List of Articles Sayyed Mohammad Reza Davoodi

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  1 - Clarification of a profitable trading system based on dynamic analysis
  Atefeh Bagheri Naghneh Sayyed Mohammad Reza Davoodi
  10.30495/afi.2022.1947103.1074
  Purpose: The purpose of this study is to predict stock returns and ultimately present a trading strategy based on dynamic analysis.Methodology: The behavior of a stock portfolio can be considered as a complex and chaotic dynamic system in which the return of the portfol More

  Purpose: The purpose of this study is to predict stock returns and ultimately present a trading strategy based on dynamic analysis.Methodology: The behavior of a stock portfolio can be considered as a complex and chaotic dynamic system in which the return of the portfolio is a state variable that reflects the state of the system. Dynamic mode decomposition is one of the methods in which with the help of available data, a linear approximation of the nonlinear operator governing the system is obtained and by calculating the main modes, the system output can be explicitly calculated in terms of time.Findings: The results of research on a portfolio consisting of 14 industries from the Tehran Stock Exchange in the period 2010 to 2019 and considering the 5 main modes of system guidance show that the optimal lag is six and the Sharp ratio obtained from the trading system of two Equivalent to the buy and hold system.Originality / Value: Therefore, the use of this trading system is recommended for short-term trading. Manuscript profile
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  2 - Optimal hedging of quantitative risk based on Markov regime change in coin futures contract
  Sayyed Mohammad Reza Davoodi Marzieh Karami Chamgordani Sayyed AmirReza Hashemi
  10.30495/afi.2023.1966058.1152
  Objective: One of the key roles of futures markets is to provide risk hedging tools. The optimal strategy for risk hedging is determined by estimating the risk hedging ratio. Calculating the risk hedging ratio and the effectiveness of hedging explicitly depend on the re More

  Objective: One of the key roles of futures markets is to provide risk hedging tools. The optimal strategy for risk hedging is determined by estimating the risk hedging ratio. Calculating the risk hedging ratio and the effectiveness of hedging explicitly depend on the relationship between futures prices and spot prices. Therefore, the aim of this study is to estimate the optimal risk hedging ratio in various timeframes under low and high volatility conditions using a Markov regime-switching multivariate regression model.Methodology: The slope obtained from the Markov regime-switching multivariate regression, representing the optimal risk hedging ratio, is chosen, which is dependent on the choice of timeframes and two cases for the multivariate regression model are adopted according to the level of volatility considered.Findings: The research results on 5 futures contracts in the period from 2014 to 2018 indicate that in three markets, normal (composite), low volatility, and high volatility, risk hedging has been able to reduce risk by at least 20%. In the high volatility market, the optimal risk hedging ratio has reduced volatility by at least 23% in all timeframes (with the mean square error criterion), and the 0/95 timeframe performs the best in terms of the highest reduction in volatility and the lowest risk hedging ratio. In the low volatility market, the optimal risk hedging ratio has reduced volatility by at least 58% in all timeframes, and the 0/05 timeframe performs the best in terms of the highest reduction in volatility and the lowest risk hedging ratio. In the composite market, the optimal risk hedging ratio has also reduced volatility by 21%.Originality / Value: The results of this study not only contribute to the literature on risk hedging but also assist all stakeholders and users in evaluating the level of attention to the risk hedging topic. Manuscript profile