencies.
Open Access
Extending the merton model with applications to credit value adjustment
(Springer Link, 2023-07) Akyildirim, E.; Hekimoglu, A. A.; Şensoy, Ahmet; Fabozzi, F. J.
Following the global financial crisis, the measurement of counterparty credit risk has become an essential part of the Basel III accord with credit value adjustment being one of the most prominent components of this concept. In this study, we extend the Merton structural credit risk model for counterparty credit risk calculation in the context of calculating the credit value adjustment mainly by estimating the probability of default. We improve the Merton model in a variance-convoluted-gamma environment to include default dependence between counterparties through a linear factor decomposition framework. This allows one to tackle dependence through a systematic common component. Our set-up allows for easier, faster and more accurate fitting for the credit spread. Results confirm that use of the variance-gamma-convolution clearly solves the vanishing credit spread problem for short time-to-maturity or low leverage cases compared to a Brownian motion environment and its modifications.
Open Access
Financial earthquakes, aftershocks and scaling in emerging stock markets
(Elsevier BV, 2004) Selçuk, F.
This paper provides evidence for scaling laws in emerging stock markets. Estimated parameters using different definitions of volatility show that the empirical scaling law in every stock market is a power law. This power law holds from 2 to 240 business days (almost 1 year). The scaling parameter in these economies changes after a change in the definition of volatility. This finding indicates that the stock returns may have a multifractal nature. Another scaling property of stock returns is examined by relating the time after a main shock to the number of aftershocks per unit time. The empirical findings show that after a major fall in the stock returns, the stock market volatility above a certain threshold shows a power law decay, described by Omori's law. © 2003 Elsevier B.V. All rights reserved.
Open Access
Free float and stochastic volatility: the experience of a small open economy
(Elsevier BV, 2004) Selçuk, F.
Following a dramatic collapse of a fixed exchange rate based inflation stabilization program, Turkey moved into a free floating exchange rate system in February 2001. In this paper, an asymmetric stochastic volatility model of the foreign exchange rate in Turkey is estimated for the floating period. It is shown that there is a positive relation between the exchange return and its volatility. Particularly, an increase in the return at time t results in an increase in volatility at time t+1. However, the effect is asymmetric: a decrease in the exchange rate return at time t causes a relatively less decrease in volatility at time t+1. The results imply that a central bank with a volatility smoothing policy would be biased in viewing the shocks to the exchange rate in favor of appreciation. The bias would increase if the bank is also following an inflation targeting policy. © 2004 Elsevier B.V. All rights reserved.
Open Access
From finances to transnational mobility: searching for the global Jihadists' achilles heel
(Routledge, 2006) Aydinli, E.
This article seeks to uncover a primary source of vulnerability in the global Jihadist terrorist network. It offers a critical examination of the traditional money lead for countering global Jihadist terrorism, and concludes that in this case, it is not the most effective method. Rather, the concept of transnational mobility, both as it relates to socialization into and professionalization within the Jihadist network, is identified as the lifeblood of the network, and thus an arguably more appropriate focus for countering strategies. Issues surrounding travel document security are analysed within an overarching dichotomous framework of offensive/defensive counter-terrorism strategies, emphasizing the need for active penetration by intelligence forces into the terrorist networks and relevant mobility-related realms.
Open Access
Generalized Hurst exponent approach to efficiency in MENA markets
(Elsevir BV, 2013) Sensoy, A.
We study the time-varying efficiency of 15 Middle East and North African (MENA) stock markets by generalized Hurst exponent analysis of daily data with a rolling window technique. The study covers a time period of six years from January 2007 to December 2012. The results reveal that all MENA stock markets exhibit different degrees of long-range dependence varying over time and that the Arab Spring has had a negative effect on market efficiency in the region. The least inefficient market is found to be Turkey, followed by Israel, while the most inefficient markets are Iran, Tunisia, and UAE. Turkey and Israel show characteristics of developed financial markets. Reasons and implications are discussed.
Open Access
I am a professional dancer
(2023-10) Rentschler, R.; Lee, B.; Collins, Ayşe; Yoon, J.
The demand for professional recognition for artists with disability is growing. There is little research, however, on the ways in which disability arts are associated with professionalism. This study examines professionalization in disability arts by comparing it with the concept of professionalization in the arts generally. It identifies three components of professionalization in disability arts by means of a case study of an inclusive arts organization. This qualitative study entails 17 semi-structured interviews with artists, staff members, and other stakeholders both with and without disabilities. The results identify both commonalities and differences in the components of professionalization between artists with and without disability and indicate challenges to be met in improving public perceptions toward the professionalization of artists with disability.
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Ilısu barajı ve Hasankeyf
(Bilkent University, 2020) Akcan, Bilgehan; Çolak, Mustafa; Görgün, Selen; Kaş, İlke; Yıldız, Oktay
GAP kapsamında Dicle Nehri üzerine yapılması planlanan Ilısu Barajı'nın planı 1954-1982 yılları arasında hazırlanmıştır. Barajın ana amaçları Türkiye'ye enerji sağlamak ve bulunduğu bölgenin sulama imkanlarını artırmaktır. Proje, 1988 yılında finans programına alınmasıyla gündeme gelmiş ve hem yerel halkın hem de aktivistlerin büyük tepkisini çekmiştir. Doğal ve kültürel mirası büyük ölçüde etkilemiş, uluslararası su paylaşımı konusunda sıkıntılar yaratmış ve yerel halkı göç etmeye zorlamış olan Ilısu Barajı'nın inşaatı 2018 yılında tamamlanmıştır.
Open Access
The impacts of global crises on developing economies: the case of Turkey
(1999) Tekindor, Sevinç
In this thesis, after explaining the development of Asian crisis, an attempt is made to show how the Asian crisis affected the Turkish economy within the framework of deficiencies of developing countries during the economic globalization process. Here, it is aigued that globalization in itself is not a bad thing for developing countries, but rather, ‘imperfect globalization’ creates problems for them as the recent Asian crisis demonstrated. Although the Asian crisis did not cause total collapse in the Tmkish economy, it triggered discussions about overhauling of the current economic policies. Without structural adjustments and revision of outmoded mechanisms, no country can be able to catch up with developed countries and benefit from riclmess that globalization promises to bring.
Open Access
Inflation and growth: Positive or negative relationship?
(A N S I Network, 2008) Berument, Hakan; Inamlik, A.; Olgun, H.
This study has been motivated by two developments. Firstly, by the vast literature on the relationship between inflation and growth which is abundantly endowed with diverse theoretical explanations and contradictory evidence and by the unique experience of the Turkish economy with inflation and growth. A preliminary examination of the Turkish data pointed to a negative relation between inflation and growth. Moreover, there is a unanimous agreement among the students of the Turkish economy that many factors have contributed to inflation in this country. In view of these facts this paper employs a VAR model which will enable us to identify the sources of the shocks and control for external factors. In addition VAR models have a high predictive power and enable the researcher to observe the impulse response functions. The study employs Generalised Impulse Response analysis. In the empirical experiments oil prices, money supply, government spending and taxes have been taken as the most likely determinants of inflation. The study shows that there is a negative relationship between inflation and output growth in Turkey and that the underlying explanatory factor is the real exchange rate. This result is robust. © 2008 Asian Network for Scientific Information.
Open Access
Inflationary effect of crude oil prices in Turkey
(Elsevier BV, 2002) Berument, Hakan; Taşçı, H.
It is generally acknowledged that changes in oil prices affect economic welfare in ways that are not entirely reflected in transactions in the oil market. In this article, by using the 1990 input-output table, the inflationary effects of crude oil prices are investigated for Turkey. Under fixed nominal wages, profits, interest and rent earnings, the effect of increasing prices of oil on inflation is limited. However, when wages and the other three factors of income (profit, interest and rent) are adjusted to the general price level that includes the oil price increases, the inflationary effect of oil prices becomes significant. Hence, indexation could have very severe effects on an economy when oil prices increase and, in some cases, could even lead to hyperinflation. © 2002 Elsevier Science B.V. All rights reserved.
Open Access
Inventory performance with pooling: evidence from mergers and acquisitions
(Elsevier, 2015) Çömez-Dolgan, N.; Tanyeri B.
Theoretical studies show that compared to decentralized inventory management, (i) pooling inventories for different demand sources decreases the optimal safety stock, which in turn decreases inventory costs and (ii) the decrease in stock is related to the correlation between the different demand sources and variabilities of demands. Mergers and acquisitions (M&A) provide a business context to investigate the effects of correlation and variability of the merging firms' demands on potential improvements in inventory performance through inventory pooling. While merging firms may not fully centralize their inventory decisions, the coordination of inventory and supply chain decisions may result in synergies. Using firm-level data for 270 same-industry mergers carried out in U.S. between 1981 and 2009, we find that the inventory turnover of bidder and target firms improves (relative to firms in their industry) following the successful completion of mergers. The improvement in turnover is especially pronounced in deals where the demand of bidder and target firms are negatively correlated prior to the merger. Our results provide novel empirical support for the predictions of theoretical models on inventory economies in M&A.
Open Access
Investments viewed as growth processes
(Taylor & Francis, 1995) Doğrusöz, H.; Karabakal, N.
For modeling investment decision situations, we present a mathematical basis that views the cash flow sequences as growth processes. We first emphasize the pedagogical value of the basic model by showing that all traditionally established measures of worth (profitability) as well as the compound interest formulas of financial mathematics can actually be derived from it by simple algebraic manipulations. Then, we argue that the traditional measures fail to recognize the particularities of certain decision situations and point out the need for developing tailor made measures for each specific problem. We demonstrate, using real life examples, our approach for developing new measures and, by incorporating decision variables, practical optimization models from this mathematical basis. © 1995 Taylor & Francis Group, LLC.
Open Access
Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets
(2013) Pınar, M. Ç.
We describe a challenging class of large mixed-integer second-order cone programming models which arise in computing the maximum price that a buyer is willing to disburse to acquire an American contingent claim in an incomplete financial market with no arbitrage opportunity. Taking the viewpoint of an investor who is willing to allow a controlled amount of risk by replacing the classical no-arbitrage assumption with a "no good-deal assumption" defined using an arbitrage-adjusted Sharpe ratio criterion we formulate the problem of computing the pricing and hedging of an American option in a financial market described by a multi-period, discrete-time, finite-state scenario tree as a large-scale mixed-integer conic optimization problem. We report computational results with off-the-shelf mixed-integer conic optimization software.