Alireza Heidarzadeh Hanzaei Articles List

List of Articles Alireza Heidarzadeh Hanzaei

Open Access Article
- Abstract Page
- Full-Text
1 - The Comparison of Cryptocurrency Returns Prediction Based on Geometric Brownian Motion and Wavelet Transform
Ahmad Shojaei Alireza Heidarzadeh Hanzaei
20.1001.1.22519165.1400.12.47.5.3

In the present study the accuracy of predicting cryptocurrencies return was compared through two approaches of Geometric Broanian Motion (GBM) and Wavelet Transforms (WT). In order to do that, 5 cryptocurrencies of BTC, ETH, XRP, BCH and EOS as representatives of risky More

In the present study the accuracy of predicting cryptocurrencies return was compared through two approaches of Geometric Broanian Motion (GBM) and Wavelet Transforms (WT). In order to do that, 5 cryptocurrencies of BTC, ETH, XRP, BCH and EOS as representatives of risky assets were studied with daily frequency during the one year period of 2018 to 2019. Two measures of RMSE and MAE were employed to compare the accuracy of approaches in prediction of returns. In geometric Brownian modeling, the Brownian process-based stochastic differential model for asset prices leads to the fact that the logarithmic return of an asset has a normal distribution with time-dependent parameters. The results of logarithmic returns prediction by both of methods showed that WTs have less error than GBM in returns prediction of BTC, ETH, XRP and BCH cryptocurrencies and for each of accuracy measures, an specific approach has desirable performance for prediction of EOS returns. citing these results it can be concluded that WT in prediction of risky assts returns has less error than GBM method. Manuscript profile
Open Access Article
- Abstract Page
- Full-Text
2 - Convergence of Futures Contracts For Iranian Stock Exchange
Fatemeh mirzadeh ali saeedi Alireza Heidarzadeh Hanzaei Mohammad Khodaei valezaghard
20.1001.1.22519165.1400.12.47.23.1

The data used in this study, the daily cash and future prices with 71 contracts from 25 November 2008 to 23 Septamber 2018,and and the price and future of saffron, with 29 contracts from 22 May 2018 to the end of 19 March 2020, is in the statistical community of iranian More

The data used in this study, the daily cash and future prices with 71 contracts from 25 November 2008 to 23 Septamber 2018,and and the price and future of saffron, with 29 contracts from 22 May 2018 to the end of 19 March 2020, is in the statistical community of iranian stock exchange. In this study, using the regression coefficient model to investigate the changes in the spot price and the future price, from time to maturity of the futurt contract and to evaluate the point of convergence of price, from the approach of accumulation and paired sample mean comparisons are used, also from the Granger causality test, the existence or nonexistence of causal relation between spot and future price was investigated. The results showed that there is a convergence of price in the coin, but in the case of saffron contracts, prices don 't go to convergence. also in the point convergence , by using of the integrated approach and paired average tests show that convergence in both cargo has been studied. Also, the results of causality tests, The assumption of the cause - effect relationship in saffron has not been confirmed. Manuscript profile
Open Access Article
- Abstract Page
- Full-Text
3 - Inclusive Risk Estimation and Its Contagion in the Country's Financial System with the Approach of Dynamic Conditional Correlation Model
Leila Barati Mirfeiz Fallah Farhad Ghafari Alireza Heidarzadeh Hanzaei

The purpose of this paper was to assess the overall risk in various financial sectors, including banking, insurance and investment companies. Pervasive risk in general indicates the possibility of collapse of the entire financial system in a crisis. While in most cases, More

The purpose of this paper was to assess the overall risk in various financial sectors, including banking, insurance and investment companies. Pervasive risk in general indicates the possibility of collapse of the entire financial system in a crisis. While in most cases, investors in different markets worry about losing the value of a stock or commodity and measure the risks involved, the risk is pervasive, focused on the market as a whole and likely to fall. In this study, the method of measuring changes in value at risk based on the returns of financial institutions has been used. In this study, statistical information of banks, investment companies and commercial insurances during the years 1380-1399 has been used. The results show that all three sectors during this time period are significantly involved in hedging risk in Iran and investment companies have the largest share in hedging risk, followed by segments respectively. Banking and insurance are included. Manuscript profile

Current Issue

Published Issues

Menu

Browse

List of Articles Alireza Heidarzadeh Hanzaei