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    Bias of a Value-at-Risk Estimator

    , M.Sc. Thesis Sharif University of Technology Hasanzade, Mehrnoosh (Author) ; Keshavarz Hadad, Golamreza (Supervisor)
    Abstract
    The recent researches show that Value at Risk estimations are biased and is calculated conservatively. Bao and Olah (2004) proved that the bias of an ARCH(1) model for VaR can be formulated in to two parts: bias due to return Misspecification ( ) and bias due to estimation error ( ). Using a GARCH(1,1) and quasi maximum likelihood estimation method, this research intends to find an analytical framework for the two source of biases. We generate returns from Normal and t-student distributions, then estimate the GARCH(1,1) under Normal and t-student assumptions. Our findings reveal that equals to zero for the Normal likelihood function, but . Also, and are not zero for the t-student... 

    Nonlinear Modelling of Return and Volatility in IRANs Auto Industry

    , M.Sc. Thesis Sharif University of Technology Ebrahimi, Bababk (Author) ; Keshavarz Hadad, Golam Reza (Supervisor)
    Abstract
    Long memory in assets return is important on the theoretical as well as the practical aspects and since it is a special form of nonlinear dynamics, in this study an ARFIMA model was used with the aim of considering the long memory in the return conditional average of automobile industry index. Then, due to the observation of ARCH effects, the simultaneous conditional average modeling and turbulences in the automotive industry index return using an ARFIMA-FIGARCH model was considered in the residuals of the best fitted model and results were that for modeling the returns and turbulences of automobile industry stocks which has a special long memory, FIGARCH will provide better and more... 

    Crude Oil Hedging by Futures

    , M.Sc. Thesis Sharif University of Technology Mohammdi, Marjan (Author) ; Keshavarz Hadad, Gholamreza (Supervisor) ; Zamani, Shiva (Supervisor)
    Abstract
    Risk in crude oil price is likely to occur due to changes in global oil demand, capacity of crude oil production and regional crisis. A future contract is the instrument primarily designed to hedge one’s exposure to unwanted risk. Hedging policies often implements through different hedge ratios estimation.
    This study examines the performance of several econometrics models namely OLS, GARCH,BEKK,VECM-BEKK for the returns of West Texas Intermediate(WTI) oil spot and futures prices from 3 January 1995 to 31December 2010, to calculate static and daily time varying minimum variance optimal hedge ratios and suggest a crude oil hedge strategy.
    We show that hedging effectiveness indicate... 

    Capital Structure of Iranian Listed Companies

    , M.Sc. Thesis Sharif University of Technology Tavana, Pooriya (Author) ; Keshavarz Hadad, Gholamreza (Supervisor) ; Abdoh Tabrizi, Hossein (Supervisor)
    Abstract
    Which capital structure theories have the power to explain the determinant of capital structure in capital market companies, assuming the difference between the institutional and fundamental structure of Iran with other countries, which affects the behavior and decision-making style of managers. After the emergence of capital structure theories, studies were performed to assess the explanatory power of theories. The results revealed the fact that the differences in the institutional structure of countries affects the behavior and decision-making style of managers for adopting the optimal capital structure, and the determinants of capital structure followed a limited number of theories. In... 

    Numerical Modeling and Optimization of Cold and Hot Powder Forming Processes

    , Ph.D. Dissertation Sharif University of Technology keshavarz hadad , Shahriyar (Author) ; Khoei, Amir Reza (Supervisor) ; Khalo, Ali Reza (Supervisor)
    Abstract
    In this thesis, a shape optimization technique is presented for powder forming processes based on the genetic algorithm approach. The numerical modeling of powder compaction simulation is applied based on a large deformation formulation, powder plasticity behavior, and frictional contact algorithm. A Lagrangian finite element formulation is employed for large powder deformations. A cap plasticity model is used in numerical simulation of nonlinear powder behavior. The influence of powder-tool friction is simulated by the use of penalty approach in which a plasticity theory of friction is incorporated to model sliding resistance at the powder-tool interface. For hot compaction process coupled... 

    The Effect of Wages on the Intensity of Child Labor

    , M.Sc. Thesis Sharif University of Technology Damankeshan, Atefeh (Author) ; Keshavarz Hadad, Gholamreza (Supervisor) ; Fatemi Ardestani, Farshad (Supervisor)
    Abstract
    In this study, the intensity of child labor has been investigated by modeling household behavior in a framework of collective decision-making on resource allocation, and for this purpose, a household utility maximization problem has been used in which child’s and parents’ wages, non-working incomes, education level for bargaining power as well as several variables at the social level such as unemployment rate, divorce rate and Gini coefficient have been used to reflect labor market conditions. In this study, the structure of equations for girls and boys in urban and rural areas has been estimated by using raw household budget data for 2015 in Iran and multivariate Tobit technique. Findings... 

    Control of Locomotion in a Two-Leg Robot with Uncertain Frictional Effects

    , M.Sc. Thesis Sharif University of Technology Khodabakhsh, Mohammad (Author) ; Vosoughi, Golamreza (Supervisor)
    Abstract
    Microrobots design and manufacturing has been one of interesting fields in robotics in recent decades. They have been designed in various types so far. In this paper a two-leg microrobot is simulated and controlled by using LuGre friction model.
    The proposed microrobot is driven by a piezoelectric actuator mounted between centers of two legs. The piezoelectric is actuated by a frequency near the natural frequency of the robot. The nonlinear dynamical equations of the system are obtained considering LuGre friction model. To control the system, the equations of motion are linearized using feedback linearization method. Then a stabilizing control law is designed and the robot model is... 

    Improving the Performance of the Fast Downward Planning System

    , M.Sc. Thesis Sharif University of Technology Sadraei, Reza (Author) ; Ghasem Sani, Golamreza (Supervisor)
    Abstract
    The so-called “Fast Downward” is a successful heuristic planner. This planner extracts informative data structures during planning. A number of efforts have been made to detect some constraints for guiding search toward the goal, in the hope to speed up the planning process. These constraints usually result in a number of sub-goals and determining their proper ordering. These sub-goals are called landmarks, which must be true at some point in every valid solution plan. Landmarks can be used to decompose a given planning task into several smaller sub-tasks. In this dissertation a new method is proposed to extracts landmark and recognizes their ordering based on fast downward basic data... 

    Dynamic Analysis of Electrostatical Scratch Drive Micromotors

    , M.Sc. Thesis Sharif University of Technology Abtahi, Mansour (Author) ; Vossoughi, Golamreza (Supervisor) ; Meghdari, Ali (Supervisor)
    Abstract
    In this thesis, the dynamic analysis of the scratch drive micromotor will be investigated. Scratch drive micromotor consists of a rotational arrangement of the scratch drive actuators (SDAs). SDAs that are actuated by using electrostatic force are used in a wide range of applications in microelectromechanical systems (MEMS) due to their unique advantages such as large output force, long travel distance and high-precision step size. However implementing a physical model to describe the movement of the SDA is chalanging and little researches have been performed to model and analyse the SDAs, in porpuse of predicting the behavior of the SDA before final design and manufacturing. By reviewing... 

    Hydrophilicity and AFM Based Surface Statistical Analysis of SiO2/TiO2/Glass Bilayer

    , M.Sc. Thesis Sharif University of Technology Daryaei, Ebrahim (Author) ; Moshfegh, Alireza (Supervisor) ; Jafari, Golamreza (Supervisor)
    Abstract
    Titanium dioxide (TiO2) is important because of wide applications such as self cleaning surfaces and using in photoelectrochemical cells .Recent researches have shown that addition of silicon dioxide into TiO2 increases hydrophilicity of SiO2-TiO2 and improves surface properties. Until now a little research has been done on the double layer TiO2/SiO2 system; therefore, this system is suitable for studying. In general this thesis consists of theoretical and experimental parts .In the experimental part, multilayer systems of SiO2/TiO2/Glass have been selected (thickness of SiO2 is 20 nm) and surface morphology and hydrophilicity have been investigated by Atomic Force Microscopy (AFM) and... 

    An improvement in Sugeno-Yasukawa modeler

    , Article CIMCA 2006: International Conference on Computational Intelligence for Modelling, Control and Automation, Jointly with IAWTIC 2006: International Conference on Intelligent Agents Web Technologies and International Commerce, Sydney, NSW, 28 November 2006 through 1 December 2006 ; 2006 ; 0769527310 (ISBN); 9780769527314 (ISBN) Hadad, A. H ; Shiry Ghidary, S ; Bagheri Shouraki, S ; Sharif University of Technology
    IEEE Computer Society  2006
    Abstract
    Structure identification is one of the most significant steps in Fuzzy modeling of a complex system. Efficient structure identification requires good approximation of the effective input data. Misclassification of effective input data can highly degrade the efficiency of the inference of the fuzzy model. In this paper we present a modification to Sugeno-Yasukawa modeler to improve structure identification by increasing the accuracy of effective input data detection. There exist some intermediate models in the Sugeno-Yasukawa modeling process which a combination of them will result in the final fuzzy model of the system. In the original modeling process parameter identification is only done... 

    Modeling of Biological Cells with Applications to the Design of a Nano-Micro Gripper Used in Cell Manipulation

    , M.Sc. Thesis Sharif University of Technology Abbasi, Ali Asghar (Author) ; Ahmadian, Mohammad Taghi (Supervisor) ; Vossoughi, Golamreza (Supervisor)
    Abstract
    Grasping and manipulation of biological cells have an extensive applications in genetics ,cell proliferation ,cell injection and etc. In robotic manipulation ,it is often assumed that the objects being handled are rigid and only small deformations occurred during manipulation. this does not apply for the case of biological cells. biological cells are highly deformable structures, and their material properties are not well quantified. Therefore strategies for characterizing and manipulating of such deformable objects needs to develop. Different experimental techniques have recently been used and devised to study biological cells. On the one hand, although this experimental techniques have... 

    Optimization of the Magnets Arrangement in Insertion Devices and Minimizing the Phase Error Using Genetic Algorithm

    , M.Sc. Thesis Sharif University of Technology Mohammadpour, Karam (Author) ; Vousoghi, Naser (Supervisor) ; Saeedi, Farhad (Supervisor) ; Hadad, Mansour (Co-Supervisor)
    Abstract
    A synchrotron accelerator is a type of charged particle accelerator that uses insertion devices to generate high-intensity X-ray beams. One such insertion device is an undulator, which is made up of an array of magnet blocks. The Halbach method is used to arrange these blocks and create a pure permanent magnet (PPM) undulator. In this study, we used RADIA code to redesign an insertion device named SPEAR. PPMs are unique from one another due to differing remanence levels during construction, impacting their performance and effectiveness in various applications. Therefore, magnet sorting is a method used to reduce the phase error of the synchrotron radiation beam. Decreasing the phase error... 

    Parents’ decision on child labour and school attendance: evidence from Iranian households

    , Article Journal of Education and Work ; Volume 30, Issue 6 , 2017 , Pages 612-631 ; 13639080 (ISSN) Keshavarz Haddad, G ; Sharif University of Technology
    2017
    Abstract
    In the framework of a household’s collective decision processes, this study presents a structural empirical model to test the hypothesis that child labour is compelled by household’s poverty and parent’s bargaining power against one another. To this end, a measure for mother’s intra-household bargaining power is developed. I use Iranian Household’s Income and Expenditures Surveys (2005 and 2010). Estimation method used in this study is multinomial logit. Findings indicate that household’s poverty is not the sole cause of child’s work incidence. Instead, given the other factors such as poverty, being the first born, local labour market prospect and gender fixed, mother’s bargaining power is... 

    Efficient upper and lower bounding methods for flowshop sequence-dependent group scheduling problems

    , Article European Journal of Industrial Engineering ; Vol. 8, issue. 3 , 2014 , pp. 366-387 ; ISSN: 17515254 Keshavarz, T ; Salmasi, N ; Sharif University of Technology
    2014
    Abstract
    In this research, a permutation flowshop sequence-dependent group scheduling problem with minimisation of total completion time is considered. Since the problem is shown to be strongly NP-hard, a hybrid genetic (HG) algorithm is proposed. The only available lower bounding (LB) method for the proposed research problem in the literature based on branch and price (B&P) algorithm is also enhanced by proposing efficient method to solve sub-problems and proposing a better branching rule. A statistical comparison shows that both the proposed HG algorithm and the proposed LB have better performance than the other methods from the literature with an average 5.96% percentage gap. [Received 13 December... 

    Makespan minimisation in flexible flowshop sequence-dependent group scheduling problem

    , Article International Journal of Production Research ; Volume 51, Issue 20 , 2013 , Pages 6182-6193 ; 00207543 (ISSN) Keshavarz, T ; Salmasi, N ; Sharif University of Technology
    2013
    Abstract
    In this research, the flexible flowshop sequence-dependent group scheduling problem with minimisation of makespan as the criterion (FFm|fmls, shgi|Cmax) is investigated. A mixed integer linear mathematical model for the research problem is developed. Since the research problem is shown to be NP-hard, a meta-heuristic algorithm based on memetic algorithm (MA) is developed to efficiently solve the problem. Also, a lower bounding technique based on the developed mathematical model is proposed to evaluate the quality of the proposed MA. The performance of the proposed MA is compared with the existing algorithm in the literature, i.e. tabu search (TS), by solving the available test problems in... 

    Gender ratio, divorce rate, and intra-household collective decision process: evidence from iranian urban households labor supply with non-participation

    , Article Empirical Economics ; Volume 48, Issue 4 , 2015 , Pages 1365-1394 ; 03777332 (ISSN) Keshavarz Haddad, G. R ; Sharif University of Technology
    2015
    Abstract
    This paper provides an empirical investigation on the individual labor supply of Iranian spouses in an intra-household collective decision framework in which gender ratio and divorce rate play a central role for resource allocation of household. The dataset is taken from the Households’ Expenditures Survey (2008) and the Annual Statistical Yearbook (2008) of Iran. I have conducted the parameters estimation and hypothesis testing using switching regression technique to catch the presence of the widespread non-participation of spouses across Iranian households. Reduced forms of labor supply are estimated considering the endogeneity of wage rates. The findings show that the unitary model of... 

    Upper and Lower Bounding Methods for Flowshop and Flexible Flowshop Group Scheduling Problems

    , Ph.D. Dissertation Sharif University of Technology Keshavarz, Taha (Author) ; Salmasi, Nasser (Supervisor)
    Abstract
    In this research sequence-dependent flowshop and flexible flowshop group scheduling problems are investigated. Several upper and lower bounding methods are proposed for the research problems. Permutation flowshop sequence-dependent group scheduling problem with minimization of total completion time is considered. Since the problem is shown to be strongly NP-hard, a Memetic algorithm (MA) is proposed. A lower bounding method base on the Branch-and-Price algrithm is also proposed. A statistical comparison shows that both the proposed MA and the proposed lower bounding method have better performance than the other methods from the literature with an average 5.96% percentage gap. Flexible... 

    Stability Analysis of Rotor Bearing Systems via Lyapunov's Direct Method

    , M.Sc. Thesis Sharif University of Technology Keshavarz, Ehsan (Author) ; Zohoor, Hassan (Supervisor)
    Abstract
    Due to the use of rotor dynamics, in the rotating systems such as pumps, turbines and machine tool spindle gained special significance in recent decades and a growing need for rotating machines with high speed, leading to extensive research in this area. Due to instability in the dynamics of these systems, check the stability of the rotor system has been given special emphasis, so that studies and research in terms of models and methods allocated to this topic. The project analyzed the stability of a rotor that includes an elastic shaft is placed on the bearings as it is objective. From point of modeling, the rotor is modeled using Timoshenko beam theory and the rotor mounted on bearing with...