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...

Numerous academic studies examine equity risk premium predictability based on various macroeconomic variables and price and volume based variables from stock market. In this article, we extend the frontier of the set of predictors from macroeconomic variables and stock market variables to foreign exchange market variables due to various reasons. Firstly, foreign exchange market reflects various...

Recent studies in financial markets suggest that technical analysis can be a very useful tool in predicting the trend. Trading systems are widely used for market assessment. This paper employs a genetic algorithm to evolve an optimized stock market trading system. Our proposed system can decide a trading strategy for each day and produce a high profit for each stock. Our decision-making model i...

Modeling and analysis of future prices has been hot topic for economic analysts in recent years. Traditionally, the complex movements in the prices are usually taken as random or stochastic process. However, they may be produced by a deterministic nonlinear process. Accuracy and efficiency of economic models in the short period forecasting is strategic and crucial for business world. Nonlinear ...

This paper proposes a fuzzy logic based DSS for stock market. This system will help investors of the stock market to take the correct buy/sell/hold decisions. The results obtained from the proposed fuzzy logic model were satisfactory. A fuzzy tuning methodology was introduced to enhance the accuracy of the decisions. The tuning methodology which uses genetic algorithms is presented also in this...

Predicting the stock market is very difficult since it depends on several known and unknown factors. So many methods like Technical analysis, Fundamental analysis, Time series analysis and statistical analysis etc. are all used to attempt to predict the price in the share market but none of these methods are proved as a consistently acceptable prediction tool. Artificial neural network (ANN), a...

Technical analysis is aimed at devising trading rules capable of exploiting short-term 2uctuations on the 3nancial markets. Recent results indicate that this market timing approach may be a viable alternative to the buy-and-hold approach, where the assets are kept over a relatively long time period. In this paper, we propose genetic programming as a means to automatically generate such short-te...