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An Evaluation of Mutual Funds Performance in Iranian Capital market by combining market Timing models with the Fama and French three Factor model

کلیدواژه: market-timing,security selection,combined models,mutual fund,Fama & French model

نویسندگان: Abdoh Tabrizi Hossein, asadi gharehjeloo behrang

ناشر: دانش سرمایه گذاری - INVESTMENT KNOWLEDGE

The aim of this study is to consider the combination of market timing models with Fama-French three factor model to evaluate the performance of mutual funds in Iran capital market. To follow this purpose, a sample of 12 mutual funds for the years of 2011-2015 has been chosen. At first step, active m... ادامه

سال:2019

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An Improved Hybrid model with Automated Lag Selection to Forecast Stock market

کلیدواژه: Financial time series,Group method of data handling,Hybrid model,Nondominated sorting genetic algorithm II,Stock market forecasting

نویسندگان: NIKUSOKHAN MOIEN

ناشر: تحقیقات مالی - Financial Research Journal

Objective: In general, financial time series such as stock indexes have nonlinear, mutable and noisy behavior. Structural and statistical models and machine learning-based models are often unable to accurately predict series with such a behavior. Accordingly, the aim of the present study is to prese... ادامه

سال:2018

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Stock Price Manipulation in the Iran Stock market Using VAE-LSTM Hybrid model

کلیدواژه: Capital Market,Stock price manipulation,Deep Learning,VAE-LSTM

نویسندگان: Habibzadeh Seyed Mohammadreza, Rastegar Mohammad Ail, Golami Jamkarni Reza, Chavoshi Sayyed Kazem

ناشر: چشم انداز مدیریت مالی - JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE

Purpose: The stock market, as one of the main economic sectors of countries, plays an important role in the development and expansion of economic activity. With the development of technology and complex trading algorithms, stock manipulation has become more easily, which makes the use of tools such ... ادامه

سال:2024

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Assessment Of Portfolio Management Skills In Iranian Capital market Mutual Funds: Baysian model Averaging Approach

کلیدواژه: Mutual Fund,Securities Portfolio Management,Market Timing,Security Selection,Panel Regression,Time Series Regression,Baysian Model Averaging

نویسندگان: asadi gharehjeloo behrang, Abdo Tabrizi Hossein

ناشر: پژوهش های برنامه و توسعه - Journal of Program & Development Research

Evaluating portfolio management performance and mutual fund’ s active management abilities is of particular importance. Capital asset pricing model and holding portfolios model are among the most important studies to assess the ability of mutual funds market timing and security selection. Thi... ادامه

سال:2019

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Designing a model of Factors Influencing FinTech Optimization in the Financial market Using a Hybrid Approach

کلیدواژه: FinTech,optimization,financial market,hybrid approach

نویسندگان: Ghasemzadeh Esmat, Keramati Mohammad Ali, Mehrinejad Safia, Mehrani Azadeh

ناشر: مدیریت، آموزش و توسعه در عصر دیجیتال - Management, Education and Development in Digital Age

The present study examines the factors influencing the optimization of FinTech in financial markets using a hybrid approach. FinTech, as one of the fundamental transformations in the financial world, has significantly altered financial interactions, particularlythrough the application of advanced te... ادامه

سال:2024

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Interbank market Failure and the Effects of the Basel III Regulations in a DSGE model for Iran

کلیدواژه: Basel III Regulations,Dynamic Stochastic General Equilibrium,Liquidity Requirement,Capital Adequacy Requirement,Iran

نویسندگان: Pirahmadi Marzieh, AFSHARI ZAHRA, SAREM MEHDI

ناشر: IRANIAN JOURNAL OF ECONOMIC STUDIES - IRANIAN JOURNAL OF ECONOMIC STUDIES

In order to facilitate transactions among banks, the interbank market has been established in Iran since 2008. The primary objective of this market is to eliminate banking system liquidity deficiencies at a rate chosen by the Central bank of Iran. The importance of this rate is that it affects marke... ادامه

سال:2019

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Using DEA model to Measure the Effect of Mutual Funds Capital Flows on Capital market Technical Efficiency

کلیدواژه: Issued Flow,Redemption Flow,Net Flow,Mutual Funds,Market Technical Efficiency

نویسندگان: TAVANGAR AFSANEH, Khabbazzadeh Mohammad Esmaeil

ناشر: تحقیقات حسابداری و حسابرسی (تحقیقات حسابداری) - JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH)

In this research، we studied the effect of capital flows of Mutual Funds on Capital market technical efficiency by using DEA (Data Envelopment Analysis) for 22 Mutual Funds listed in Tehran Stock Exchange during the years 2010-2014. We considered mutual funds’ trade volume and total assets as... ادامه

سال:2019

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Forecasting Stock Price using Hybrid model based on Wavelet Transform in Tehran and New York Stock market

کلیدواژه: ARIMA-GARCH,Forecasting,Neural Network,Wavelet Transform

نویسندگان: Vafaei Ghaeini Vahid, KIMIAGARI ALIMOHAMMAD, Jafarzadeh Atrabi Mostafa

ناشر: INTERNATIONAL JOURNAL OF FINANCE AND MANAGERIAL ACCOUNTING - INTERNATIONAL JOURNAL OF FINANCE AND MANAGERIAL ACCOUNTING

Forecasting financial markets is an important issue in finance area and research studies. On one hand, the importance of prediction, and on the other hand, its complexity, have led to huge number of researches which have proposed many forecasting methods in this area. In this study, we propose a hyb... ادامه

سال:2018

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Evaluating and Comparing Systemic Risk and market Risk of Mutual Funds in Iran Capital market

کلیدواژه: Conditional Value at Risk,Mutual Funds,Quantile Regression,Systemic Risk

نویسندگان: Shahbazin Fereshteh, GHALIBAF ASL HASAN, Seighali Mohsen, peymani foroushani moslem

ناشر: IRANIAN JOURNAL OF FINANCE - IRANIAN JOURNAL OF FINANCE

Mutual funds are one of the most paramount investment mechanisms in financial markets. By playing a financial intermediary role, they give nonprofessionals access to professionally managed portfolios of securities and provide numerous benefits for both the capital market and investors simultaneously... ادامه

سال:2019

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modeling the market Analysis Process through the SD-DES Hybrid Simulation Approach (The Case: Mobile market of Iran)

کلیدواژه: Hybrid Simulation,System Dynamics,Discrete Event,Mobile Market,Customer Satisfaction

نویسندگان: Javidmoayed Mohsen, Toloei Eshlaghi Abas, AFSHARKAZEMI MOHAMAD ALI

ناشر: مطالعات مدیریت صنعتی - JOURNAL OF INDUSTRIAL MANAGEMENT STUDIES

Nowadays, more successful businesses are those that keep their customers satisfied and in addition to the macro level of their policies, also pay attention to the micro level and details of the market. In this article, in order to study the influential factors in the mobile phone market, the dynamic... ادامه

سال:2021

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