The aim of this study was to investigate the asymmetric effects of exchange rate fluctuations on Stock index of Tehran Stock Exchange. For this purpose, we first calculated the exchange rate fluctuations using model General Autoregressive Conditional Heteroskedastic (GARCH), and then the effect of these fluctuations on the Stock index of Tehran Stock Exchange was estimated using the Generalized...

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 ...

Under the growth of the stock market sector and the widespread of stock market applications, the stock market prediction has become one of the most important and challenging tasks in the stock market. Many data mining techniques are exploited to predict the stock prices in order to help investors in making investing decisions. One of the most common and widely used techniques is Artificial Neur...

the goal of this research was prioritize effective financial factors on price stock in tehran stock exchange with using topsis method. based on, it was reviewed literature and interviews and specially questionnaire obtain, effective financial factors to analysis with emphasize on topsis technique. the results shown in the entire ratio price to income, historical event share, eps and return on a...

The objective of this paper is to examine the performance of specific technical rules in the Athens Stock Exchange (ASE). In particular, we further investigate and provide modifications for Brock, Lakonishok, and LeBaron (1992) methodology, finding various forms of technical analysis that contain significant forecast power for ASE returns. Furthermore, we test one of the most popular trading ru...

In this paper a portfolio optimization algorithm based on Evolution Strategies is presented. This method makes use of artificial trading experts discovered earlier by a genetic algorithm. These experts, consisting of technical analysis rules, are trained to process financial time series and to generate trading advice. Evolution Strategies lead to the optimization of portfolio structures where i...