Reza Raei - University of Tehran (original) (raw)

Papers by Reza Raei

Mudīriyyat-i dulatī, 2013

Every year, for realizing the goals of five-year state civil development plan, a great part of st... more Every year, for realizing the goals of five-year state civil development plan, a great part of state credits and financial resources are spent for investment in national projects, whilst most of national projects are performed with considerable delay. Essential objectives of applying this research is design and explanaion of national projects managers' competencies model, focusing on risk that inlcudes identification, converging, survey of influencing and impressibility and prioritization of national projects managers' competencies and selecting the best competent national project manager, as well as identification, converging, survey of influencing and impressibility, prioritization, allocation and response to national projects risk. Upon applying this research, eighteen conceptual models and eleven detailed models of top managers' (deputy minister), middle managers' (state regional director general), and operational managers' (head of provincial district) compe...

Identification of Capital Structure Adjustment Speed Using a Dynamic Model of Optimal Capital Structure, Emphasis on Product Market Competition Factor

Integrated Approach with Econometric Methods (Arma & Garch) and Analytic Network Proccess for Asset Allocation

Mean-Semivariance Portfolio Optimization Using Harmony Search Method

Neural Network: A New Approach to Managerialdecision Marking

Identifying and Modeling Tehran Stock Market Calendar Effects: Using Arch and Garch Models

This paper examines the calendar anomalies in daily return of the Tehran stock market. ARCH and G... more This paper examines the calendar anomalies in daily return of the Tehran stock market. ARCH and GARCH models are employed to capture the wide range of different calendar anomalies exist in the literature. This study finds the evidence of strong Esfand and Mehr effects in ...

Use of a Hybrid Approach Based on Artificial Bee Colony and Neural Network for Credit Risk Assessment

The Investigation of Seasonal Fluctuations Model in Tehran Stock Exchange

Investigating the Impact of Liquidity Creation on Profitability and Financial Stability of Banks

چشمانداز مدیریت مالی, Jun 22, 2022

If the central bank and the relevant bank risk committee do not monitor and control the amount of... more If the central bank and the relevant bank risk committee do not monitor and control the amount of liquidity created by a bank, it risks bankruptcy and ultimately all the banks in the country. Therefore, this study examines the impact of liquidity creation on the profitability and financial stability of banks. In terms of purpose and method, this research is applied post-event. A multivariate regression model and data panel approach were used to analyze the information of 15 banks listed on the Tehran Stock Exchange over the period 2013-2020. Berger and Bauman's (2009) method was used to calculate the liquidity creation index and the profitability and financial stability of banks were measured by the return on assets ratio (ROA) and Z-Score, respectively, as well as by control variables at the bank level (size, deposits, facilities, and non-interest income) and industry level (concentration index of banks). According to the results, banks are more profitable and stable when liquidity is created.

بررسی کارایی مدل N/1 در انتخاب پرتفوی

هدف: از زمانی که کار اولیه مارکویتز، مبنی بر مدل سرمایه‌گذاری تک‌دوره‌ای ارائه شد، مسئله انتخاب پ... more هدف: از زمانی که کار اولیه مارکویتز، مبنی بر مدل سرمایه‌گذاری تک‌دوره‌ای ارائه شد، مسئله انتخاب پرتفوی در حوزه‌های علمی و صنعتی، به مسئله‌ای بنیادین در مدیریت سرمایه‌گذاری تبدیل شد. علی‌رغم مطرح‌شدن تئوری‌ها و روش‌های مختلف، با توجه به اینکه مدل N/1 به برآورد پارامترهای دیگر در بهینه‌سازی بی‌نیاز است و محاسبه‌های ساده‌ای دارد، همچنان در انتخاب پرتفوی در کانون توجه قرار می‌گیرد. هدف از این پژوهش بررسی کارایی مدل N/1 در انتخاب پرتفوی است. روش: در این پژوهش هم برای انتخاب پرتفوی بهینه و هم برای سنجش عملکرد پرتفوی، از روش‌ها و مدل‌های مختلفی استفاده شده است که یکی از این روش‌ها، روش تصمیم‌گیری چندمعیاره ELECTRE برای رتبه‌بندی مدل‌های پژوهش است. روش‌های انتخاب پرتفوی بهینه در این پژوهش، مدل‌های ‌N/1، میانگین ـ واریانس، حداقل واریانس و همچنین، مدل ترکیبی حداقل واریانس و N/1 است. برای ارزیابی عملکرد پرتفوی نیز، از معیارهایی نظیر معیار شارپ، معیار ترینر، معیار مودیلیانی ـ مودیلیانی، معیار اطلاعات و معیار سورتینو استفاده شده است. یافته‌ها: به‌طور نسبی، از لحاظ معیارهای شارپ و مودیلیانی ـ مود...

Support Vector Machines Application in Financial Distress Prediction of Companies Using Financial Ratios

The development of the bankruptcy or financial distress prediction model has long been regarded a... more The development of the bankruptcy or financial distress prediction model has long been regarded as an important research in the academic and business entities. Financial distress of companies imposes many costs to the companies. One method that can help companies to prevent from financial distress is prediction of financial distress. This prediction also can help banks and other financial institution to have better credit scoring and rating systems. In this study we used Support Vector Machines (SVM) for predicting financial distress of companies and Logistic Regression (LR) as a comparative method. We found that SVM has a better performance than LR. Results show that SVM not only has a better accuracy rate of prediction but also has a better generalization power.

Calculation of Value at Risk for Portfolio of Coin and Bourse Index; Comparing to Models: Garch and M-Garch

Stochastic Dominance And Its Comparison With Other Conventional Risk Measures In Tehran Stock Exchange

Business Strategies, 2011

* Email:Taroman@ut.ac.ir ه لكچ ی يکي ،يداصتقا هعسوت تهج رد هيامرس تياده و زيهجت يارب يرازبا ناونع... more * Email:Taroman@ut.ac.ir ه لكچ ی يکي ،يداصتقا هعسوت تهج رد هيامرس تياده و زيهجت يارب يرازبا ناونع هب سروب هزورما دور يم رامش هب دازآ رازاب هب يکتم داصتقا متسيس رد اهرازبا نيرترثؤم زا . کسير يسررب هزاين شيپ نيرتمهم زا ،فلتخم ياه تکرش ماهس هدزاب و يکم سروکب رد يرااکگ هيامرس يا دشاب . سير شجنس رد هدافتسا دروم يتنس ياهرايعم يلک روط هب ( راکيعم و رايعم فارحنا اتب ) دنکشاب يکم يرايکسب ياکه تيدودکحم ياراد دکنراد هکک يا يبسن يياراک مغريلع . نکيا رد ج زا ينامز ياه يرس رد دوجوم سير نيمخت رد يديدج هويش ات هديدرگ يعس شهوژپ هلم جوم ياه شور زا هدافتسا اب ماهس هدزاب و يکئزج رواتشگ نوچمه يفداصت طلست لدم رد د و راکيعم فارکحنا هلمج زا سير هبساحم يتنس ياهرايعم رياس رانک رد ات ددرگ هئارا نيياپ مصت رد امنهار لماع ي ناونع هب دناوتب اتب بيرض ي رارکق هدافتکسا دروم يرااگ هيامرس تام دريگ . ساحم ماهکس هکنازور هدزاب دروم رد يفداصت طلست رايعم طسوت سير هب 04 تکرکش هرود رد نارهت راداهب قاروا سروب رد هدش هتفرياپ 6831 6831 تکسا هکتفرگ تروص . هکب زا کسير فکلتخم ياه صخاش ساسا رب اه تکرش يدنب هبتر قابطنا نازيم يسررب روظنم دش هدافتسا نمريپسا يا هبتر يگتسبمه بيرض تسا ه . هکبتر قابطنا نازيم يسررب روظنم هب نمريپسا يا هبتر يگتسبمه بيرض زا سير فلتخم ياه صخاش ساسا رب اه تکرش يدنب رگيدککي اکب کسير هبکساحم رد راکيعم هکس هک تسا نآ زا يکاح جياتن هک تسا هدش هدافتسا م فارکحنا و يفداصت طلست رايعم ود نيب قابطنا نيرتشيب و دنراد قابطنا و دراد دوکجو راکيع دراد دوجو يرتمک يگتسبمه رايعم فارحنا و اتب و اتب و يفداصت طلست ياهرايعم نيب .

The Effect of Maturity Date, Trade Volume and Open Interests on Gold Coin Future Price Volatility

Asian real option: New approach to project economic valuation

2012 International Conference on Information Management, Innovation Management and Industrial Engineering, 2012

ABSTRACT

Ethical Recommendations in Islam, in Design of Financial Instruments

ETHICS IN SCIENCE, 2009

... In This article we try to extract "ethical fundamentals" (prohibitions) and "e... more ... In This article we try to extract "ethical fundamentals" (prohibitions) and "ethical principles" (operating Models), and finally the necessary standards for the design of new financial products as "a model of ethics in Islamic financial engineering"- based on efficiency and justice - to ...

Modeling Stock Price Movements Prediction Based on News Sentiment Analysis and Deep Learning

Annals of Financial Economics, Mar 1, 2022

Nowadays, with the rapid growth of information spread, investors involve news and sentiments in t... more Nowadays, with the rapid growth of information spread, investors involve news and sentiments in their financial decision more than before. This paper investigates the effect of technical and fundamental analysis in the form of technical indicators and sentiments of news on Iranian stocks. Several packages and technologies are developed for English semantic; in this regard, most previous works are done on English, especially Twitter. On the other hand, there are rare attempts about the effect of Persian semantics on Iranian stocks due to the lack of uniform packages and technologies. This study collects news articles in Iran that are related to stocks. After data preprocessing, the polarity of news is discerned by the HESNEGAR lexicon. It is the first to consider a semantic Persian lexicon on Iranian stocks. Three models are proposed based on the deep learning approach-convolutional neural networks; price only, news sentiments and hybrid models. Experimental results showed that hybrid model considering both technical indicators and news sentiments using the HESNEGAR lexicon could significantly improve the prediction accuracy compared to price only and news sentiments models. This study can be the reference model to plan a trading strategy.

Coupled Time Series Analysis: Methods and Applications

Computing in Science and Engineering, Nov 1, 2011

Comparing emerging and mature markets during times of crises: A non-extensive statistical approach

Physica D: Nonlinear Phenomena, Jul 1, 2013

ABSTRACT One of the important issues in finance and economics for both scholars and practitioners... more ABSTRACT One of the important issues in finance and economics for both scholars and practitioners is to describe the behavior of markets, especially during times of crises. In this paper, we analyze the behavior of some mature and emerging markets with a Tsallis entropy framework that is a non-extensive statistical approach based on non-linear dynamics. During the past decade, this technique has been successfully applied to a considerable number of complex systems such as stock markets in order to describe the non-Gaussian behavior of these systems. In this approach, there is a parameter qq, which is a measure of deviation from Gaussianity, that has proved to be a good index for detecting crises. We investigate the behavior of this parameter in different time scales for the market indices. It could be seen that the specified pattern for qq differs for mature markets with regard to emerging markets. The findings show the robustness of the stated approach in order to follow the market conditions over time. It is obvious that, in times of crises, qq is much greater than in other times. In addition, the response of emerging markets to global events is delayed compared to that of mature markets, and tends to a Gaussian profile on increasing the scale. This approach could be very useful in application to risk and portfolio management in order to detect crises by following the parameter qq in different time scales.

Physica D: Nonlinear Phenomena, Sep 1, 2011

In this paper we investigate the Tehran stock exchange (TSE) and Dow Jones Industrial Average (DJ... more In this paper we investigate the Tehran stock exchange (TSE) and Dow Jones Industrial Average (DJIA) in terms of perturbed correlation matrices. To perturb a stock market, there are two methods, namely local and global perturbation. In the local method, we replace a correlation coefficient of the cross-correlation matrix with one calculated from two Gaussian-distributed time series, whereas in the global method, we reconstruct the correlation matrix after replacing the original return series with Gaussian-distributed time series. The local perturbation is just a technical study. We analyze these markets through two statistical approaches, random matrix theory (RMT) and the correlation coefficient distribution. By using RMT, we find that the largest eigenvalue is an influence that is common to all stocks and this eigenvalue has a peak during financial shocks. We find there are a few correlated stocks that make the essential robustness of the stock market but we see that by replacing these return time series with Gaussian-distributed time series, the mean values of correlation coefficients, the largest eigenvalues of the stock markets and the fraction of eigenvalues that deviate from the RMT prediction fall sharply in both markets. By comparing these two markets, we can see that the DJIA is more sensitive to global perturbations. These findings are crucial for risk management and portfolio selection.