List of Articles Ebrahim Chirani

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  1 - Volatility Spillover in the financial markets of Iran (Method of VAR-GARCH models)
  soqra razi kazemi gholamreza zomorodian Ebrahim Chirani
  20.1001.1.22519165.1400.12.46.11.7
  The transfer of financial crises between different markets in a economy indicates the existence of channels of contagion. Parallel markets are closely linked to other markets in any economy. The channels of shocks and financial crises to other markets can include inform More

  The transfer of financial crises between different markets in a economy indicates the existence of channels of contagion. Parallel markets are closely linked to other markets in any economy. The channels of shocks and financial crises to other markets can include information, macroeconomic variables, investment behaviors, etc. in this study, the existence of volatility overflow between coin market, oil, currency and stock markets was investigated using monthly data during 2009 to 2017. the results indicate the existence of the fluctuations, as well as structural failures due to the existence of this overflow. Granger causality tests also confirmed the existence of causal links between financial markets. Between coin and currency markets, exchange and oil are two - way causality and between the oil and gold markets, exchange and the stock are one-way causality. in this study, the Granger causality tests, structural failure tests, the correlation of variance and other necessary tests were used Manuscript profile
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  2 - Designing a Model for Explaining the Effect of Macroeconomic Policies on Money and Capital Markets
  Souzan Hossienzadeh Gholamreza Zomorodian Ebrahim Chirani
  Macroeconomic policies are an important tool for governments to achieve financial commitments andtheir social and economic goals. Macroeconomic policies have different types and their implementationcan effects different markets in various ways which can cause change and More

  Macroeconomic policies are an important tool for governments to achieve financial commitments andtheir social and economic goals. Macroeconomic policies have different types and their implementationcan effects different markets in various ways which can cause change and turbulence in them. With thisapproach, in the present study by using the Bayesian Causal Map (BCM) and seemingly unrelatedregression equations (SURE) model, a model is designed to explain the effect of macroeconomic policieson money and capital markets. It should be noted that the time period of the present study was 1989 to2019. The results of the present study showed that money and capital markets are affected by variablesand policies applied in different markets in both direct and indirect ways. If the amount of savings in thesociety changes as a result of government policies or other economic and non-economic components,the facilities granted by the banking system will change as well. This directly affects the money market.Given that changes in the money market affect the capital market, the capital market is also affected bychanges made in the money market. At the same time, changes in the money market also affect othermacroeconomic variables such as................ Manuscript profile
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  3 - Comparison of different machine learning models in stock market index forecasting
  maryam sohrabi Seyed Mozaffar mirbargkar Ebrahim Chirani SINA KHERADYAR
  Predicting time series of financial markets is a challenging issue in the field of specialized studies of time series and has attracted the attention of many researchers. Due to the presence of big data, this issue has led to the growth of developments in the field of m More

  Predicting time series of financial markets is a challenging issue in the field of specialized studies of time series and has attracted the attention of many researchers. Due to the presence of big data, this issue has led to the growth of developments in the field of machine learning models. Due to the importance of this issue, in this study, by using the comparison of different machine learning models such as random forest approaches, support vector machine, artificial neural network and deep learning-based recurrent neural networks to investigate the ability of different machine learning models in prediction. The total index of Tehran Stock Exchange during the period 2013 to 2020 has been discussed. The prediction results of 1, 3 and 6 day courses for the out-of-sample period show that the machine learning method based on the long short-term memory (LSTM) network, a recurrent neural networks, has a better result compared to other models. Manuscript profile
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  4 - Provide IPO valuation model using genetic algorithm and compare the value of the proposed model with Op
  samaneh fathalian seyed Ali Nabavi Chashmi Ebrahim Chirani
  Proper Ipo Valuation Companies entering the capital market for the first time are critical to both business owners and investors. But the valuation of these stocks is influenced by many quantitative and qualitative factors. Nonlinear intelligent systems such as neural n More

  Proper Ipo Valuation Companies entering the capital market for the first time are critical to both business owners and investors. But the valuation of these stocks is influenced by many quantitative and qualitative factors. Nonlinear intelligent systems such as neural networks and genetic algorithms are good tools for accurately predicting the initial stock value. Therefore, the purpose of this study is to present the IPO valuation model using genetic algorithm and compare the value of the proposed model with Op. For this purpose, data related to 421 companies were collected that during the years 2009 to 1397 had made an initial public offering of shares on the Tehran Stock Exchange. In order to analyze the data, the methods of regression, neural network and genetic algorithm have been used. The results showed that the Ipo valuation model using genetic algorithm is the optimal IPO valuation model. Also, the projected valuation, while close to the OP, while meeting the relative price increase, can meet the expectations of investors and business owners in a proper IPO valuation. Manuscript profile
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  5 - Explaining the Optimal Model of Appraisal and Pricing of the Initial Pablic Offering using Fuzzy Multi-Criteria Decision Making Techniques, Multivariate Regression, Neural Network and Genetic Algorithm
  samaneh fathalian sayyed Ali Nabavi Chashmi Ebrahim Chirani
  20.1001.1.22519165.1399.11.42.8.9
  Valuation and pricing of securities the process of estimating the value of securities is one of the initial shares of companies. Because, on the one hand, investors need to know in a conscious investment that knows the true value of the stock they are interested in inve More

  Valuation and pricing of securities the process of estimating the value of securities is one of the initial shares of companies. Because, on the one hand, investors need to know in a conscious investment that knows the true value of the stock they are interested in investing in and on the other hand, the owners of companies that are going to sell their securities have to evaluate and value their assets in a proper manner. Therefore, the purpose of this study is to explain the optimal model of evaluation and pricing of the initial public supply of shares of companies accepted in Tehran Stock Exchange using fuzzy multi-criteria decision-making techniques, stepwise regression, neural network and genetic algorithm. To this end, data on 421 companies were collected that during the years 2006 to 2018 launched a public offering of shares on the Tehran Stock Exchange. Fuzzy AHP method, forward regression, neural network and genetic algorithm are also used to analyze the data. The results of the research showed that the genetic algorithm model is the optimal pricing model and initial stock valuation. Manuscript profile
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  6 - Prediction of stock price bubble drop in Tehran Stock Exchange (conditional Volatility approach)
  shahrzad kashanitabar Fereydoon rahnamaroodposhti Mirfeiz Fallah Ebrahim Chirani Gholamreza zomorodian
  20.1001.1.22519165.1399.11.44.15.0
  Stock market as a part of the capital market plays a very important role in directing savings to the manufacturing sector in all countries. Today, in the economy of many developing countries, the situation of macroeconomic variables is not consistent with the ascension More

  Stock market as a part of the capital market plays a very important role in directing savings to the manufacturing sector in all countries. Today, in the economy of many developing countries, the situation of macroeconomic variables is not consistent with the ascension of stock indices, and in fact the relationship between the economy and the stock has been discontinued. Today, in the economy of many developing countries, the situation of macroeconomic variables is not consistent with the increase in stock indices, and in fact the relationship between the economy and the stock has been discontinued. In the present study, for the prediction of price bubbles, the daily data of 144 companies in the Tehran Stock Center during the period of 1389 (1396) has been analyzed by the generalized autoregressive conditional heteroscedasticity (GARCH). Based on the results of the data analysis, member firms in the stock center in the years under consideration have been priced bubbles that were higher in the first six months of the year. The factors that triggered price bubbles include political shocks, returns in parallel bubbles, such as oil, currency and gold. Manuscript profile