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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...
Liquidity Risk Measurement and its Effect on Asset Pricing in Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Zamani, Shiva (Supervisor) ; Ebrahimnejad, Ali (Supervisor)
Abstract
The history of the researches conducted in the American, European and Iranian markets shows the importance of liquidity risk in the transactions of various types of financial assets. And as one of the important elements of risk in the pricing of financial assets, liquidity risk is considered for risk premium. Different criteria have been used to measure this type of risk in different researches, and their difference is in the ease of calculation and explanation. Liquidity risk can be divided into three categories: first, the commonality of liquidity risk of the portfolio or stock with market liquidity, second, the impact of portfolio or stock returns on the level of market liquidity, third,...
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...
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...
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...
Multifractal Analysis in Tehran Stock Exchange: MFDFA Approach
,
M.Sc. Thesis
Sharif University of Technology
;
Zamani, Shiva
(Supervisor)
Abstract
Many studies point to a possible new stylized fact for financial time series: the multifractality. Several authors have already detected this characteristic in multiple time series in several countries. With that in mind and based on Multifractal Detrended Fluctuation Analysis (MFDFA) method, this thesis analyzes the multifractality in the Tehran Stock Exchange. This analysis is performed with daily data from Tepix index (Tehran stock exchange's main index) and other three highly marketable stocks in the Tehran Stock Exchange (Pharma index, Oil index and Metal index), wich making up 1782 observations for each index in the period from March 21, 2011 to Aug 22, 2018. We found that the studied...
A Study on the Impact of the “Commodities’ Returns"on the Related “Firms’ Stock Returns” in Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Barakchian, Mahdi (Supervisor)
Abstract
Are the returns of the mineral companies in Tehran Stock Exchange affected by the changes in the commodity price at the Iran Mercantile Exchange? By implementing a Multi-Factor Model we will calculate the firms’ value elasticity to the commodity price changes. We try to explain the estimated elasticities on the basis of the firm’s fundamental variables using a discounted cash flow valuation model. An unbalanced panel data estimation is employed for this purpose. Afterwards, we will suggest a novel model on the ground of the assumption that the commodity prices and firm values follow the Geometric Brownian Motion. The result of the model is that the elasticity can be explained by commodity...
Forecasting Financial Market Case Study: Tehran Stock Market
,
M.Sc. Thesis
Sharif University of Technology
;
Modarres Yazdi, Mohammad
(Supervisor)
Abstract
In this thesis, we examine different forecasting methods to predict volatility in financial markets. Tehran Exchange Price Index (TEPIX) is adapted to forecast in short and long term periods. TEPIX is the most important index in Tehran Stock Market which is officially reported daily. Autoregressive Integrated Moveing Average models (ARIMA), Generalaized Autoregressive Heteroskedastic models (GARCH) and Artificial Neural Networks (ANN) are used for forecasting TEPIX. Spectral Analysis is also regarded as a completely new approach in financial mathematics to forecast TEPIX in short and long term periods. We consider different criteria to compare the performance of different methods of...
Predictability of Equity Returns over Different Horizons:Evidence from Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Barakchian, Mahdi (Supervisor)
Abstract
This paper aims to test an important hypothesis in financial economics: whether equity returns are predictable over various horizons? The variables that we use are dividend yield, dividend-price ratio, price-earning ratio, dividend payout ratio and stock variance. For one month horizon,we compare forecast from predictive regression and forecast from historical mean both in-sample and out-of-sample. Evidence shows that to some extent, stock variance has predictive power and predictive regression model has a better performance than the historical mean model, but fundamental variables don’t have predictive power. The multivariate model has improved the performance, but we don’t see any...
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...
Determining the Number of Factors and Proposing a Multi-Factor Model: An Exploration of Iranian Market Data
, M.Sc. Thesis Sharif University of Technology ; Baharmgiri, Mohsen (Supervisor) ; Hagh Panah, Farshad (Supervisor)
Abstract
Asset pricing models are one of the most important tools in investment management and portfolio allocation. Multi-factor asset pricing models try to explain the relationship between risk and expected return through a limited number of macroeconomic, fundamental or statistical factors. Usually, these models are suggested based on the US market and its intrinsic qualities. Although, there are some similarities between the Iranian and the US market, these economies are structurally different and therefore, proposing a proper multi-factor model based on the Iranian market’s fundamental characteristics will greatly improve the understanding of risk-return relationship in this market. In this...
Evaluation Stock Price Fluctuations by Using the Comparison of Moving Average Models to Select the Best Indicator Movement
, M.Sc. Thesis Sharif University of Technology ; Eshghi, Kourosh (Supervisor)
Abstract
In this study the predictive power of “Simple Moving Average” simulation for three month horizon is investigated. The purpose of the study is expressed in two hypotheses. The first hypothesis is that there is a significant difference in the prediction of stock price volatility by “Simple Moving Average” simulation with the “Weighted Moving Average” model prediction and the second hypothesis states that using “Weighted Moving Average” model we can forecast volatility stock price for the out-of-sample period. The research data includes a series of total stock price indices from 2013 to 2018 extracted from Tehran Stock Exchange (TSE). For “Weighted Moving Average” model, three normal...
Determining the Number of Factors and Proposing a Multi-Factor Model: An Exploration of Iranian Market Data
, M.Sc. Thesis Sharif University of Technology ; Baharmgiri, Mohsen (Supervisor) ; Hagh-Panah, Farshad (Supervisor)
Abstract
Asset pricing models are one of the most important tools in investment management and portfolio allocation. Multi-factor asset pricing models try to explain the relationship between risk and expected return through a limited number of macroeconomic, fundamental or statistical factors. Usually, these models are suggested based on the US market and its intrinsic qualities. Although, there are some similarities between the Iranian and the US market, these economies are structurally different and therefore, proposing a proper multi-factor model based on the Iranian market’s fundamental characteristics will greatly improve the understanding of risk-return relationship in this market. In this...
Individual and Institutional Trading in Tehran Security Exchange and Stock Return
, M.Sc. Thesis Sharif University of Technology ; Bahramgiri, Mohsen (Supervisor) ; Haghpanah, Farshad (Supervisor)
Abstract
In finance literature there are different views of individual and institutional investors for variety of reasons. Despite having consensus on the difference of individual and institutional investors due to complexity and size, it seems there are much disagreement on how they affect the key process of market like return and liquidity. In this paper we consider the effect of individual and institutional trading on the short-term return of stocks. Specifically, first we define some factors to measure the trading activity of individual and institutional investors. Then we use these factors to sort each stock in the cross section to create decile portfolios and we compare the short-term return...
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...
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...
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...