the present research aims to evaluate impacts of crude oil price return index, bloomberg petroleum index and bloomberg energy index on stock market returns of 121 companies listed in tehran stock exchange in a 10 years' period from early 2006 to april 2016. first, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. subsequently, to che...

The present research aims to evaluate impacts of crude oil price return index, Bloomberg Petroleum Index and Bloomberg energy index on stock market returns of 121 companies listed in Tehran stock exchange in a 10 years' period from early 2006 to April 2016. First, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. Subsequently, to check va...

Stochastic behavior of stock returns is very important for investors and policy makers in the stock market. In this paper, the stochastic behavior of the return index of Tehran Stock Exchange (TEDPIX) is examined using unobserved component Markov switching model (UC-MS) for the 3/27/2010 until 8/3/2015 period. In this model, stock returns are decomposed into two components; a permanent componen...

The purpose of this research is predicting the stock prices using the Particle Swarm Optimization Algorithm and Box-Jenkins method. In this way, the information of 165 corporations is collected from 2001 to 2016. Then, this research considers price to earnings per share and earnings per share as main variables. The relevant regression equation was created using two variables of earnings per sha...

there are two major methods in predincing the pattern of share value in the stock market: fundamental analysis and technical analysis. i this study we developed a novel model for fundamental analysis of share price and validated it by predicting the behavior of phrama share price in tehran stock market. the efficiency of the fundamental method was compared with that of indicator-based technical...

This paper presents a general stock model for fuzzy markets based on a class of fuzzy process, that is, geometric Liu process. Firstly, a brief history of stock models and some methodologies used in stochastic stock models have been reviewed. Next, some useful concepts and properties about fuzzy process are presented. Then, a general stock model for fuzzy markets is formulated by way of fuzzy d...

Changes in stock price will be influenced by many aspects of factors. When we are predicting stock price, it is difficult to build a determined mathematical model between stock prices and these complex factors. This paper first utilizes ε − SVM (ε − support vector machine) to build a stock price prediction model. By fitting the prediction error sequence, we find the law factors, which the predi...

In this study, 3 models of Time-Varying Parameters (TVP), Dynamic Model Selection (DMS) and Dynamic Model Averaging (DMA) and a comparison with the Ordinary Least Squares (OLS) method in MATLAB in the time period 2003-2013 (with data on a monthly basis) are discussed. In the present study, the variables of unofficial exchange rate changes, interest rate changes and inflation in oil price foreca...

In this study, 3 models of Time-Varying Parameters (TVP), Dynamic Model Selecting (DMS) and Dynamic Model Averaging (DMA) and their comparison via the Ordinary Least Squares (OLS) method in MATLAB in the time period 2003-2013 (monthly) are discussed. In the present study the variables of unofficial exchange rate changes, interest rate changes and inflation oil price forecast returns for stocks ...