Browsing by Subject "Futures market."

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  • Developing a neural network system for financial prediction and an application on ISE 
    Çalışkan, Oğuz. (Thesis (M.A.) - Bogazici University. Institute of Social Sciences, 1997., 1997.)
    After a number of successful applications in image processmg and recognition, neural networks have gained a wide-spread use and an admirable place in data processing field. Their ability in data mining, classification, ...
  • Information content of risk reversal in estimating the value at risk of crude oil futures 
    Erkekoğlu, Fatih. (Thesis (M.A.) - Bogazici University. Institute for Graduate Studies in the Social Sciences, 2013., 2013.)
    This paper attempts to investigate the information content of risk reversal in estimating VaR of oil futures. Using CAViaR PlugIn models, we incorporated risk reversal into CAViaR models. We tested the performance of our ...
  • Statistical arbitrage in crude oil futures market 
    Tamkoç, Mehmet Nazım. (Thesis (M.A.) - Bogazici University. Institute for Graduate Studies in the Social Sciences, 2015., 2015.)
    In this study, we use crude oil futures contracts that differ in maturity to come up with a trading algorithm that takes forecasted convenience yields as a base. Because there is a liquidity constraint, we take 5 different ...

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