Sharif Digital Repository

In this thesis, a bioreactor with oscillatory and chaotic behavior has been studied and a control method has been proposed. This bioreactor shows oscillations for some special values of its parameters. The system dynamic is chaotic when a forced perturbation on the feed concentration is imposed. Dynamic behavior of this oscillatory and chaotic reactor has been illustrated. The main objective is control of product concentration. To do this, first system control is considered by proposing several control strategies for SISO case, then system in MIMO case is studied for achieving a globally controllable system. In SISO case, the performances of controllers are compared based on an objective... 

Volatility is the most important components in numerous finance applications. So, the methods of volatility forecast with reasonable accuracy require a deep attention.In this thesis with considering several distributions for error term, GARCH forecasting performance is evaluated on the intra- day data of "Foolad" stock returns by two loss functions of "MAE" and "HMAE". This evaluation is done in three forecast horizons, 1 day, 5 days and 20 days. Finally, the result of this study is as follows. GARCH (1, 1) forecast model with skewed t- student error distribution has the minimum value in the both loss functions for 1 day and 5 day forecast horizons. Also GARCH (1, 1) forecast model with t-... 

Accurate modelling of volatility (or risk) is important in finance, particularly as it relates to the modelling and forecasting of value-at-risk (VaR) thresholds. As financial applications typically deal with a portfolio of assets and risk, there are several multivariate GARCH models which specify the risk of one asset as depending on its own past as well as the past behaviour of other assets. So we mustn't ignore return and volatility spillover effects between different assets in the portfolio for estimating the portfolio value at risk. Many studies in financial economics in recent decades investigate the spillover effects and modelling it. In this research we analyze the importance of... 

In this study, we introduce a systematic approach for valuation of Technology development projects by applying a discrete model of real options valuation. This framework is then applied to a real technology development project. The estimate of volatility is the most important argument that it is difficult to calculate. Data from the project’s feasibility study is gathered and classified in an appropriate format to be ready for simulation. Then uncertainty parameters are identified. The data is separated and their impacts on annual cash flows are considered. Volatility of the whole project is estimated to be relatively high. This is an advantage for the proposed method. In this project,... 

In this thesis , we consider the generalized lienard system (dx/dt=1/(a(x)) [h(y)-F(x)])¦(dy/dt=-a(x)g(x) )and under suitable assumptions on a , F , g , h we obtain sufficient and necessary conditions for the intersection of all orbits with the vertical isocline y=F(x) . using these conditions we give some sufficient condition for the oscillation of solutions . then existence and uniqueness of periodic solutions for a kind of lienard equation with a deviating argument are studied . finally we study existence and uniqueness of limit cycles for the generalized lienard system(x ̇=ϕ(y)-F(x))¦(y ̇=-g(x))
 

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... 

Option Pricing is one of the most challenging topics in the world of Finance. There are a lot of option pricing models such as Black-Scholes model, Binomial Trees model, Monte Carlo method and Stochastic Volatility model. The last one is the most famous among all of them. The profound financial crisis generated by the collapse of Lehman Brothers and the European sovereign debt crisis in 2011 have caused negative values of government bond yields both in the USA and in the EURO area. Therefore, Option Pricing Models should consider this fact. The stochastic volatility model of Oosterlee et al, notice a dynamic for interest rate and heeds interest rate as a stochastic factor. However, it does... 

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... 

In this study, we investigate the effect of the macroeconomic volatility on the income distribution of Iranian households from two descriptive and causal aspects. In the descriptive section, by using the national accounts and the data on urban household expenditures and income, from the years 1997 to 2018, the relationship between macroeconomic variables and household budget is extracted, and the "Income Distribution-Business Cycle" is portrayed. In the causal section, a two-step reduced form model with fixed effects is used to estimate the effect of GDP fluctuations on inequality and income distribution fluctuations of Iranian households. This is done using the panel data from the... 

Toxic flow occurs when a trader with confidential information trades with a market maker without that information. The trade price is such that the market maker is obliged to provide the desired liquidity by taking the risk of loss for the order. The PIN (Probability of Informed Trading) is widely used to calculate the amount of toxic flow in a market and evaluate the market condition in terms of informed trading. However, Easley et al. (2012a) propose a new alternative method based on high-frequency data and daily orders called VPIN (Volume-Synchronized Probability of Informed Trading), and we apply it in the Iran stock market. This method can give the market makers the ability to predict...