In this research, we proposed a new metaheuristic technique for stock portfolio multi-objective optimization employing the combination of Strength Pareto Evolutionary Algorithm (SPEA), Adaptive Neuro-Fuzzy Inference System (ANFIS) and Arbitrage Pricing Theory (APT). To generate the more precise model, ANFIS has implemented to envisage long-term movement values of the Tehran Stock Exchange (TSE)...

Price return and P/E are two important factors for a lot of investors based on the latest studies by researchers in Tehran Stock market; however, it is expected that the price and the variation of that affect the return and the P/E of any given market as a complicated system. The Bohmian quantum mechanics used referring to the time correlation of return and P/E of the stock market under conside...

Stock price crash risk has a significant impact on investors, creditors, managers, and shareholders, so the prediction of this phenomenon is a very important issue in investment and risk management decisions. This research investigates the effect of business strategy and stock price synchronicity on stock price crash risk. Following Bentley et al.[2], composite strategy score has been used to ...

This paper examines the causal relationship between stock prices and macroeconomic aggregates in Iran, by applying the techniques of the long–run Granger non–causality test proposed by Toda and Yamamoto (1995). We test the causal relationships between the TEPIX Index and the three macroeconomic variables: money supply, value of trade balance, and industrial production using quarterly data for t...

On the Croatian stock market liquidity has never been in the focus of academic research. thus we find it necessary to observe liquidity at the aggregate level. This paper observes multi-dimensional liquidity through the impact of turnover on price change together with several one-dimensional measures. In our empirical research we applythe illiquidity measureto seven different stock markets. We ...

Around the world, trading in the stock market has gained huge attractiveness as a means through which, one can obtain vast profits. Attempting to profitably and precisely predict the financial market has long engrossed the interests and attention of bankers, economists and scientists alike. Stock market prediction is the act of trying, to determine the future value of a company’s stock or other...

abstract:due to the importance and benefits of entering premier league’s football clubs into stock market, this research has been done to assess the current status of mentioned clubs and compare it with the conditions for entering the stock market and give practical proposals for entering the premier league’s professional football clubs into stock market. this study was a descriptive-survey res...

We propose that the minimal requirements for a model of stock market price fluctuations should comprise time asymmetry, robustness with respect to connectivity between agents, “bounded rationality” and a probabilistic description. We also compare extensively two previously proposed models of log-periodic behavior of the stock market index prior to a large crash. We find that the model which fol...