{"id":783,"date":"2025-06-22T12:54:38","date_gmt":"2025-06-22T09:54:38","guid":{"rendered":"https:\/\/blog.metu.edu.tr\/caglart\/?p=783"},"modified":"2025-06-22T12:55:00","modified_gmt":"2025-06-22T09:55:00","slug":"nasdaq-100-endeksinde-rassalligin-ayak-izleri","status":"publish","type":"post","link":"https:\/\/blog.metu.edu.tr\/caglart\/2025\/06\/22\/nasdaq-100-endeksinde-rassalligin-ayak-izleri\/","title":{"rendered":"NASDAQ 100 Endeksinde Rassall\u0131\u011f\u0131n Ayak \u0130zleri"},"content":{"rendered":"

F\u0130NANS F\u0130Z\u0130\u011e\u0130 -19-
\nBak\u0131n\u0131z, \u00e7e\u015fitli fiyat zaman serilerinden, \u00f6rne\u011fin NASDAQ 100 vadeli endeksinden ba\u015fka ve hayali fiyat grafikleri nas\u0131l elde edilebilir, \u00f6rnekleyelim?!
\nGCM\u2019nin veri deposundan NASDAQ 100\u2019e ait g\u00fcnl\u00fck a\u00e7\u0131l\u0131\u015f (O), y\u00fcksek (H), d\u00fc\u015f\u00fck (L) ve kapan\u0131\u015f (C) de\u011ferlerini tarih s\u0131ras\u0131yla indirelim. Bu veri setini, ilk be\u015f sat\u0131r\u0131 bo\u015f b\u0131rak\u0131lm\u0131\u015f bir Excel \u00e7al\u0131\u015fma sayfas\u0131na da tarih, O, H, L ve C olmak \u00fczere s\u0131rayla A, B, C, D ve E s\u00fctunlar\u0131na yerle\u015ftirerek, bu yaz\u0131da kullanaca\u011f\u0131m\u0131z zaman serilerini elde edelim. Alt\u0131nc\u0131 sat\u0131r\u0131n A, B, C, D ve E s\u00fctunlar\u0131nda s\u0131rayla tarih, O, H, L ve C yaz\u0131s\u0131 olsun. F s\u00fctununa
\n=(C6-B6)\/B6
\nform\u00fcl\u00fc ile hesaplanm\u0131\u015f ve sonra alta do\u011fru kopyalanm\u0131\u015f g\u00fcnl\u00fck en fazla ba\u011f\u0131l y\u00fckseli\u015f de\u011ferlerini yerle\u015ftirelim. G s\u00fctununa
\n=(B6-D6)\/B6
\nform\u00fcl\u00fc ile hesaplanm\u0131\u015f ve sonra alta do\u011fru kopyalanm\u0131\u015f g\u00fcnl\u00fck en fazla ba\u011f\u0131l d\u00fc\u015f\u00fc\u015f de\u011ferlerini yerle\u015ftirelim.
\n\u015eimdi de, H s\u00fctununa 6_\u0131nc\u0131 sat\u0131ra 1 yazarak alta do\u011fru 1\u2019er art\u0131r\u0131p (H7=H6+1), (H8=H7+1), \u2026 gibi, bir s\u0131ra s\u00fctunu elde edelim. I s\u00fctununa ise, F s\u00fctunundaki de\u011ferleri n\u00fcmerik (nominal) olarak kopyalayal\u0131m. Sonra da, H ve G s\u00fctunlar\u0131ndaki de\u011ferleri G s\u00fctunundaki de\u011ferler b\u00fcy\u00fckten k\u00fc\u00e7\u00fc\u011fe s\u0131ralay\u0131p \u00e7er\u00e7eveledikten sonra EKLE–>\u00d6NER\u0130LEN GRAF\u0130KLER–>T\u00dcM GRAF\u0130KLER\u2019den (X.Y) DA\u011eILIM\u2019\u0131 se\u00e7ip ilk grafi\u011fimizi (GRAF\u0130K 1) elde edelim. GRAF\u0130K 1 giderek azalan bir \u00e7izgi verecektir. Yatay ekseni LOGAR\u0130TM\u0130K yapt\u0131\u011f\u0131m\u0131zda alttaki g\u00f6r\u00fcn\u00fc\u015f\u00fc elde ederiz ki, burada k\u00fc\u00e7\u00fck de\u011ferler i\u00e7in \u00fcsl\u00fc (\u2018exponential\u2019) azal\u0131\u015f d\u00fczenlili\u011fi ba\u011f\u0131l olarak b\u00fcy\u00fck de\u011ferler ise rassal azal\u0131\u015f g\u00f6sterdi\u011fi a\u00e7\u0131k\u00e7a g\u00f6r\u00fclebilir.<\/p>\n

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Ayn\u0131 yakla\u015f\u0131m, en \u00e7ok d\u00fc\u015f\u00fc\u015fler i\u00e7in de kullan\u0131ld\u0131\u011f\u0131nda GRAF\u0130K 2 elde edilir.<\/p>\n

\"\"<\/a><\/p>\n

GRAF\u0130K 1 ve GRAF\u0130K 2\u2019de azal\u0131\u015f d\u00fczenlili\u011fi zahiridir (sanki, g\u00f6r\u00fcn\u00fc\u015fte, \u2018apparent\u2019). \u00d6rne\u011fin, GRAF\u0130K 2\u2019deki logaritmik yatay eksen 900 ile 1000 aras\u0131na, dikey eksen de 0,0066 ile 0,0080 aras\u0131na al\u0131nd\u0131\u011f\u0131nda GRAF\u0130K 3\u2019deki gibi bir rassall\u0131k a\u00e7\u0131k\u00e7a g\u00f6zlenebilir.<\/p>\n

\"\"<\/a><\/p>\n

Gelgelelim, H s\u00fctunundaki veri daha az \u00f6nemli de\u011fildir. Herhangi bir g\u00fcn i\u00e7i en b\u00fcy\u00fck y\u00fckseli\u015fin hangi s\u0131radaki g\u00fcn i\u00e7inde olu\u015ftu\u011fu bilgisini ta\u015f\u0131maktad\u0131r. Bu yaz\u0131da 26.07.2017 i\u015flem g\u00fcn\u00fcnden bu yaz\u0131n\u0131n yaz\u0131lmaya ba\u015flad\u0131\u011f\u0131 tarih olan 17.06.2025\u2019ye dek 2055 g\u00fcne ait veri seti kullan\u0131lm\u0131\u015ft\u0131r ve \u00f6rne\u011fin GRAF\u0130K 1\u2019deki en b\u00fcy\u00fck g\u00fcn i\u00e7i y\u00fckseli\u015f 2007_inci g\u00fcnde yani 09.04.2025 tarihinde ger\u00e7ekle\u015fmi\u015ftir. H s\u00fctunundaki say\u0131lar\u0131n 1\u2019den 2055\u2019e dek birer birer de\u011fi\u015fti\u011fi dikkate \u015fayand\u0131r. Ayn\u0131 say\u0131lar\u0131n 0 (hari\u00e7) ile 2055 aras\u0131nda rassal d\u00fczg\u00fcn (\u2018homogeneous\u2019) da\u011f\u0131l\u0131m g\u00f6sterdi\u011fi de dikkate \u015fayand\u0131r. Aksi durum, man\u00fcplatif i\u015flemler yap\u0131lm\u0131\u015f oldu\u011funu ima eder.
\n\u015eimdi de ayn\u0131 yani H s\u00fctunundaki say\u0131lar\u0131 2055\u2019e b\u00f6l\u00fcp J s\u00fct\u00fcnuna yerle\u015ftirerek 0 (hari\u00e7) ile 1 aras\u0131nda rassal d\u00fczg\u00fcn (\u2018homogeneous\u2019) da\u011f\u0131lan bir da\u011f\u0131l\u0131m elde edelim. Bu say\u0131lardan yani J s\u00fctunundakilerden 0,5 \u00e7\u0131kar\u0131p K s\u00fctununa yazal\u0131m. K s\u00fctunundaki serinin integralini de L6=K5+L6 form\u00fcl\u00fcn kullan\u0131p alta do\u011fru kopyalayarak alal\u0131m ve L s\u00fctununa yaz\u0131p grafi\u011fini \u00e7izelim. Sonu\u00e7 bir fiyat grafi\u011finin benzeri \u00e7\u0131kacakt\u0131r, azalan\/artan e\u011filimler, yerel tepeler, yerel dipler vd. i\u00e7erebilen. Bkz., GRAF\u0130K 4.<\/p>\n

\"\"<\/a><\/p>\n

Hemen yukar\u0131daki yakla\u015f\u0131m\u0131 (Open-Low)\/Open form\u00fcl\u00fc kullan\u0131larak elde edilmi\u015f g\u00fcnl\u00fck ba\u011f\u0131l d\u00fc\u015f\u00fc\u015fler i\u00e7in de uygulayabiliriz. Bkz., GRAF\u0130K 5.<\/p>\n

\"\"<\/a><\/p>\n

GRAF\u0130K 4 ve GRAF\u0130K 5\u2019i be\u011fenmez olursan\u0131z da ilgili s\u00fctunlar\u0131, \u00f6rne\u011fin L s\u00fctunundakileri rassal olarak kar\u0131p (\u2018shuffling\u2019) yeniden grafik \u00e7izdirebilirsiniz.<\/p>\n","protected":false},"excerpt":{"rendered":"

F\u0130NANS F\u0130Z\u0130\u011e\u0130 -19- Bak\u0131n\u0131z, \u00e7e\u015fitli fiyat zaman serilerinden, \u00f6rne\u011fin NASDAQ 100 vadeli endeksinden ba\u015fka ve hayali fiyat grafikleri nas\u0131l elde edilebilir, \u00f6rnekleyelim?! GCM\u2019nin veri deposundan NASDAQ 100\u2019e ait g\u00fcnl\u00fck a\u00e7\u0131l\u0131\u015f (O), y\u00fcksek (H), d\u00fc\u015f\u00fck (L) ve kapan\u0131\u015f (C) de\u011ferlerini tarih s\u0131ras\u0131yla indirelim. Bu veri setini, ilk be\u015f sat\u0131r\u0131 bo\u015f b\u0131rak\u0131lm\u0131\u015f bir Excel \u00e7al\u0131\u015fma sayfas\u0131na da […]<\/p>\n","protected":false},"author":1425,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":"","_links_to":"","_links_to_target":""},"categories":[1],"tags":[],"class_list":["post-783","post","type-post","status-publish","format-standard","hentry","category-genel"],"_links":{"self":[{"href":"https:\/\/blog.metu.edu.tr\/caglart\/wp-json\/wp\/v2\/posts\/783","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/blog.metu.edu.tr\/caglart\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/blog.metu.edu.tr\/caglart\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/blog.metu.edu.tr\/caglart\/wp-json\/wp\/v2\/users\/1425"}],"replies":[{"embeddable":true,"href":"https:\/\/blog.metu.edu.tr\/caglart\/wp-json\/wp\/v2\/comments?post=783"}],"version-history":[{"count":0,"href":"https:\/\/blog.metu.edu.tr\/caglart\/wp-json\/wp\/v2\/posts\/783\/revisions"}],"wp:attachment":[{"href":"https:\/\/blog.metu.edu.tr\/caglart\/wp-json\/wp\/v2\/media?parent=783"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/blog.metu.edu.tr\/caglart\/wp-json\/wp\/v2\/categories?post=783"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/blog.metu.edu.tr\/caglart\/wp-json\/wp\/v2\/tags?post=783"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}