Scopus İndeksli Yayınlar Koleksiyonu
Permanent URI for this collectionhttps://hdl.handle.net/20.500.12573/395
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Article An Attention-Based Autoencoder Model with Gated Recurrent Unit for Stock Price Movement Prediction(Springer Nature, 2026) Kolukisa, Burak; Bakir-Gungor, Burcu; Akkas, HuseyinPredicting stock movements is crucial for investors looking to maximize their profits in rapidly changing financial markets. However, noise in stock price data makes it harder to detect the trends and ultimately decreases the performance of predictive models. To address these challenges that are caused by noise, this study proposes two novel models, i.e., an Attention-based Autoencoder (ABA) and an Attention-based Variational Autoencoder with Gated Recurrent Units (AGRUA), which uniquely integrate denoising, attention, and GRU layers. Firstly, a data set is created by adding 9 different technical indicators to the historical data of Borsa Istanbul (BIST 30) stocks. Secondly, proposed methods and other well-known deep learning models were used to remove noise from the data sets. Finally, each denoised dataset was fed separately to the Extreme Gradient Boosting model and subjected to a buy-sell process. The results were measured using trading indicators such as amount of the profits and Sharpe Ratio, Sortino Ratio and Maximum Drawdown. The proposed models produced substantial financial gains, with AGRUA achieving the highest total profit and ABA achieving the lowest average Maximum Drawdown, thereby demonstrating superior risk-adjusted performance. Lastly, Friedman and Nemenyi tests confirmed that AGRUA and ABA surpass most of the benchmarks in profit and risk-adjusted returns. The performance of the proposed method demonstrates its value in capturing nonlinear market patterns and improving decision accuracy, emphasizing the need for noise reduction before forecasting.Article Citation - WoS: 4Citation - Scopus: 4Parameter Uncertainties in Evaluating Climate Policies with Dynamic Integrated Climate-Economy Model(Springer Nature, 2023-05-04) Sutcu, MuhammedClimate change is a complex issue with significant scientific and socio-economic uncertainties, making it difficult to assess the effectiveness of climate policies. Dynamic Integrated Climate-Economy Models (DICE models) have been widely used to evaluate the impact of different climate policies. However, since climate change, long-term economic development, and their interactions are highly uncertain, an accurate assessment of investments in climate change mitigation requires appropriate consideration of climatic and economic uncertainties. Moreover, the results of these models are highly dependent on input parameters and assumptions, which can have significant uncertainties. To accurately assess the impact of climate policies, it is crucial to incorporate uncertainties into these models. In this paper, we explore the impact of parameter uncertainties on the evaluation of climate policies using DICE models. Our goal is to understand whether uncertainty significantly affects decision-making, particularly in global warming policy decisions. By integrating climatic and economic uncertainties into the DICE model, we seek to identify the cumulative impact of uncertainty on climate change. Overall, this paper aims to contribute to a better understanding of the challenges associated with evaluating climate policies using DICE models, and to inform the development of more effective policy measures to address the urgent challenge of climate change.