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Open Access Article
1 - A study of return cyclical pattern monthly in Tehran stock (by using moving block bootstrap)
علیرضا عرفانی سولماز صفریAbstractCalendar anomalies are the cyclical patterns which cannot be explained byfundamental factors in stock returns. One of the most important anomalies is the Monthseffect of year that their discovery is the opposite of market efficiency theory. Therefore,the purpose MoreAbstractCalendar anomalies are the cyclical patterns which cannot be explained byfundamental factors in stock returns. One of the most important anomalies is the Monthseffect of year that their discovery is the opposite of market efficiency theory. Therefore,the purpose of this article is the examination of stock Anomalies monthly in Tehran Stockmarket in the period 1998-2012 through moving block bootstrap method and Percentileconfidence intervals.The conclusion shows that Farvardin returns average has the positive, significant andhighest return. Accordingly, the liquidity effect and Window Dressing theory could be anexplanation to positive returns in the period 1998-2012. Manuscript profile -
Open Access Article
2 - The Effect of Selecting the Type of Objective Function on Individual Default in Individual Retirement Account (Case study: Iran)
Ezatollah Abbasian Mohammad Ali Kamali Reza Tehrani Mojtaba MirlohiA retired person faces two major risks: life-long risk and investment risk. In this paper, we examine the effect of decision-making policy on the amount of defaults by using two objective functions for wealth at retirement time. The expressed policies relate to the retu MoreA retired person faces two major risks: life-long risk and investment risk. In this paper, we examine the effect of decision-making policy on the amount of defaults by using two objective functions for wealth at retirement time. The expressed policies relate to the return on target markets for investment and the discount rate in the economy. In the modeling of these policies, a dynamic programming approach combined with historical simulation has been used. The results indicate the importance of selecting the objective function. Given the severe economic fluctuations in the country, as well as the need for greater wealth accumulation and greater participation in controlling economic fluctuations, the policy of focusing on pension with the lower wealth in retirement period as an optimal policy - because of the acceptance of lower risk for a certain level of wealth - and more use of the wealth function during retirement time is suggested. Manuscript profile -
Open Access Article
3 - A Survey of Income Inequalities in Urban and Rural Areas using Beta Lorenz Curve technique
کامبیز هژبر کیانی علیرضا مرادیThe Study of Income Distribution and its Inequality still poses some theoretical and practical challenges to economists. Research Institutes, International publishing organizations and scientific research Papers produced so far, altogether do acknowledge the very import MoreThe Study of Income Distribution and its Inequality still poses some theoretical and practical challenges to economists. Research Institutes, International publishing organizations and scientific research Papers produced so far, altogether do acknowledge the very importance of conducting a genuine study on this topic with a view to casting light on untapped dimension of income distribution and related issues. The political and economic repercussion of income distribution and inequality has given this topic an overwhelming importance in the development of new frontiers in economics in general and political economics in particular. In this study attempts were made to use household budget data published by Iran Statistical Center along with Beta Lorenz curve technique introduced by Teekens (1987). The result has been the extraction of Beta Lorenz curve and Gini Coefficient both for rural and urban areas specified in this paper, over the period of 1378-86[1](Iranian calendar) by Iranian colander system). To focus on income Inequality for certain period of time, the entire period was divided into two sub-period viz. (1376-80) and (1381-86). To compare income inequality, using Bootstrap technique, a pseudo statistical population was constructed. The final results reveal that income distribution measure has improved in the second period (1381-86), both in urban and rural areas. Manuscript profile -
Open Access Article
4 - Change point analysis of discharge time series in some hydrometric stations in Golestan Province
Ebrahim Asgari Raoof Mostafazadeh Khadije HajiBackground and Objective: Change point analysis technique is an important method to detect potential change in time series. Therefore, the main objective of this research is to determine and analysis of change points in the annual discharge of Golestan Province over 20 MoreBackground and Objective: Change point analysis technique is an important method to detect potential change in time series. Therefore, the main objective of this research is to determine and analysis of change points in the annual discharge of Golestan Province over 20 hydrometric stations in a 34-years period. Methodology: Time and magnitude of change points have been defined and the results have been analysed along with variations of temperature and precipitation through the study area. According to the results, a significant positive correlation is exist between discharge and precipitation (p<0.001). While, the correlation between discharge and temperature had a negative non-significant correlation. Findings: The results showed that the dominance of change points are decreasing over the study area along with some increasing and no change cases. The number of significant decreasing points were significantly higher than increasing changes and the major changes had occurred in the 1994, 1995, and 1998 years in 4, 5, and 3 stations, respectively (the decreasing points happened over 1994-1998-time span). The highest observed changes was related to Lazoureh station in 1980 and 2011 years which the values of changes in discharge were 3.01 and 0.9 cubic meter per seconds, respectively. Discussion and Conclusion: It can be concluded that, the number and amount of changes in water discharge can be determined by the change point analysis technique. Understanding the trends decrease or increase in watershed rainfall and discharge have an important role in water resources management and water-related issues. Manuscript profile -
Open Access Article
5 - Using the bootstrap approach for comparing statistical modeling methods to estimate remotely-sensed aboveground biomass in Zagros forests
Amir Safari Hormoz SohrabiBackground and ObjectiveConsidering the increasing importance of forest ecosystems in climate change mitigation projects, reliable and cost-effective methods are required to estimate the aboveground biomass (AGB). Common methods used to estimate the aboveground bi MoreBackground and ObjectiveConsidering the increasing importance of forest ecosystems in climate change mitigation projects, reliable and cost-effective methods are required to estimate the aboveground biomass (AGB). Common methods used to estimate the aboveground biomass (AGB) include in-situ measurement, the biomass calculation using aalometric equations and using remote sensing techniques. Remote sensing has been widely used to estimate the biomass of forests in recent decades.The used statistical modeling method is one of the most important factors to use remotely-sensed data for estimation of the aboveground biomass. A large number of researches have been carried out about using the modeling methods. However, these studies face the following different challenges: 1) no modeling method has been recommended as the best method 2) the performence of these modeling methods is affected by forest type, the forest structure, and the present disturbance intensity 3) the performance evaluation and the comparion of the results of these methods were done by using goodness-of-fit test and cross-validation methods. The purpose of this study is to considering the role of choosing statistical modeling methods to estimate remotely-sensed aboveground biomass, the current study was conducted to investigate nine statistical modeling methods including linear regression (LR), generalized additive model (GAM), random forest (RF), support vector machine (SVM), boosted regression tree (BRT), k-nearest neighbor (kNN), cubist regression (CR), Gaussian process model (GPR), multivariate adaptive regression spline (MARS) using bootstrap process and 1000-repeated 10-fold cross-validation approach to estimate the aboveground biomass of Zagros forests using Landsat 8 images. Materials and Methods The cuurent study was conducted in Kermanshah forests which is mostly dominated by oak species trees (Quercus spp.) and is located in western Iran on the Zagros Mountains. Zagros forests are generally sparse and open and comprise approximately 20% of Iran’s area and 40% forest regions of Iran. In order to conduct this study, two forest regions with different levels of human disturbances were chosen; SarfiruzAbad region with highly degraded (HD) forests, and Gahvareh forest region with minor degradation (MD). Geographical coordinates of SarfiruzAbad and Gahvareh regions are 33º57′-34º04′N / 47º03′-47º17′E & 34º21′- 34º24′N / 46º16′-46º23′ E respectively. The Leaf area index (LAI) map derived from the Landsat images based on a global model was used to collect field-based sample plots in both regions of the study. Both regions were divided into three low, moderate and high Leaf area index (LAI) strata, and the locations of the sample plots were located by using a systematic inventory at the intersections of a 200m×200 m grid in each stratum. 124 georeferenced square plots of field-based sample plots (63 plots in Gahvareh region and 61 plots in SarfiruzAbad region) with 30m×30m dimensions the same size as a Landsat 8 image’s pixel were collected. Allometric equation developed for oak tree in Zagros forests was used to calculate the amount of the aboveground biomass of each individual tree or sprout-clump. The allometric equation used in this study uses two vertical tree crown diameters to estimate the amount of the biomass of each individual tree or sprout-clump. The sum of the amount of the biomass of each individual tree in sample plot was used to calculate the amount of the biomass plot in sample plot level at a ton per hectare. Our study regions were located in a frame of Landsat 8 images (path/row:167/36). A cloud-free Landsat image relating to 19th Mordad 1394 (10th August 2015) relating to the time when the tree canopies are completely closed and near to the date of land inventory was downloaded from earthexplorer.usgs.gov site. Based on the previous studies, the pre-processing of the used image comprising the radiometric and topographic corrections was done.using C method. To estimate the aboveground biomass in the study areas by using remote sensing, 38 spectral variables including band values, simple band ratios, vegetation indices and common linear transformations like tasseled cap and principle component analysis were extracted from the used Landsat 8 image. Generally, the efficiency of nine different statistical modeling methods including parametric methods (Linear Regression, LR), semiparametric (Generalized Additive Model, GAM), and nonparametric Random Forest (RF), Support Vector Machine (SVM), K-nearest neighbor (KNN), Boosted regression trees (BRT), multivariate additive regression splines, cubist regression (CR), and Gaussian processes regression/model) were compared in order to estimate aboveground biomass. To assess the models, two common quality statistics: (i) determination coefficient and (2) root mean square error via 10 fold cross validation repeated 1000 times approach were calculated. This number of repeats helps to ensure an acceptable assessment of robustness of the results. Results and Discussion The measuredstatistical characteristics of the field sample plots showed that the mean aboveground biomass of SarfiruzAbad and Gahvareh regions were 12.6 ton/ha and 20.5 ton/ha respectively. ANOVA indicated significant differences between modelling methods (treatment effect: p< 0.001) for both R2 and RMSPE calculated in 1000-time repeats using 10-fold cross- validation.The Cubist modeling method with the mean determination coefficient of 0.61 outperformed other methods in SarfiruzAbad region.These resultsfor Gahvareh region showed better efficiency of linear regression (LR), generalized additive model (GAM), and k-nearest neighbor (KNN) with the mean determination coeffieient of 0.87.The multiple comparisons of different models by using Tukey test concerning RMSE showed that in SarfiruzAbad region, cubist method with the mean of RMSE 3.3 ton/ha and kNN and RF methods with the mean of RMSE 5.8 ton/ha had a significant difference in comparison to the other methods. Totally, the results of the research revealed the suitable efficiency of Landsat 8 image for AGB estimation in Zagros forests. The acceptable results are due to the low AGB in our study regions that did not reached the saturation point as one of challenges of using optical images like Landsat. The other results of this research is the assessment of the effiecieny of modeling method in order to increase the accuracy of the estimation of remotely-sensed aboveground biomass.Unlike the results of the previous studies, linear regression yielded better results compared to nonparametric methods that can be due to the presence of the linear relationship between aboveground biomass and spectral variables derived from Landsat images. Among the used various spectral variables, red, near infrared, and shortwave infrared 1 and 2 band ratios were selected as the final variable in most modeling methods. Conclusion In this study, we evaluated the effieincy of different statistical modeling methods to estimate AGB in Zagros forests by using Landsat images. The biomass estimations were compared by using nine parametric, semi-parametric, and non-parametric methods and using 1000-repeated 10-fold cross-validation. The results illustrated the acceptable potentiality of Landsat images for cost-efficient AGB estimating in Zagros oak forests. The accuracy of AGB estimation in Gahvareh region with low-degraded forest stands was higher than SarfiruzAbad region with highly degraded stands. Manuscript profile -
Open Access Article
6 - A Study of the Bidirectional Relationship between House Prices and Rental Prices in Iran: A Bootstrap Approach using Quantile Regression with MCMB-A Method
roya aleemran seyed ali aleemranThe objective of this research is to examine the bidirectional relationship between house prices and house rental prices in Iran from the first quarter of 2002 to the fourth quarter of 2019. Granger causality tests and the bootstrap approach of quantile regression, spec MoreThe objective of this research is to examine the bidirectional relationship between house prices and house rental prices in Iran from the first quarter of 2002 to the fourth quarter of 2019. Granger causality tests and the bootstrap approach of quantile regression, specifically employing the MCMB-A Method, are utilized for the investigation. The results of the Granger causality test indicate a two-way causal relationship between house prices and house rental prices. The bootstrap method of quantile regression reveals that, across all deciles, house rental prices exert a significant positive impact on house prices. Notably, the coefficient of house rental prices exhibits an increasing trend from the first to the sixth decile, reaching its maximum value in the sixth decile, and subsequently decreasing from the seventh to the ninth decile. Additionally, across all deciles, house prices demonstrate a significant positive impact on house rental prices. Throughout the deciles, the coefficient of house prices experiences a decreasing trend from the first to the fourth decile, reaching its lowest value in the fourth decile, followed by an increasing trend from the fifth decile to the ninth decile, reaching its maximum value in the ninth decile. Manuscript profile -
Open Access Article
7 - Design of a 12-Bit 200MS/S CMOS Sample-and-Hold Circuit
Hamid Mahmoodian Mehdi DolatshahiIn this paper, a new 12bit, 200MS/s fully differential sample and hold circuit is presented. In order to increase the linearity and input voltage dynamic range; bootstrapped-switches are used for sampling the input signal. Furthermore, a tunable gain buffer is used as t MoreIn this paper, a new 12bit, 200MS/s fully differential sample and hold circuit is presented. In order to increase the linearity and input voltage dynamic range; bootstrapped-switches are used for sampling the input signal. Furthermore, a tunable gain buffer is used as the output stage of the circuit to prevent the loading effects of the succeeding stages on the proposed circuit. The circuit is simulated in HSPICE using 0.35µm CMOS technology parameters. As it is discussed in the paper, simulation results justify the good performance of the proposed circuit for using in 12bit, 200MS/s applications. Manuscript profile -
Open Access Article
8 - Structural Equation Model Approach in Analyzing the Relationship Between Company Financial status and Value at Risk with Emphasis on The Role of Risk Management
Mohammad zamani Ghodratollah Emamverdi Yadollah Noorifard mohsen hamidian Seyedeh Mahboubeh JafariThe purpose of this study is analyzing the relationship between firm financial status and value at risk by emphasizing the role of risk management. Therefore, from value at risk information with the bootstrap simulation between the period of 2012 and 2019 and informatio MoreThe purpose of this study is analyzing the relationship between firm financial status and value at risk by emphasizing the role of risk management. Therefore, from value at risk information with the bootstrap simulation between the period of 2012 and 2019 and information of 138 companies in Tehran stock exchange (TSE) for statistical sample companies and the company's financial status criteria (performance measures and firm risk) and management criteria, as a moderating variable firms were used. In this study, the method of structure analysis which tests a specific model of relation between variables is used because this model is a comprehensive approach to test assumptions about the relationships of the observed and latent variables. The results of the hypotheses and model fitting showed that the firm's financial status on the value at risk is significantly effective and the risk management of this connection can be properly adjusted, however, performance measures were higher power in explaining the company's status as well as the value at risk. Manuscript profile -
Open Access Article
9 - سودمندی قواعد تحلیل تکنیکی در بورس اوراق بهادار تهران و چند کشور منتخب با رویکرد
ابراهیم عباسی حسام جهرامی -
Open Access Article
10 - Assessing the sustainability in the tomato paste supply chain using the principles of natural accessibility, management and bootstrap simulation
Masoud Vassei Maryam Daneshmand-Mehr Morteza Bazrafshan Armin Ghane KanafiData envelopment analysis is used for better understanding of data, more transparency and deeper understanding of patterns, relationships and characteristics of data. Data envelopment analysis is able to ensure that the data used in the analysis and decisions are comple MoreData envelopment analysis is used for better understanding of data, more transparency and deeper understanding of patterns, relationships and characteristics of data. Data envelopment analysis is able to ensure that the data used in the analysis and decisions are complete. By examining the data coverage, it is possible to see whether every possible value is present in the key variables and whether every row or observation required for the analysis is sufficiently responsive. The main goal of this research is to provide a framework for measuring the sustainability of supply chain performance using the principles of natural accessibility, management and bootstrap simulation. Therefore, in this article, a new model for evaluating sustainable supply chain performance will be presented using network data envelopment analysis and bootstrap simulation through the integration of principles governing natural and managerial accessibility. In this model, the key factors of the sustainable supply chain including economic, social and environmental factors will be considered as inputs and outputs in the data coverage analysis model. In addition, the inputs are considered in both managerial (under control) and non-managerial (uncontrolled) ways according to the principles of natural and managerial accessibility. Then, by using the bootstrap simulation method, and building the required data, the estimation of the network efficiency score for the decision making units is carried out. To illustrate the proposed method, a real case study is considered in the tomato paste supply chain network. According to the results, the accuracy of the used method has been shown. Manuscript profile
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