this paper empirically investigates the exchange rate effects of iranian rial against dollar (rial vs.us) on stock prices in iran. the sample period for the study has been taken from march 20, 2004 to march 20, 2010 using daily nominal exchange rate of rial /us and daily closing values of tehran stock exchange. generalized autoregressive conditional heteroskedasticity (garch) model has been use...

The observed transaction prices on a stock market at discrete time points are assumed to be a sample from a continuous time-value process. The theory of an efficient market is used as motivation for a random-walk type model. The fact that bid-ask spread and other microstructure phenomena exist is accounted for by adding a noise term to the model. Models for elementary detrending based on stocha...

In financial markets such as Tehran Stock Exchange, P/E coefficient, which is one of the most well-known instruments for evaluating stock prices in financial markets, is considered necessary for shareholders, investors, analysts and corporate executives. P/E is used as an important indicator in investment decisions. In this research, harmony search metaheuristic algorithm is used to select opti...

iran energy exchange was established with the approval of exchange supreme council in june 2011, and started its activities in the early june, 2012. studying and investigating the rules and regulations of iran energy exchange, some interferences and disorders can be observed in the competency as well as multiplicity of the enactment authority. most of the energy exchange rules have been enacted...

Motivated by empirical evidence, we construct a model where heterogeneous boundedly rational market participants rely on a mix of technical and fundamental trading rules. The rules are applied according to a weighting scheme. Traders evaluate and update their mix of rules by a genetic algorithm. Already for a low probability of fundamental shocks the interaction between the traders results in a...

We show that the proportional response algorithm for computing an economic equilibrium in a Fisher market model can be interpreted as iteratively approximating the economy by one with Cobb-Douglas utilities, for which a closed-form equilibrium can be obtained. We also extend the method to allow elasticities of substitution at most one.

This paper reviews the BGM model for the parameterization of LIBOR forward interest rate curves, and presents a C++ implementation in PREMIA of the calibration algorithm of [7] using the market prices of caps and swaptions in this model.

This paper studies the market making behavior of FX dealers in the interbank market which is characterized by high trade volume and decentralized market structure. The dataset for my empirical estimation is based on the complete trade records of a FX dealer at a major commercial bank over 25 trading days. The dealer is among the five largest DM/$ dealers in the world, and the composition of his...