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Pattern recognition in financial surveillance with the ARMA-GARCH time series model using support vector machine
, Article Expert Systems with Applications ; Volume 182 , 2021 ; 09574174 (ISSN) ; Akhavan Niaki, S. T ; Sharif University of Technology
Elsevier Ltd
2021
Abstract
As the intersection of finance and statistics, financial surveillance is a new interdisciplinary field of research. In this field, statistical process control methods are applied to monitor financial indices. The final aim is to detect out-of-control conditions and trigger a signal as soon as possible. These early signals can help practitioners in making on-time decisions. In this paper, a new method based on a support vector machine is proposed to detect upward and downward shifts with step and trend patterns in auto-correlated financial processes. These processes are modeled by the autoregressive moving average (ARMA) and generalized autoregressive conditional heteroskedasticity (GARCH)...
Developing an evolutionary neural network model for stock index forecasting
, Article Communications in Computer and Information Science, 18 August 2010 through 21 August 2010 ; Volume 93 CCIS , August , 2010 , Pages 407-415 ; 18650929 (ISSN) ; 3642148301 (ISBN) ; Ghanbari, A ; Abbasian Naghneh, S ; Sharif University of Technology
2010
Abstract
The past few years have witnessed a growing rate of attraction in adoption of Artificial Intelligence (AI) techniques and combining them to improve forecasting accuracy in different fields. Besides, stock market forecasting has always been a subject of interest for most investors and professional analysts. Stock market forecasting is a tough problem because of the uncertainties involved in the movement of the market. This paper proposes a hybrid artificial intelligence model for stock exchange index forecasting, the model is a combination of genetic algorithms and feedforward neural networks. Actually it evolves neural network weights by using genetic algorithms. We also employ preprocessing...
Genetic algorithms for fuzzy multi-objective approach to portfolio selection
, Article Annual Conference of the North American Fuzzy Information Processing Society - NAFIPS, 12 July 2010 through 14 July 2010 ; July , 2010 ; 9781424478576 (ISBN) ; Nikkholgh, R ; Gharahkozli, H ; Sharif University of Technology
2010
Abstract
This research deals with a model with better efficiency for selection of portfolio making use of cardinal constraints, which are explained in previous sections. Such a method, which is a combination of fuzzy models and MCDM considering the constraints intended by investors, has not been used in previous models. We have considered transactions cost, because they are among factors important for an investor, and their being ignored in a portfolio selection method will result in inefficient portfolio. Sector value constraint is among other constraints considered here. Such a constraint aims to raise investment rate in sectors with higher values. Cardinal constraints (number of shares existing in...
Applying Machine Learning Algorithms in Stock Market Forecasting Using Transactional Data
, M.Sc. Thesis Sharif University of Technology ; Akhavan Niaki, Taghi (Supervisor)
Abstract
Research in the field of financial market prediction has always been an intriguing subject for academic researchers and stock traders, despite its associated complexities and challenges. Accurately forecasting stock prices and market indices is considered a complex task due to their nonlinear and dynamic nature, requiring analysis of intricate time series data. Over time, various models such as regression models, classification methods, statistical techniques, and artificial intelligence algorithms have been used to predict these variables. With the advancement of technology and the development of AI-based models, particularly machine learning models, along with the availability of vast...
Dynamic Portfolio Optimization Using Other Investor’s Portfolios
, M.Sc. Thesis Sharif University of Technology ; Fazli, Mohammad Amin (Supervisor)
Abstract
Portfolio optimization is a crucial concept in financial engineering, focusing on the efficient management of investment portfolios. In the realm of financial markets, a portfolio refers to a collection of investments held by individuals or companies, encompassing diverse assets. Specifically, a stock portfolio consists solely of stocks. The primary objective of portfolio optimization methods is to maximize returns while controlling risks. Within Tehran’s Stock Market, valuable data pertaining to the stock portfolios of big shareholders and their historical changes can be obtained. This dataset contains vital information that can be leveraged to optimize portfolios over time and formulate...
A Stock Portfolio Management Algorithm Based on Fundamental Market Data for Tehran’s Stock Exchange – Case Study on Mining & Metal Industries
, M.Sc. Thesis Sharif University of Technology ; Habibi, Moslem (Supervisor)
Abstract
The aim of this research is to develop and implement a deep reinforcement learning algorithm for portfolio management in the Tehran stock market, which is considered an emerging market with distinct patterns compared to the stock markets of developed countries. In this study, in addition to the market price data extensively used in previous research, we leverage fundamental ratio data extracted from company financial reports, which have received less attention. Furthermore, the research scope is limited to stocks in the mining and metal industries to enable the utilization of specific industry features, such as susceptibility to global prices of a key commodity. The portfolio management...
Forecasting Price and Trading Volume in Tehran Stock Market Using Data Mining in Telegram Channels
, M.Sc. Thesis Sharif University of Technology ; Zamani, Shiva (Supervisor)
Abstract
In inefficient stock markets, fast and complete access to the public information about stocks and using this information for trades can make the investment more profitable. This research gathered the Iranian telegram channel's data with stock and investment subjects, trading volume, and stock returns. We suggested a trading strategy for beating the market by processing these data. We have also investigated the transaction costs in this research.
Investigating the Role of Financial Self-Efficacy in the Relationship Between Investors' Experience and the Effect of Herd Mentality on Their Decisions (Case Study: Tehran Stock Exchange)
, M.Sc. Thesis Sharif University of Technology ; Isaai, Mohammad Taghi (Supervisor)
Abstract
The present study has been conducted with the purpose of investigating how to reduce behavioral biases in investors' decisions, which has become very important in the recent situation of Tehran Stock Exchange and with the entry of a large number of inexperienced investors. In this research, an attempt is made to examine the relationship between investors' trading experience and the effect of herd mentality on their investment decisions through the perspective of social cognitive theory and using financial self-efficacy. Multiple regression analysis and Bootstrap mediator relationship analysis were performed on data collected from 502 active investors in the Tehran Stock Exchange, and the...
A Machine Learning-Based Hierarchical Risk Parity Approach for Portfolio Asset Allocation on the Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Habibi, Moslem (Supervisor) ; Fazli, Mohammad Amin (Co-Supervisor)
Abstract
The process of portfolio construction and optimization can be broken down into three main steps: selecting appropriate assets, allocating capital, and monitoring and adjusting the portfolio. This study focuses on evaluating the performance of the Hierarchical Risk Parity (HRP) method for capital allocation in investment portfolios, specifically in Iran’s capital market. The aim is to enhance the method's effectiveness by implementing alternative correlation calculation approaches, such as Wavelet and Chatterjee correlations. The study utilizes three different portfolios containing assets from the Tehran Stock Exchange, the US stock market, and the cryptocurrency market. The primary objective...
Order Flow Imbalance Effect on Price Movement in Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Barakchian, Mahdi (Supervisor)
Abstract
We investigate order book events impacts on price movement, using the 31 stocks from the Tehran Stock Exchange. We show that in a low-depth market the mid-price change is explained mainly by a linear relationship with our proposed explanatory variable, modified order flow imbalance that represents the depth-adjusted differences of first level orders volumes in different sides of order book. Our results shows that the bid and ask spread has a negative effect on the power of events to move the price
Market Manipulation before Block Trades: Evidence from the Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Ebrahimnejad, Ali (Supervisor)
Abstract
Price manipulation can lead to lack of transparency and impair proper functioning of financial markets. On the Tehran Stock Exchange, there is ample anecdotal evidence that some blockholders try to manipulate the price before the block transactions to change the share price significantly. In this paper, we provide empirical evidence that in intergroup block trades, blockholders tend to buy shares before the trade date or engage in round-trip transactions to increase the block shares price. No such evidence is found in intragroup transactions and other explanations such as market reaction to a change in corporate ownership seem more plausible than price manipulation. In addition to the...
The Effect of Investors' Sentiment on Price to Earning Ratio of the Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Barakchian, Mahdi (Supervisor)
Abstract
Price to earnings ratio is one of the most used ratios in financial markets for valuation of firms in the Iran and world. In present research for analysis of this ratio,investors’ sentiment alongside fundamental factors affecting price to earnings ratio has been investigated. Fundamental factors affecting this ratio are selected based on prior research and economics theory; these factors are, dividend ratio, growth,risk and inflation. For the analysis of investors’ sentiment, eight proxies related to sentimental behavior have been utilized; among them, four are introduced and used for the first time in this research. Implementing these eight sentimental proxies, a variable measuring...
The Relationship between Dividend Policy and Stock Price Volatility
, M.Sc. Thesis Sharif University of Technology ; Keshavarz Haddad, Gholam Reza (Supervisor) ; Abdoh Tabrizi, Hossein (Supervisor)
Abstract
The objective of this study is to explore the relationship between the stock price volatility and dividend policy (dividend yield and dividend payout ratio) for the Iranian stock market. According to the studies of Baskin (1989) and Allen and Rachim (1996), the fixed effect and random effect regression models are applied in this research. The sample of data is composed of 200 public firms which are listed on the Tehran Stock Exchange (TSE) and paid dividends continuously from 2010 to 2020. The results indicate that the dividend policy has a significantly negative relationship with the stock price volatility. In addition, the Size of the company is negatively related to the stock price...
Retained Earnings, and Book-to-market in the Cross Section of Expected Returns in Tehran Stock Exchange Market
, M.Sc. Thesis Sharif University of Technology ; Keshavarz Haddad, Gholamreza (Supervisor)
Abstract
The book-to-market ratio is known as an anomaly variable in the financial literature. This variable has a high explanatory power in predicting the returns of companies in different capital markets across world; But understanding why it has the power to explain is still a matter of debate. In this study, we seek a better understanding of the explanatory power of the ratio of book-to-market ratio in explaining the annual return of cross-sectional data of stocks on the Tehran Stock Exchange. Book value can be divided into two parts: retained earnings and contributed capital, which have different economic meanings for readers of financial statements. Our hypothesis is that the predictive power...
Capital Structure Impact on the Performance of Listed Companies in the Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Hajizadeh, Iman (Supervisor)
Abstract
This thesis analyses the relationship between performance and capital structure of listed companies in the Tehran stock exchange. For examining this relationship, we use trade-off theory. This theory states that using debt comes with some benefits and costs for the company. If this theory holds true, we expect that in a low debt capital structure, as a result of benefits of using debt surpasses the costs of it, the relationship between debt and performance should be positive and in a high debt capital structure, as a result of costs of using debt surpasses the benefits of it, using more debt should have negative relationship with performance. For examining this relationship, we first gather...
Information Superiority between Individual and Institutional Traders in Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Keshavarz Haddad, Gholamreza (Supervisor)
Abstract
Informational inequality between institutional and individual traders is one of the centric issues in financial markets. The preference of each of these groups to attain personal information may provide other traders important information. New traders could make a profit by addressing the preferable group and following its transactions. This study aims to determine the winner group at attaining more personal information, by breaking down the probability of informed trading (PIN), one of the most famous measures in informational risk to two main components: the probability of informed trading of individuals (DPIN) and the probability of informed trading of institutions (SPIN). Moreover, the...
The Effects of Google Search on Stock Returns, Volatility and Trading Volume,Evidence from Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Zamani, Shiva (Supervisor) ; Hagh-Panah, Farshad (Supervisor)
Abstract
The purpose of this study is to investigate the effect of Google search volume of trading tickers listed on the Tehran Stock Exchange, on volatility, abnormal returns, and trading volume. For this purpose, data related to the search volume as well as trading data for 22 trading tickers in the list of the 50 largest stock market companies from 2016 to 2020, has been extracted. After collecting data, the required calculations to estimate volatility and abnormal returns, as well as standardizing search volume and trading volume, are performed. Then the desired variables for all 22 selected tickers are placed in a data panel. Then, using the two main research models, descriptive and predictive...
Ownership Structure and Firm Value: Evidence from Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Talebian, Masoud (Supervisor) ; Ebrahimnejad, Ali (Supervisor)
Abstract
There are different kinds of ownership structures. In every economy special kinds of these structures are common. These structures include Pyramidal ownership, cross-ownership, etc. These structures empower shareholders to make a gap between their cash flow right and ownership right in a special firm so they could control more firms with the same capital. These structures have their pros and cons, like the internal capital market and tunneling. Of important factors affecting these structures are Legal protection of minor shareholders, shareholder concentration, and largest shareholder. In this research, we find that, unlike most countries, there is a negative relationship between a firm's...
Measuring Contagion Effects between Crude Oil and Iran Stock Market Sectors
, M.Sc. Thesis Sharif University of Technology ; Zamani, Shiva (Supervisor)
Abstract
The Contagion of markets to each other, due to their role in the occurrence of financial crises and the transmission of shocks, is an important topic in the financial literature. In this dissertation, we study this issue by examining the number of positive and negative co-exeedances in the oil market and Tehran Stock Exchange. The data examined are the daily time series of Tehran Stock Market Index and Oil Prices (WTI) in the period of 2009 to 2019.First of all we find the time cut-off rate of the daily returns of the stock indexes of different industries and of oil prices, using the generalized Pareto distribution (GPD). Then we count the number of days when the returns have negative or...
Investigating the Pattern of Stocks Price Reactions to Extreme Exchange Rate Fluctuations in Tehran Securities Exchange
,
M.Sc. Thesis
Sharif University of Technology
;
Bahramgiri, Mohsen
(Supervisor)
;
Aslani, Shirin
(Supervisor)
Abstract
Exchange-rate has always been one of the critical macroeconomic factors influencing Iran’s economy. As a representative of the whole economy, the stock market is also affected by exchange rate fluctuations. However, the direction and the delay of this impact is not similar for all firms. This study aims to find the time and direction of the reactions to dollar fluctuations in the two most recent jumps, during 1390 and 1397, for all firms listed on Tehran Securities Exchange. It also seeks to determine why among stocks with a positive reaction, some react sooner, and some react later, based on their specific characteristics. Using a distributed lag model, we found that about one-half of the...