An improvement on the markovian optimal stopping problem and an application in ise

One of the important issues in stock market that investors have difficulties is that they cannot know when to sell the share certificates, in other words cannot make the true timing. Sales that are not sold in time destabilize the amount of the owned share certificates, thus decrease the profit per sold certificate.In this study, it is tried to find the most right sales time through using stock market close index values for 5110 sessions including ISE?s January 1997- April 2007 dates. A disadvantage of Markovian Optimal Stopping method that emerges in the low inflation environment is acting slowly in sales of share certificates, in other words highly decreasing the transaction number. Beside the mean and median models which are used frequently with this technique, a new model called B- restricted developed and with this model the disadvantage that emerge in low inflation environment is tried to be improved. In the 511 of 514 selling operations of mean and median models are also made with B- restricted model in which it is seen that with 58 more process approximately in the rate of 11, 28% more process was made and approximately in proportion to 10, 61% increases in the yearly profit is realized. In one sense this shows that B- restricted model is better. And also, in B- restricted model although the value of B is zero for all inflation ratios, its amelioration of sales times is remarkable. On the other hand, in B- restricted model together with increase of the sales frequencies that the share certificates obtain the optimal acquisition in relation to the increase of inflation ratios, average profit ratio per sale is low in this model.