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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...
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)...
To Investigate Existence of Equity Premium Puzzel in Tehran Stock Exchange By Stochastic Dominance Method
, M.Sc. Thesis Sharif University of Technology ; Keshavarz Haddad, Gholamreza (Supervisor)
Abstract
In the last 4 years, while the annual investment return on 5 years bank deposits was 25 percent; the total index of Tehran Stock Exchange on average grew by 155 percent. Why the investors are not so willing to invest in the stock market? This research deals with existence of equity premium puzzle in Tehran Stock Exchange. Therefore, the Total Price Index of exchange market is considered as a risky asset and the return on long-term (5 years) deposit is a proxy for risk free asset. Data is monthly and covers the first month of 1380 (Persian Calendar) to the beginning of the second month of 1391 (equivalent to Aug 2010 to Jan 2013); which is converted to real term using monthly inflation rate....
The Effect Of Economic Factors On Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Eshraghniaye Jahromi, Abdolhamid (Supervisor)
Abstract
In this study it is attempted to investigate the impact of macroeconomic variables on the determination stock price in Iran.In this study it is used quarterly time series data of stock price and also macroeconomic variables including Growth of Consumer Price Index(Inflation), Iran Crude Oil Price, Exchange Rate, Gold Price, Liquidity, Money Supply and Gross Domestic Product for a period of 10 years (1381:1-1390:4). Data is obtained from monthly and quarterly reports, available on the website of the Central Bank of Iran and Tehran Stock Exchange Organization. In the analysis of the collected data, It is applied unit root tests, test for co integration, and utilize a Vector Auto Regressive...
Price Limit Performance in Tehran Stock Exchange via Propensity Score Matching
, M.Sc. Thesis Sharif University of Technology ; Rahmati, Mohammad Hossein (Supervisor)
Abstract
Daily price limits are boundaries that regulators impose to control daily volatility in stock market. This paper studies the impact of an imposing price limit in Tehran Stock Exchange. To this end we use all the data about companies which were accepted in stock exchange and fara-stock exchange in 1392.In this year the price limit imposed on companies in stock exchange and fara-stock exchange are 4 and 5 percent respectively. Therefore, to estimate the effect of price limit we use the propensity score matching method and inverse probability weighting.The results indicate no significant differences between returns and trade volume between 4% and 5% price limits, but a significant difference...
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...
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...
A Study of Intragroup Block-Trading Incentives on the Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Heidari, Mehdi (Supervisor) ; Ebrahimnejad, Ali (Supervisor)
Abstract
Using the data of the Tehran Stock Exchange, we analyze the characteristics and explanatory factors of major intra-group and out-of-group transactions and test the tunneling hypothesis in intra-group transactions. We find that out-of-group transactions can be largely explained by changes in control or management, firm size, and the type of the firm. However, intra-group transaction properties mostly depend on the difference between the parent company's cash flow rights in the buyer and seller companies. Also, in the final analysis, we conclude that many intra-group transactions are made to change the structure of the business groups, especially when investment companies buy shares of listed...
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...
Prcdicting the Stock Total Index and Case Study of Stock Price of "Teractor Sazi" Company with Neural Networks
, M.Sc. Thesis Sharif University of Technology ; Eshraghniaye Jahromi, Abdolhamid (Supervisor)
Abstract
In this era, competition in economic fields is undeniable. According to huge amount of foreign trades between countries, economic prosperity of each country causes persuasion of foreign investors to come into that country for investment. Stock Exchanges is one sign of economic prosperity in each country, So prediction of the stock exchanges situation is very important. It is noteworthy that according to the importance of prediction in partial level, the necessity of predicting companies stock price is realized. According to the complicated term in this field, linear methods do not have appropriate efficiency for predicting, so nonlinear methods and especially Artificial Neural Networks are...
Evaluation of The Informational Efficiency of Tehran Securities Market
, M.Sc. Thesis Sharif University of Technology ; Zamani, Shiva (Supervisor)
Abstract
In the present research, the weak level efficiency of securitise market is reviewed and examined .Therefore the “Random Walk Hypothesis” has been examined on the time series of daily efficiency index of TEHRAN SECURITISE MARKET. The main difference between this research and the previous researches which have been performed previously in Iran, is the method of Hypothesis Test. The” Variance Ratio Test” has been used as a method of Hypothesis’ Test. In the second chapter, the theoretical and experimental literatures of this research has been described in detail. In parallel with the ” Variance Ratio Test”, the impact of the Day of week and the “HETROSCEDASITY TEST” also has been...
The Study of Firm Specific Determinants of Capital Structure: Evidence form Iranian Frims Listed on Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Zamani, Shiva (Supervisor)
Abstract
Since the seminal work of Modigliani and Miller, the basic question of whether a unique combination of debt and equity capital maximizes the firm value, and if so, what factors could influence a firm’s optimal capital structure have been the subject of frequent debate in the capital structure literature. Empirical work in this area has lagged behind the theoretical research, perhaps because the relevant firm attributes are expressed in terms of fairly abstract concepts that are not directly observable and furthermore capital structure decision-making is even more complicated when it is examined in an international context, particularly in developing countries where markets are characterized...
The Magnet Effect of Price Limit in Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Zamani, Shiva (Supervisor)
Abstract
Nowadays, in many financial markets, policy makers impose daily price limit to prevent investors from making emotional decisions, which can lead to abnormal price volatility. A number of theoretical and empirical studies have been conducted on the effectiveness of setting price limit, some supporting the idea and other rejecting. In this research, we begin with a detailed analysis of magnet effect as one of the consequences of setting price limit. Then we study the stock price of five firms listed in Tehran Stock Exchange (TSE) by means of an autoregressive model with explanatory variables to determine whether or not the magnet effect exists. These five firms, put together, comprise 23% of...
Studying the Dependence Structure of Tehran Stock Exchange and Over-the-Counter Market by Using Constant and Time-Varying Conditional Copula Functions
, M.Sc. Thesis Sharif University of Technology ; Zamani, Shiva (Supervisor)
Abstract
In this thesis, we study the dependence structure between the Tehran Stock Exchange and over-the-counter market, as the two main Iranian capital market institutions. Several constant and time-varying conditional Copula functions are used to model this dependence structure from October 2009 to August 2014. It is shown that, compared to constant conditional copulas, time-varying conditional copulas, provide a better performance. Analyzing the conditional tail dependence of these indices shows an asymmetric dependence structure. Also, investigating the dynamic conditional correlation and conditional tail dependence, using time-varying conditional copulas, reveals large variations and an...
Day of The Week Effect on Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Zamani, Shiva (Supervisor)
Abstract
The present study investigated day of the week effect on stock market returns and the stock market returns and volatility relationship in Tehran Stock Exchange. In this part two regression models is been used and theory that effect of days are meaningful on return and also the theory of meaningfulness and being equal of relation between return and volatility in different days of the week has been examined on index return of all market and on industry indexes in separately. Therefore we have utilized information from time series of total index week days categorized into 8 industries during 2008-2013. The results obtained on weekdays effect on the index of the first model and second model...
Studying Performance of the Enhanced Momentum Strategies in Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Bahramgiri, Mohsen (Supervisor)
Abstract
In this study, Tehran Stock Exchange market has been studied over a period of five years, and not only return of Simple Momentum Strategy but also returns of several Enhanced Momentum Strategies are calculated and compared with each other. The results obtained in this study are so different from the results obtained previously. For instance, unlike results of the previous researches, Simple Momentum Strategy had no significant return while the Contrarian Strategy yielded considerable return. Some elements in the Enhanced Momentum Strategies improved its performance while some others have worsened it. For example, low book to market value weakened the return of Momentum Strategy and...
The Information Content of an Open Limit-order Book in Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Zamani, Shiva (Supervisor) ; Ebrahimnezhad, Ali (Co-Advisor)
Abstract
Pre-trade transparency and price discovery is one of the principal functions of financial markets. When the price of a certain asset is specified, sales process begins. With more pre-trade transparency that helps to process of price discovery, Investors trade more safely and thus this cause higher liquidity. One of the tools that helps to increase transparency and price discovery in financial markets is open limited order book. In this study, we deal with the limit order book in Tehran Stock Exchange (TSE) and try to answer the question Whether the information in the limit order book has the predictive power of future short-term returns of stocks in Tehran Stock Exchange and does it help to...
Investigation the Effective Factors on Discount Rate of Exchange Traded Funds (ETFs) in Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Bahramgiri, Mohsen (Supervisor)
Abstract
Financial markets have been formed to attract and utilize the community’s funds,. In these markets different securities are supplied to meet the needs of a huge variety of investors. they should know the performance and characteristics of these securities, Otherxise they lost in the market. But most investors aren’t familiar with these securities and for this reason almost withdraw from the market. Funds was made up to solve this problem and facilitate the process of entering these investors in financial markets. In funds, professional managers manage portfolio with the capital provided by investors. Exchange Traded Funds (ETFs) are one type of these funds. The stock of ETFs issued in the...
Studying the Factors Affecting Exchange-Traded Funds’ Tracking Errors in Tehran Stock Exchange Market
, M.Sc. Thesis Sharif University of Technology ; Bahramgiri, Mohsen (Supervisor)
Abstract
Exchange-Traded Funds (ETFs) have become an important innovation in the financial markets nowadays. They are low cost products designed to pursue different replication strategies that respond to investor’s demands of liquidity and efficiency. However, they suffer from tracking errors and price mismatches even when they are designed to avoid them. So this problem makes diffrence between return of these ETFs and Index return that will be called “Tracking Errors”. In this research, due to analysis on 7 ETFs in Tehran Stock Exchange (TSE) in the 20 months period and analysis on 8 different independent variables that was expected to affect on tracking errors, it has been showed that between four...