Author Index

A

a.a The Impact of Earning Quality on Excess Returns with Regard to Momentum [ Vol.8, Issue 32 - Autumn Year 1396]
Abbasi.Abbas Simulate the Model of the Effects of Alternative Assets Volatility on Overall Index of Tehran Stock Exchange and Housing Prices with Using System Dynamics [ Vol.8, Issue 33 - Winter Year 1396]
Aghamohamadi.Ali Introducing new risk measure Glue VaR and its estimation using composite quantile regression model [ Vol.8, Issue 31 - Summer Year 1396]
Akbari Masule.Alireza Investigating the Impact of Diversification Strategy in Assets and Loans on Bank Return [ Vol.8, Issue 30 - Spring Year 1396]
Akbarzadeh Tutunchi.mohammadreza Spin Glasses, the way to Distributed Processing Case Study on Stock Market Portfolio Selection [ Vol.8, Issue 32 - Autumn Year 1396]
Alamatian.Zohreh Iran Stock Market Prediction Based on Bayesian Networks and Hidden Markov Models [ Vol.8, Issue 33 - Winter Year 1396]
Alimohammadi.Meysam Feasibility of Currency hedging for exporter and importer companies by Using the Iran Mercantile Exchange Coin futures contract [ Vol.8, Issue 31 - Summer Year 1396]
Amini Khiabani.Gholamreza An Assessment of Foreign Portfolio Investment in Hierarchical Model based on Topsis Algorithm [ Vol.8, Issue 30 - Spring Year 1396]

B

Badiei.Hossein Forecasting Stock Price Trend by Artificial Neural Networks (Case Study: Isfahan Oil Refinery Company) [ Vol.8, Issue 31 - Summer Year 1396]
bahrisales.jamal Selection and Portfolio Optimization by Genetic Algorithms using the Mean Semi-Variance Markowitz Model [ Vol.8, Issue 31 - Summer Year 1396]
Barzegar.Mohammadreza Mathematical model design for predicting bankruptcy of companies accepted in the Tehran Stock Exchange [ Vol.8, Issue 31 - Summer Year 1396]
Bekhradi Nasab.Vahid The Impact of Earning Quality on Excess Returns with Regard to Momentum [ Vol.8, Issue 32 - Autumn Year 1396]
beytary.JALIL Volatility Spillover between Oil Price, Exchange Rates, Gold Price and Stock Market Indexes with Structural Breaks [ Vol.8, Issue 33 - Winter Year 1396]

D

Daei-Karimzadeh.SAEED Optimal Currency Portfolio of Foregin Exchange Reserves in the Central Bank of I. R. Iran (Post-Modern Portfolio Approach) [ Vol.8, Issue 32 - Autumn Year 1396]
dashti.mahdieh Estimating Extreme downside risk premium using Extreme Value Theory Approach [ Vol.8, Issue 33 - Winter Year 1396]
Davallou.Maryam Estimating Extreme downside risk premium using Extreme Value Theory Approach [ Vol.8, Issue 33 - Winter Year 1396]
dehghani firoozabadi.zahra Denoising of financial time series using wavelet analysis [ Vol.8, Issue 33 - Winter Year 1396]
Didehkhani.Hosein Presenting a fuzzy multi objective model for portfolio selection based on value at risk, semi-skewness and fuzzy credibility theory [ Vol.8, Issue 32 - Autumn Year 1396]
didehkhani.Hossein Presenting a fuzzy multi objective model for portfolio selection based on value at risk, semi-skewness and fuzzy credibility theory [ Vol.8, Issue 32 - Autumn Year 1396]

E

Ebadi.Nasrin Optimal Pairs Trading strategy under Statistical Variability of the Spread Process [ Vol.8, Issue 33 - Winter Year 1396]
ebadzadeh.kamal The Effect of Chaotic Behavior Components on Sales Outsourcing: Case of Zamzam Company [ Vol.8, Issue 31 - Summer Year 1396]
elahi.naser The evaluation of Systemic Risk in the Iran Banking System by Delta Conditional Value at Risk ( CoVaR) Criterion [ Vol.8, Issue 33 - Winter Year 1396]

F

Fallah pour.Saeed Evaluating the Performance of a Pairs Trading System in Tehran Stock Exchange: the Cointegration Approach and Sortino Ratio Analysis [ Vol.8, Issue 30 - Spring Year 1396]
fallah.mirfeiz Studying the Relationship between Default Risk and Corporate Governance Indicators (Using the Black-Scholes-Merton Option Pricing Model) [ Vol.8, Issue 30 - Spring Year 1396]
fallah.mirfeiz Futures Contracts Margin Setting by CVaR Approach Based on Extreme Value Theory [ Vol.8, Issue 32 - Autumn Year 1396]
Fathi.Mohammad Reza Presenting a Hybrid Model based on Fuzzy Prioritization Method and COPRAS for Portfolio Selection in Tehran Stock Exchange [ Vol.8, Issue 32 - Autumn Year 1396]

G

gilanipour.javad The evaluation of Systemic Risk in the Iran Banking System by Delta Conditional Value at Risk ( CoVaR) Criterion [ Vol.8, Issue 33 - Winter Year 1396]
Goodarzi.Mahshid Portfolio optimization with Fraction of Expectation to Risk of future financial strength based on Eigen Vector of Pairwise Comparisons Matrix [ Vol.8, Issue 32 - Autumn Year 1396]

H

Hajiha.Zohreh Prospector and Defender Business strategy, Information Asymmetry, and Stock Price Crash [ Vol.8, Issue 31 - Summer Year 1396]
hakimian.hasan Evaluating the Performance of a Pairs Trading System in Tehran Stock Exchange: the Cointegration Approach and Sortino Ratio Analysis [ Vol.8, Issue 30 - Spring Year 1396]
hamdi.karim An Assessment of Foreign Portfolio Investment in Hierarchical Model based on Topsis Algorithm [ Vol.8, Issue 30 - Spring Year 1396]
Hashemloo.Farzaneh The Effect of Chaotic Behavior Components on Sales Outsourcing: Case of Zamzam Company [ Vol.8, Issue 31 - Summer Year 1396]
heidari haratemeh.mostafa Investigating the Effect of Real Options Resulting from investment opportunities on Stock Return [ Vol.8, Issue 30 - Spring Year 1396]
hooshangi.zohreh Estimation and Comparison of Short-Term Interest Rate Equilibrium Models Using Islamic Treasury Bills [ Vol.8, Issue 33 - Winter Year 1396]

K

Kamravafar.Mohammad Analysis of Most Important Variables Affecting TEPIX and Modeling Them with Artificial Neural Networks and Comparing Results with Technical Analysis and Elliott Waves [ Vol.8, Issue 30 - Spring Year 1396]
Karimi.Kamran The effect of financial leverage on the Company's operating liquidity (within the model GOEL) [ Vol.8, Issue 32 - Autumn Year 1396]
khalili araghi.Maryam The Effect of Chaotic Behavior Components on Sales Outsourcing: Case of Zamzam Company [ Vol.8, Issue 31 - Summer Year 1396]
khochiany.Ramin Comovement of Stock Market, Foreign Exchange and Gold in Iran: An Analysis of Econophysics [ Vol.8, Issue 31 - Summer Year 1396]
Kiani.reza Stock Deposit Certificates, a Modern Instrument for Financing, Maintaining Management Control and increasing liquidity in Capital Market [ Vol.8, Issue 31 - Summer Year 1396]

M

Mardanlu.Sima Mining quantitative association rules with stock trading data using multi-objective Meta heuristic algorithms based on genetic algorithm [ Vol.8, Issue 31 - Summer Year 1396]
Mohammadi.Shapoor Smart Buying and Selling System Design Based on a Model Consisting of a Support Vector Machine Algorithm and Theory of Trend Channel [ Vol.8, Issue 32 - Autumn Year 1396]
Mohammadian Amiri.Ehsan Proposition of a model For Forecasting Value at Risk in One Step Ahead [ Vol.8, Issue 32 - Autumn Year 1396]
Moshrefi.Mohammad Hybrid meta-heuristic algorithm for multi-objective portfolio optimization by fuzzy programming [ Vol.8, Issue 30 - Spring Year 1396]
motaharinia.vahid Including Jump Components in Modeling and Forecasting Realized Volatility: Evidence from Tehran Stock Exchange [ Vol.8, Issue 32 - Autumn Year 1396]
Mousavi Sarhadi.Seyed Ali Smart Buying and Selling System Design Based on a Model Consisting of a Support Vector Machine Algorithm and Theory of Trend Channel [ Vol.8, Issue 32 - Autumn Year 1396]

N

nademi.younes Comovement of Stock Market, Foreign Exchange and Gold in Iran: An Analysis of Econophysics [ Vol.8, Issue 31 - Summer Year 1396]
Naeimifar.Afsaneh The effect of financial leverage on the Company's operating liquidity (within the model GOEL) [ Vol.8, Issue 32 - Autumn Year 1396]

P

Pakmaram.ْAsgar Selection and Portfolio Optimization by Genetic Algorithms using the Mean Semi-Variance Markowitz Model [ Vol.8, Issue 31 - Summer Year 1396]
parandeh.elham The relationship between horizon of institutional investors and Information Content of unexpected dividends [ Vol.8, Issue 33 - Winter Year 1396]
Pashootanizadeh.Hooman Simulate the Model of the Effects of Alternative Assets Volatility on Overall Index of Tehran Stock Exchange and Housing Prices with Using System Dynamics [ Vol.8, Issue 33 - Winter Year 1396]
Peymany Foroushany.Moslem Estimation and Comparison of Short-Term Interest Rate Equilibrium Models Using Islamic Treasury Bills [ Vol.8, Issue 33 - Winter Year 1396]
pirayesh.Reza Mathematical model design for predicting bankruptcy of companies accepted in the Tehran Stock Exchange [ Vol.8, Issue 31 - Summer Year 1396]

R

Rahmani.Morteza Survey on fractional Black-scholes with hurst exponent on European option with transaction cost [ Vol.8, Issue 32 - Autumn Year 1396]
Rahnamay Roodposhti.Fereydoon The Effect of Chaotic Behavior Components on Sales Outsourcing: Case of Zamzam Company [ Vol.8, Issue 31 - Summer Year 1396]
Rahnamay Roodposhti.Fereydoon Market failure using the basket recommended by the Coalition [ Vol.8, Issue 33 - Winter Year 1396]
Ranjbar.Mohamad Hosein Volatility Spillover between Oil Price, Exchange Rates, Gold Price and Stock Market Indexes with Structural Breaks [ Vol.8, Issue 33 - Winter Year 1396]
Rezazadeh.Ruhollah Forecasting Stock Price Trend by Artificial Neural Networks (Case Study: Isfahan Oil Refinery Company) [ Vol.8, Issue 31 - Summer Year 1396]

S

sadeh.ehsan Fuzzy – neural model with hybrid genetic algorithms for stock price forecasting in auto industry in Tehran security exchange [ Vol.8, Issue 33 - Winter Year 1396]
Safdarian.Leila Investigating the role of using the concept of classification in establishing the relationship between convergence and the trend of stock movements in listed companies in Tehran Stock Exchange [ Vol.8, Issue 31 - Summer Year 1396]
saghafi.ali Futures Contracts Margin Setting by CVaR Approach Based on Extreme Value Theory [ Vol.8, Issue 32 - Autumn Year 1396]
seifollahi.naser Negative relationship between credit risk and currency risk with returns of stock prices of banks in Iran(Aproach ARIMA-GARCH-M) [ Vol.8, Issue 30 - Spring Year 1396]

T

Tajmir Riyahi.Hamed Analysis of incentives for issuers of securities in the Iranian capital market; Designing new securities approach [ Vol.8, Issue 30 - Spring Year 1396]
Tataei.Peyman Market failure using the basket recommended by the Coalition [ Vol.8, Issue 33 - Winter Year 1396]

V

vafaie jahan.majid Spin Glasses, the way to Distributed Processing Case Study on Stock Market Portfolio Selection [ Vol.8, Issue 32 - Autumn Year 1396]
vafaie jahan.majid Iran Stock Market Prediction Based on Bayesian Networks and Hidden Markov Models [ Vol.8, Issue 33 - Winter Year 1396]

Y

Yakideh.Keikhosro Portfolio optimization with Fraction of Expectation to Risk of future financial strength based on Eigen Vector of Pairwise Comparisons Matrix [ Vol.8, Issue 32 - Autumn Year 1396]

Z

Zandieh.Mostafa Mining quantitative association rules with stock trading data using multi-objective Meta heuristic algorithms based on genetic algorithm [ Vol.8, Issue 31 - Summer Year 1396]
Zomorodian.Gholamreza Feasibility of Currency hedging for exporter and importer companies by Using the Iran Mercantile Exchange Coin futures contract [ Vol.8, Issue 31 - Summer Year 1396]