Araştırma Makalesi
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Emtia Piyasalarının Birlikte Hareketlerinin Veri Madenciliği ile İncelenmesi

Yıl 2024, Cilt: 9 Sayı: 1, 183 - 212, 29.03.2024
https://doi.org/10.30784/epfad.1413706

Öz

Emtialar, yatırımları çeşitlendirmek ve enflasyona karşı korunmak için alternatif bir yol olarak görülmüştür. Bu nedenle yatırımcıların bir piyasanın düşüşü veya yükselişi sonrasında diğer piyasaların veya finansal varlıkların hangi yöne doğru hareket edeceğini öngörmesi, hızlı ve etkili kararlar almasında kritik öneme sahiptir. Bu çalışmada, emtia piyasalarının birlikte hareketi veri madenciliğinde yer alan birliktelik kuralı ile analiz edilmiştir. Bu doğrultuda çalışmada 20 adet emtianın 01.01.2010-01.08.2023 tarihleri arasındaki 3216 işlem günündeki birlikte hareketleri analiz edilmiştir. Çalışmada birliktelik kuralı analizleri, Apriori ve FP-Growth algoritmaları kullanılarak gerçekleştirilmiştir. Hem Apriori hem de FP-Growth algoritmaları ile üretilen birliktelik kurallarının tümünde Brent petrolün diğer emtialara eşlik ettiği gözlemlenmiştir. Bu sonuç, Brent petrol fiyatlarının yukarı veya aşağı yönde hareketinin, Brent petrol fiyatlarını yakından takip eden yatırımcılara, karar vericilere ve politika yapıcılara, diğer emtiaların hareketi ile ilgili yol gösterici olabileceğini göstermektedir. Petrolün ekonomik sistemi etkileyen stratejik bir enerji kaynağı olduğu gerçeği göz önüne alındığında, bu sonucun şaşırtıcı olmadığı ifade edilebilir.

Kaynakça

  • Abid, I., Dhaoui, A., Goutte, S. and Guesmi, K. (2020). Hedging and diversification across commodity assets. Applied Economics, 52(23), 2472-2492. https://doi.org/10.1080/00036846.2019.1693016
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  • Agrawal, R. and Srikant, R. (1994). Fast algorithms for mining association rules. In J.B. Bocca, M. Jarke and C. Zaniolo (Eds.), Proceedings of 20th international conference on very large data bases (pp. 487–499). Papers presented at the International Joint Conference on Very Large Data Bases, Santiago Chile, San Fransisco: Morgan Kaufmann Publishers.
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  • Arafah, A.A. and Mukhlash, I. (2015). The application of fuzzy association rule on co-movement analyze of Indonesian stock price. Procedia Computer Science, 59, 235-243. https://doi.org/10.1016/j.eneco.2017.01.006
  • Argiddi, R.V. and Apte, S.S. (2012). Future trend prediction of Indian IT stock market using association rule mining of transaction data. International Journal of Computer Applications, 39(10), 30-34. https://doi.org/10.5120/4858-7132
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An Investigation of Co-movements of Commodity Markets by Data Mining

Yıl 2024, Cilt: 9 Sayı: 1, 183 - 212, 29.03.2024
https://doi.org/10.30784/epfad.1413706

Öz

Commodities have been seen as an alternative way to diversify investments and protect against inflation. As a result, it is critically important for investors to predict the direction in which other stock exchanges or financial assets will move after a stock market’s rise or fall in order to make quick and effective decisions. In this study, the co-movement of commodity markets are analyzed with the association rule in data mining. In this direction, the movements of 20 commodities in 3216 trading days between 01.01.2010 and 01.08.2023 are analyzed in the study. Association rule analyses in the study are conducted using the Apriori and FP-Growth algorithms. It is observed that Brent crude oil accompanied other commodities in all association rules generated by both the Apriori and FP-Growth algorithms. This result suggests that the upward or downward movement of Brent oil prices may provide guidance to investors, decision makers and policymakers who closely follow Brent oil prices regarding the movement of other commodities. Considering the fact that oil is a strategic energy source that affects the economic system, this result is not surprising.

Kaynakça

  • Abid, I., Dhaoui, A., Goutte, S. and Guesmi, K. (2020). Hedging and diversification across commodity assets. Applied Economics, 52(23), 2472-2492. https://doi.org/10.1080/00036846.2019.1693016
  • Agrawal, R., Imieliński, T., and Swami, A. (1993). Mining association rules between sets of items in large databases. In P. Buneman, S. Jajodia and W. Kim (Eds.), SIGMOD ’93: Proceedings of the 1993 ACM SIGMOD international conference on management of data (pp. 207-216). Papers presented at the SIGMOD International Conference on Management of Data, New York: Association for Computing Machinery.
  • Agrawal, R. and Srikant, R. (1994). Fast algorithms for mining association rules. In J.B. Bocca, M. Jarke and C. Zaniolo (Eds.), Proceedings of 20th international conference on very large data bases (pp. 487–499). Papers presented at the International Joint Conference on Very Large Data Bases, Santiago Chile, San Fransisco: Morgan Kaufmann Publishers.
  • Algieri, B. and Leccadito, A. (2017). Assessing contagion risk from energy and non-energy commodity markets. Energy Economics, 62, 312-322. https://doi.org/10.1016/j.eneco.2017.01.006
  • Arafah, A.A. and Mukhlash, I. (2015). The application of fuzzy association rule on co-movement analyze of Indonesian stock price. Procedia Computer Science, 59, 235-243. https://doi.org/10.1016/j.eneco.2017.01.006
  • Argiddi, R.V. and Apte, S.S. (2012). Future trend prediction of Indian IT stock market using association rule mining of transaction data. International Journal of Computer Applications, 39(10), 30-34. https://doi.org/10.5120/4858-7132
  • Arouri, M.E.H., Hammoudeh, S., Lahiani, A. and Nguyen, D.K. (2013). On the short-and long-run efficiency of energy and precious metal markets. Energy Economics, 40, 832-844. https://doi.org/10.1016/j.eneco.2013.10.004
  • Azeez, N.A., Ayemobola, T.J., Misra, S., Maskeliūnas, R. and Damaševičius, R. (2019). Network intrusion detection with a hashing based Apriori algorithm using Hadoop MapReduce. Computers, 8(4), 86. https://doi.org/10.3390/computers8040086
  • Basak, S. and Pavlova, A. (2016). A model of financialization of commodities. The Journal of Finance, 71(4), 1511-1556. https://doi.org/10.1111/jofi.12408
  • Basu, D. and Miffre, J. (2013). Capturing the risk premium of commodity futures: The role of hedging pressure. Journal of Banking and Finance, 37(7), 2652-2664. https://doi.org/10.1016/j.jbankfin.2013.02.031
  • Bramer, M. (2016). Principles of data mining. London: Springer.
  • CFTC. (2023). Commodity futures trading commission. Retrieved from https://www.cftc.gov/
  • Chalid, D.A. and Handika, R. (2022). Comovement and contagion in commodity markets. Cogent Economics & Finance, 10(1), 2064079. https://doi.org/10.1080/23322039.2022.2064079
  • Chao, X., Kou, G., Peng, Y. and Viedma, E.H. (2021). Large-scale group decision-making with non-cooperative behaviors and heterogeneous preferences: An application in financial inclusion. European Journal of Operational Research, 288(1), 271-293. https://doi.org/10.1016/j.ejor.2020.05.047
  • Chen, M.S., Han, J. and Yu, P.S. (1996). Data mining: An overview from a database perspective. IEEE Transactions on Knowledge and Data Engineering, 8(6), 866-883. doi:10.1109/69.553155
  • Cheng, I.H. and Xiong, W. (2014). Financialization of commodity markets. Annual Review of Financial Economics, 6(1), 419-441. https://doi.org/10.1146/annurev-financial-110613-034432
  • Daskalaki, C. and Skiadopoulos, G. (2011). Should investors include commodities in their portfolios after all? New evidence. Journal of Banking & Finance, 35(10), 2606-2626. https://doi.org/10.1016/j.jbankfin.2011.02.022
  • Diamandis, P.F. (2009). International stock market linkages: Evidence from Latin America. Global Finance Journal, 20(1), 13-30. https://doi.org/10.1016/j.gfj.2009.03.005
  • Dunham, M.H. (2006). Data mining: Introductory and advanced topics. London: Pearson.
  • Erpolat, S. (2012). Otomobil yetkili servislerinde birliktelik kurallarının belirlenmesinde Apriori ve FP-Growth algoritmalarının karşılaştırılması. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 12(1), 151-166. Erişim adresi: https://earsiv.anadolu.edu.tr/
  • Frankel, J.A. and Rose, A.K. (2010) Determinants of agricultural and mineral commodity prices (HKS Faculty Research Working Paper No. RWP10-038). Retrieved from https://dash.harvard.edu/handle/1/4450126
  • Gilbert, C.L. (2010). Commodity speculation and commodity investment. Market Review, 28, 26-46. doi:10.5555/20103231905
  • Han, J., Kamber, M. and Pei, J. (2012). Data mining concepts and techniques. New York: Elsevier.
  • Han, J., Pei, J. and Kamber, M. (2011). Data mining: Concepts and techniques. New York: Elsevier.
  • Han, J., Pei, J. and Yin, Y. (2000). Mining frequent patterns without candidate generation. ACM Sigmod Record, 29(2), 1-12. https://doi.org/10.1145/335191.335372
  • Heil, T.L., Peter, F.J. and Prange, P. (2022). Measuring 25 years of global equity market co-movement using a time-varying spatial model. Journal of International Money and Finance, 128, 102708. https://doi.org/10.1016/j.jimonfin.2022.102708
  • Hernández, C.J.B., García-Medina, A. and Porro, V.M.A. (2021). Study of the behavior of cryptocurrencies in turbulent times using association rules. Mathematics, 9(14), 1620. https://doi.org/10.3390/math9141620
  • Ho, G.T., Ip, W.H., Wu, C.H. and Tse, Y.K. (2012). Using a fuzzy association rule mining approach to identify the financial data association. Expert Systems with Applications, 39(10), 9054-9063. https://doi.org/10.1016/j.eswa.2012.02.047
  • Inaba, K.I. (2020). A global look into stock market comovements. Review of World Economics, 156(3), 517-555. https://doi.org/10.1007/s10290-019-00370-1
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  • Kotu, V. and Deshpande, B. (2018). Data science: Concepts and practice. Massachusetts: Morgan Kaufmann.
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  • Lee, C.C. and Lee, C.C. (2023). International spillovers of US monetary uncertainty and equity market volatility to China’s stock markets. Journal of Asian Economics, 84, 101575. https://doi.org/10.1016/j.asieco.2022.101575
  • Liao, S.H. and Chou, S.Y. (2013). Data mining investigation of co-movements on the Taiwan and China stock markets for future investment portfolio. Expert Systems with Applications, 40(5), 1542-1554. https://doi.org/10.1016/j.eswa.2012.08.075
  • Liao, S.H., Chu, P.H. and You, Y.L. (2011). Mining the co-movement between foreign exchange rates and category stock indexes in the Taiwan financial capital market. Expert Systems with Applications, 38(4), 4608-4617. https://doi.org/10.1016/j.eswa.2010.09.134
  • Liao, S.H., Ho, H.H. and Lin, H.W. (2008). Mining stock category association and cluster on Taiwan stock market. Expert Systems with Applications, 35(1-2), 19-29. https://doi.org/10.1016/j.eswa.2007.06.001
  • Liu, C., Zhang, X. and Zhou, Z. (2023). Are commodity futures a hedge against inflation? A Markov-switching approach. International Review of Financial Analysis, 86, 102492. https://doi.org/10.1016/j.irfa.2023.102492
  • Liu, X., Zhao, Y. and Sun, M. (2017). An improved Apriori algorithm based on an evolution-communication tissue-like p system with promoters and inhibitors. Discrete Dynamics in Nature and Society, 2017, 6978146. https://doi.org/10.1155/2017/6978146
  • Masum, Z.H. (2019). Mining stock category association on Tehran stock market. Soft Computing, 23, 1165–1177. https://doi.org/10.1007/s00500-017-2835-9
  • Matesanz, D., Torgler, B., Dabat, G. and Ortega, G.J. (2014). Co‐movements in commodity prices: A note based on network analysis. Agricultural Economics, 45(S1), 13-21. doi:10.1111/agec.12126
  • Mbarki, I., Khan, M.A., Karim, S., Paltrinieri, A. and Lucey, B.M. (2023). Unveiling commodities-financial markets intersections from a bibliometric perspective. Resources Policy, 83, 103635. https://doi.org/10.1016/j.resourpol.2023.103635
  • Memis, E. and Kaya, H. (2019). Association rule mining on the BIST100 stock exchange. Paper presented at the 2019 3rd International Symposium on Multidisciplinary Studies and Innovative Technologies (ISMSIT). Ankara, Turkey. Retrieved from https://ieeexplore.ieee.org/document/8932923
  • Mensi, W., Tiwari, A., Bouri, E., Roubaud, D. and Al-Yahyaee, K.H. (2017). The dependence structure across oil, wheat, and corn: A wavelet-based copula approach using implied volatility indexes. Energy Economics, 66, 122-139. https://doi.org/10.1016/j.eneco.2017.06.007
  • Na, S.H. and Sohn, S.Y. (2011). Forecasting changes in Korea composite stock price index (KOSPI) using association rules. Expert Systems with Applications, 38(7), 9046-9049. https://doi.org/10.1016/j.eswa.2011.01.025
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  • Nazlioglu, S. and Soytas, U. (2012). Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis. Energy Economics, 34(4), 1098-1104. https://doi.org/10.1016/j.eneco.2011.09.008
  • Ohashi, K. and Okimoto, T. (2016). Increasing trends in the excess comovement of commodity prices. Journal of Commodity Markets, 1(1), 48-64. https://doi.org/10.1016/j.jcomm.2016.02.001 Paranjape-Voditel, P. and Deshpande, U. (2013). A stock market portfolio recommender system based on association rule mining. Applied Soft Computing, 13(2), 1055-1063. https://doi.org/10.1016/j.asoc.2012.09.012
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  • Ünsal, Ö. (2020). Veri madenciliği teknikleri ile hisse senetleri arasındaki fiyat etkileşimlerinin belirlenmesi. Mühendislik Bilimleri ve Tasarım Dergisi, 8(5), 106-112. https://doi.org/10.21923/jesd.834105
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  • Vivian, A. and Wohar, M.E. (2012). Commodity volatility breaks. Journal of International Financial Markets, Institutions and Money, 22(2), 395-422. https://doi.org/10.1016/j.intfin.2011.12.003
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  • Zhang, X., Liu, Q., Tang, Y., Liu, G., Ning, X. and Chen, J. (2021). A FP-Growth algorithm based fault analysis method for distribution terminal unit. In J. Shi (Ed.), 2021 IEEE/IAS industrial and commercial power system Asia (I&CPS Asia) (pp. 1463-1467). Papers presented at the IEEE/IAS Industrial and Commercial Power System Asia Conference, Chengdu, China: IEEE.
Toplam 72 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Uluslararası Finans, Finans, Finansal Piyasalar ve Kurumlar
Bölüm Makaleler
Yazarlar

Binali Selman Eren 0000-0001-5136-6406

Yayımlanma Tarihi 29 Mart 2024
Gönderilme Tarihi 2 Ocak 2024
Kabul Tarihi 25 Mart 2024
Yayımlandığı Sayı Yıl 2024 Cilt: 9 Sayı: 1

Kaynak Göster

APA Eren, B. S. (2024). Emtia Piyasalarının Birlikte Hareketlerinin Veri Madenciliği ile İncelenmesi. Ekonomi Politika Ve Finans Araştırmaları Dergisi, 9(1), 183-212. https://doi.org/10.30784/epfad.1413706