Determining the Number of Factors and Proposing a Multi-Factor Model: An Exploration of Iranian Market Data

, M.Sc. Thesis Sharif University of Technology Karimi, Kiyan (Author) ; 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...

Forecasting Market Liquidity by Dynamic Arrival Rates of Infomred and Uninformed Trades

, M.Sc. Thesis Sharif University of Technology Mahdikhani, Ehsan (Author) ; Zamani, Shiva (Supervisor) ; Hagh Panah, Farshad (Supervisor)

Abstract

In this research, we propose a dynamic econometric microstructure model of trading, and we investigate how the dynamics of trades and trade composition interact with the evolution of market liquidity. We estimate a bivariate generalized autoregressive intensity process for the arrival rates of informed and uninformed trades for fifty actively traded stocks in Tehran Stock Exchange over one year of transaction data. Our results show that both informed and uninformed trades are highly persistent, but that the uninformed arrival forecasts respond negatively to past forecasts of the informed intensity. Our estimation generates daily conditional arrival rates of informed and uninformed trades,...

The Effects of Google Search on Stock Returns, Volatility and Trading Volume,Evidence from Tehran Stock Exchange

, M.Sc. Thesis Sharif University of Technology Ebrahimi, Milad (Author) ; 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...

Determining the Number of Factors and Proposing a Multi-Factor Model: An Exploration of Iranian Market Data

, M.Sc. Thesis Sharif University of Technology Karimi, Kiyan (Author) ; 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...

The Impact of Investor Attention on Trades and Market Performance of the Tehran Stock Exchange

, M.Sc. Thesis Sharif University of Technology Ahmadi, Parsa (Author) ; Talebian, Masoud (Supervisor) ; Hagh Panah, Farshad (Supervisor)

Abstract

This research investigates the impact of public attention, measured using Google Trends data, on stock transactions in the Tehran Stock Exchange, with a distinction between retail and institutional investors. The primary objective of the study was to assess the relationship between public attention and the number, volume, and value of buy and sell transactions for these two groups of investors. Weekly data on Google search trends and trading variables for 486 stock symbols were analyzed. The findings revealed that public attention, particularly among retail investors, has a significant impact on stock transactions. This effect peaks with a one-week lag, supporting the hypothesis, consistent...

The Impact of Corporate Governance on Executive Compensation in Iranian Firms

, M.Sc. Thesis Sharif University of Technology Pourvosoughi Sarcheshmeh, Shaghayegh (Author) ; Bahramgiri, Mohsen (Supervisor) ; Hagh-Panah, Farshad (Supervisor)

Abstract

In this study, I examine the role of board composition and ownership structure and trading days on board compensation of 156 Iranian non-financial public firms. Regarding board composition, I find that board size, CEO-Directorship, and the presence of busy directors positively explain board bonus. Concerning ownership structure, results reveal that outside block-holders and the percentage of individual investors negatively influence on board bonus. Also, trading days is proved to have a positive impact on board bonus. Furthermore, I examine the impact of compensation relating to board composition and ownership structure and trading days (predicted compensation) on the future operating...

The Predicting Power of Investors’ Sentiment for Cryptocurrency Returns

, M.Sc. Thesis Sharif University of Technology Hejranfar, Mohammad Reza (Author) ; Arian, Hamid Reza (Supervisor) ; Hagh Panah, Farshad (Co-Supervisor)

Abstract

Classical financial literature believes that people's decisions in financial markets are rational and that asset prices remain at their intrinsic value. On the other hand, behavioral finance literature believes that there are limitations in investors' decision-making and the impact of decisions on emotions, and states that investors' emotions directly affect asset prices. The aim of this research is to investigate which of the famous indicators introduced in the literature as a representative of the emotional behavior of investors has a better performance in predicting the returns of cryptocurrencies. For this purpose, in the first step, the information related to the calculation of three...

The Present Status of Majorana Neutrin

, M.Sc. Thesis Sharif University of Technology Shams Es-hagh, Barmak (Author) ; Golshani, Mehdi (Supervisor)

Abstract

One of the most simple questions of particle physics, which is still unanswered, is whether neutrino and antineutrino are the same particles or not. The answer to this question has many implications for the physics beyond the Standard Model, supersymmetric theories and unified theories.
In this thesis we first introduce Majorana fermion, the best candidate for which is neutrino. Then its implications for going beyond the standard Model have been discussed. At present time, the most important experiment which can prove this guess is neutrinoless double beta decay which has been studied in details in this thesis. The study of the theoretical and experimental aspects of neutrinoless double...

Improving the Security and Performance of a Ticket-based Single Sign-on Authentication Systems

, M.Sc. Thesis Sharif University of Technology Salari Panah, Davood (Author) ; Jalili, Rasool (Supervisor)

Abstract

Nowadays, user accounts on websites such as Google, Facebook, and Yahoo are their key to login into other websites and on the Internet. Thus, there is no need for authentication in each website and each user can access his/her other accounts just by logging in Google or Facebook. In background, single sign-on protocols such as OpenID and OAuth are being used. Since single sign-on accounts are very critical and sensitive, they are always under attack of cyber intruders. One of the most important threats is phishing in which one of the seeming trustful components could be attacker.This thesis demonstrates that OpenID providers may not be worthwhile and trustful as they are able to have...

Weighted Earliness/Tardiness Minimization in a Flow Shop Sequence-Dependent Group Scheduling

, M.Sc. Thesis Sharif University of Technology Farshadi Panah, Vahid (Author) ; Salmasi, Naser (Supervisor)

Abstract

In this research, a scheduling problem, minimizing the sum of weighted earliness/tardiness in a flow shop sequence-dependent group scheduling (FSDGS) problem, is investigated. In this problem, every job has a distinct due date, early penalty rate, and tardy penalty rate. This problem is typically classified in the literature as F_m | fmls,S_plk,prmu | ∑(w_j^1 E_j+ w_j^2 T_j). A mixed integer linear programming model is developed for the proposed research problem. As the problem is proved to be strongly NP-hard, only small-size problems can be solved with the mathematical model. Thus, a metaheuristic algorithm based on the Particles Swarm Optimization (PSO) algorithm is developed to solve...

Analysing the Effects of Monetizing Energy Carriers Subsidy on Expenditures and Welfare Criteria of Iranian Households

, M.Sc. Thesis Sharif University of Technology Einian, Majid (Author) ; Fatemi, Farshad (Supervisor)

Abstract

In this thesis, with a review on policy simulation and economic reform analysis literature, we design a suitable method to analyze the effects of monetizing energy carriers subsidy on welfare criteria of Iranian households. The selected method is limited general equilibrium that needs demand estimates of goods, services and energy. In firs step,based on 13 years of data on “Iranian Households’ Expenditures and Income” surveys, data are provided as a pseudo-panel. Demand equations are estimated using “Seemingly Unrelated Regressions” for panel data, and elasticities are calculated. In the next step, we evaluated the equivalent variation and equivalent gain measures in each price scenarios....

Adverse Selection in Iranian Life Insurance Market

, M.Sc. Thesis Sharif University of Technology Mirtaher, Abdolkarim (Author) ; Fatemi, Farshad (Supervisor)

Abstract

This thesis finds evidence for the presence of adverse selection in the Iranian life insurance market. We use a unique dataset including more than one million policyholders’ profile information alongside their chosen life insurance coverage from the largest Iranian insurance company. Our results not only find evidence in support of adverse selection in this market, but also consider the magnitude of adverse selection relatively notable. Moreover, we found that in addition to the coverage, the other dimensions of contract could be the potential source of adverse selection. Particularly, we focused on the insurance duration and the payment method (monthly, annually, all-in-advance)....

Metabonomics exposes metabolic biomarkers of Crohn's disease by 1HNMR

, Article Gastroenterology and Hepatology from Bed to Bench ; Volume 6, Issue SUPPL , 2013 , Pages S19-S22 ; 2008-4234 (EISSN) Fathi, F ; Ektefa, F ; Hagh-Azali, M ; Aghdaie, H. A ; Sharif University of Technology

2013

Abstract

Metabonomics and other "omic" fields are essential science in analytical chemistry. Modern analytical instruments such as proton nuclear magnetic resonance (1H-NMR) can provide the great quantity of analytical information. In order to assign unknown samples, chemometric methods recognition build classification model based on experimental data. Firstly, some current strategies regarding disease diagnosis are exhibited in metabonomic studies. Some diseases such as crohn's disease can be difficult to diagnose since its signs and symptoms may be similar to other medical problems or often mimic other symptoms. Applications of NMR and supervised pattern recognition in the field of metabonomics are...

Analyses of Effect of Bank Branching on Deposit Market Share and Market Size in Iran Banking Industry

, M.Sc. Thesis Sharif University of Technology Yousefi, Fateme (Author) ; Fatemi, Farshad (Supervisor)

Abstract

This thesis aim to the study of the effect of bank’s branching decisions on deposit market. Using panel data banks from Iran, we study effect of branching on market share and market size. In theoretical part, we assume that banks maximize discounted flow of the profits. We also assume that the banks take into account the reaction from rival banks in setting number of branches. Banks are assumed to expect the rival banks react by a lag of one period. In empirical part, in order to distinguish between aggregate market size effect and market share effect, we rewrite quantity of deposit in banks as the product of aggregate deposit and market share. We specify deposit market share function with...

Investigation of Hamrahe-Aval Demand Services

, M.Sc. Thesis Sharif University of Technology Hosseinabadi, Mahsa (Author) ; Fatemi, Farshad (Supervisor)

Abstract

In the past few years mobile usage is increasing in Iran. Since mobile industry is growing and new innovations are presented, the competition between operators is rising. Although this competition has a great influence on the mobile demand for each operator, lack of the data of the all operators made us to use the data of one of the operators to investigate the demand. Based on the subscriber’s data of Hamrahe-Aval company, it has been introduced an estimation of a demand system for customers of this company by using AIDS model in this essay. This model includes three groups of services: sending short messages, calling to mobile numbers and calling to fixed numbers.
This study has two...

The Static and Dynamic Relationship between Monetary and Multidimensional Poverty Approaches

, M.Sc. Thesis Sharif University of Technology Goodarzi, Marzieh (Author) ; Fatemi Ardestani, Farshad (Supervisor)

Abstract

The identification of the poor and the elimination of their poverty always has been the subject of discussion among researchers and policymakers. Today, most researchers consider poverty as a multidimensional phenomenon, and in addition to income indicator, it has indicators related to the level of knowledge, awareness, well-being and the health of individuals. The study of multidimensional poverty and the search for the discovery of its static and dynamic relationship with income-based poverty is the subject of this research. The analysis shows that both statically and dynamically, there is a substantial mismatch in the identification of the poor households according to these two...

Does Childbearing Behavior of the Parents Confirm the Existence of Gender Preference in Iran?

, M.Sc. Thesis Sharif University of Technology Hassanshahi, Hanieh (Author) ; Fatemi, Farshad (Supervisor)

Abstract

Since the mid-twentieth century, the issue of gender preference has always been of interest to economists. This preference is demonstrated by sex-selection methods such as differential stopping behavior and sex-selective abortion. While it is almost impossible to look directly into abortion behavior in Iran, due to religious beliefs and illegality, we can investigate gender preference by calculating to what extent parents adapt their fertility behavior to ensure the birth of preferred sex. For this purpose, we use “Households Income and Expenditure Survey of 2019” data from the Statistical Center of Iran. Our results indicate that when Iranian parents are deciding to have second child, they...

Sloshing analysis of flowing liquid in 3D tank using boundary elements method

, Article Journal of Pressure Vessel Technology, Transactions of the ASME ; Volume 135, Issue 2 , 2013 ; 00949930 (ISSN) Firouz Abadi, R. D ; Borhan Panah, M. R ; Sharif University of Technology

2013

Abstract

A numerical model based on the boundary element method is proposed for the sloshing of a flowing liquid in a three-dimensional tank. Assuming a mean flow in the tank in addition to a perturbation flow, the nonlinear boundary conditions of the liquid free-surface are linearized. Using the boundary element method along with the modal analysis technique a reduced order model is obtained which is used to calculate the fundamental sloshing frequencies and modes in the tank with an inlet and outlet. The obtained results for a test case are compared with the literature data to validate the proposed model. The results are in a very good agreement with analytical results and show an acceptable...

Development of an aeroelastic model based on system identification using boundary elements method

, Article Aircraft Engineering and Aerospace Technology ; 2021 ; 17488842 (ISSN) Dehghani Firouz Abadi, R ; Borhan Panah, M. R ; Sharif University of Technology

Emerald Group Holdings Ltd 2021

Abstract

Purpose: The purpose of this paper is to analyze the stability of aeroelastic systems using a novel reduced order aeroelastic model. Design/methodology/approach: The proposed aeroelastic model is a reduced-order model constructed based on the aerodynamic model identification using the generalized aerodynamic force response and the unsteady boundary element method in various excitation frequency values. Due to the low computational cost and acceptable accuracy of the boundary element method, this method is selected to determine the unsteady time response of the aerodynamic model. Regarding the structural model, the elastic mode shapes of the shell are used. Findings: Three case studies are...

Development of an aeroelastic model based on system identification using boundary elements method

, Article Aircraft Engineering and Aerospace Technology ; Volume 94, Issue 3 , 2022 , Pages 360-371 ; 17488842 (ISSN) Firouz Abadi, R. D ; Borhan Panah, M. R ; Sharif University of Technology

Emerald Group Holdings Ltd 2022

Abstract

Purpose: The purpose of this paper is to analyze the stability of aeroelastic systems using a novel reduced order aeroelastic model. Design/methodology/approach: The proposed aeroelastic model is a reduced-order model constructed based on the aerodynamic model identification using the generalized aerodynamic force response and the unsteady boundary element method in various excitation frequency values. Due to the low computational cost and acceptable accuracy of the boundary element method, this method is selected to determine the unsteady time response of the aerodynamic model. Regarding the structural model, the elastic mode shapes of the shell are used. Findings: Three case studies are...