Cilt 10 Sayı 75 (2022)

Araştırma Makalesi

Farklı Bilgi Düzeylerinde İnsan Yatırımcılara Karşı Algoritmik Ticaret

Yayımlandı 31.08.2022

Cilt 10 Sayı 75 kapak

Abstract

Algorithmic Trading Versus Human Traders at Different Information Levels

In this study, it was investigated whether different levels of information create advantages or disadvantages in the stock market. For this purpose, net profit rates at the end of the period were calculated for two different investors. Investors are separated in terms of access to information differences. The fundamental investor is evaluated under the assumption of asymmetric information whereas the chartist investor is done under the assumption of perfect information. In the current study, the fundamental investor makes only one transaction, while the chartist investor acts according to the indicator The moving average convergence-divergence indicator (MACD) since it makes algorithmic transactions. The transactions were made based on trend periods. At the end of the trend, the net profit rates have been calculated to find out to see whether the information differences create commercial inequality.

In this context, two companies known as high in volume and worldwide known in Borsa Istanbul, where algorithms are also used, are discussed. Transactions for two different investors are started and completed on the same trend dates. When the transactions made in 20 different trend periods are compared, it is concluded that the chartist investor is more advantageous than the fundamental investor. As a result, a chartist investor who has perfect information is more advantageous for financial markets, as expected.

Keywords Algorithmic Trade, Investment, Asymmetric Information, Perfect Information, Stocks

Öz

Bu çalışmada, farklı bilgi düzeylerinin borsada avantaj yaratıp yaratmadığı araştırılmıştır. Bu amaçla iki farklı yatırımcı için dönem sonu net kâr oranları hesaplanmıştır. Yatırımcılar bilgiye erişim farklılıkları açısından ayrılmaktadır. Temel yatırımcı asimetrik bilgi varsayımı altında, teknik yatırımcı ise tam bilgi varsayımı altında değerlendirilmiştir. Çalışmada, temel yatırımcı sadece bir işlem yaparken, teknik yatırımcı algoritmik işlemler yaptığı için, MACD indikatörüne göre hareket etmektedir. İşlemler trend dönemlerine göre yapılmıştır. Trendin sonunda, bilgi farklılıklarının işlemlerde eşitsizlik yaratıp yaratmadığını görülmesi için net kâr oranları hesaplanmıştır.

Bu bağlamda algoritmaların da kullanıldığı Borsa İstanbul'da, hacmi yüksek ve dünya çapında bilinen iki şirket ele alınmaktadır. İki farklı yatırımcı için işlemler aynı trend tarihlerinde başlatılmış ve tamamlanmıştır. 20 farklı trend döneminde yapılan işlemler karşılaştırıldığında, teknik yatırımcının temel yatırımcıya göre daha avantajlı olduğu sonucuna varılmıştır. Sonuç olarak, tam bilgiye sahip olan teknik yatırımcı, beklendiği gibi finansal piyasalar için daha avantajlı konumdadır.

Anahtar Kelimeler Algoritmik Ticaret, Yatırım, Asimetrik Bilgi, Tam Bilgi, Hisse Senetleri

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