List of Articles Random Walk

• Open Access Article
  • Abstract Page
  • Full-Text
  
  1 - Using multi-fractal method in ranking portfolio efficiency
  Mahnaz Doosti Morteza Rahmani
  10.30495/jfksa.2022.19837
  Investors around the world are always looking for safe investments in the capital markets of countries or the stocks of their companies. Therefore, finding a practical and scientific way to identify the best investment opportunity will have a very positive impact on the More

  Investors around the world are always looking for safe investments in the capital markets of countries or the stocks of their companies. Therefore, finding a practical and scientific way to identify the best investment opportunity will have a very positive impact on the choice of an investor. An efficient stock is a stock whose price information is reflected in the market and the use of past stock prices over a period of time to analyze future trends and fluctuations in stocks leads to correct and citationable results. In this study, assuming poor performance, a stock portfolio consisting of 11 shares accepted in the Iranian capital market has been examined. In the sense that through the stock price information from 95 to 99 years, the trend and intensity of fluctuations have been examined. Because the liquidity of stocks has increased and it will be safe to invest. The results of this research using multi-fractal method show more detailed details of the efficient stock ranking steps in a portfolio. Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  2 - The difference between dimensions fractal and Fractal random walks of return index and future fall risk and systematic risk in Tehran Stock Exchange
  Amir hosein Abdolmaleki mohsen hamidian ali baghani
  Financial markets can be evaluated as dynamic nonlinear systems that consider the interactions of factors in the process of immediate information analysis. Investors with different time horizons in the market may use this information differently. Thus, the financial mar More

  Financial markets can be evaluated as dynamic nonlinear systems that consider the interactions of factors in the process of immediate information analysis. Investors with different time horizons in the market may use this information differently. Thus, the financial market has a fractal structure in relation to investment time horizons. This research is of applied type and of post-event type; the method research is applicable and run based on past information. The statistical population of the study includes all companies listed in the Iranian capital market during the period 2008-2018. In this study, after calculating the fractal dimension of the experimental group using ARFIMA model and the fractal dimension and simulated Fractal random walks group using RUN test, the difference between these two dimensions in price index, return, future fall risk and systematic risk is investigated. Data analysis was performed in both 5-year and 10-year intervals using EVIEWS and SPSS software and the results indicate that the difference between dimensions fractal and f simulated Fractal random walks of the return index and the risk of future and systematic stock falls in short-term intervals means and is not significant in the long-term Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  3 - Empirically examining of the effect of week days on future contracts market of Bahar Azadi Coin in Tehran Merchandise Exchange
  Peyman Tataee Jalal Seifoddini Emad Ahmadipour Leila Azadi
  This study empirically examined the effect of week days on future contracts of Bahar Azadi Coin in Iran Merchandise Exchange. We used the classic Linear Autoregressive and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) to show that there isn't a stand More

  This study empirically examined the effect of week days on future contracts of Bahar Azadi Coin in Iran Merchandise Exchange. We used the classic Linear Autoregressive and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) to show that there isn't a standard pattern for the return of future contracts of Bahar Azadi Coin. Also, we presented that the daily return of future contracts depended on previous day and even the day before. Thus we concluded that the prices didn't follow "Random Walk" phenomenon in the future market of Bahar Azadi Coin and we couldn’t find any evidence for market information efficiency in weak level. Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  4 - Empirical analysis of fractal dimensions on cash return and price indices of listed companies of Tehran Stock Exchange
  Shokrollah Khajavi Hadi Abdi Taleb Beigi
  The goal of this research is to empirical analyzing fractal dimensions on cash return and price indices of listed companies of Tehran Stock Exchange. To have access to this goal, cash return and price indices of Tehran Stock Exchange were studied. Statistical sample of More

  The goal of this research is to empirical analyzing fractal dimensions on cash return and price indices of listed companies of Tehran Stock Exchange. To have access to this goal, cash return and price indices of Tehran Stock Exchange were studied. Statistical sample of research includes cash return and price indices during period 1382 to 1391. Using R/S analysis and Hurst exponent, this research surveys the cash return and price time series being stochastic. To study the stochastic time series and differentiating from time series are not stochastic, R/S analysis is used as an efficient nonlinear method. Distribution type disrelation is the most important advantage of R/S analysis. Results of research show that, cash return and price indices time series are not stochastic and have a long-memory. Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  5 - The Study of Mean reversion in Tehran Stock Exchange with unit root test
  Hossein Karbasi Yazdi Yadollah Noorifard Hassan Chenari Bouket
  Financial Scientists have always been eager to distinguish between whether the price series could be random walk (unit root) or mean reversion processes. Random walk means that accruing shocks to the stock price have permanent impacts and prices don't revert to their pr More

  Financial Scientists have always been eager to distinguish between whether the price series could be random walk (unit root) or mean reversion processes. Random walk means that accruing shocks to the stock price have permanent impacts and prices don't revert to their previous trend path. In efficient market, the stock  return couldn't be predicted using previous price variation. However, efficient market hypothesis is under question because the researchers have provided evidences that reveal some anomalies in stock markets. Mean reversion stock price is one of these anomalies. The purpose of this research is the study of  mean reversion in the period 1380-1389. In line with this research, using unit root test (Dickey Fuller generalized), the phenomenon of mean reversion in the total stock price index, stock price and cash returns index, and the index's top fifty companies were examined. The results of the study indicate that continuous changes in the ‌total stock price index and the index of the top fifty companies follow a random walk process or more words that are not eligible for mean reversion. But the price and cash returns index index the result shows that only 1% error level was confirmed that the mean reversion. Error levels of 5% and 10% of the rest of the process did not follow a random walk and mean reversion confirmed. In general, the performance of the Tehran Stock Exchange Index and fifty top companies indicate But the price and returns index results in poor performance suggests a lack of cash. Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  6 - A Random Walk with Exponential Travel Times
  R. Kazemi
  Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  7 - A Fuzzy Random Walk Technique to Forecasting Volatility of Iran Stock Exchange Index
  Navid Nasr Morteza Farhadi Sartangi Zahra Madahi
  10.22034/amfa.2019.583911.1172
  Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  8 - Past-oriented behavioral bias: A study on S&P & TEPIX index-es
  Mohsen Mehrara Saeid Tajdini Jamal Maghsoudi Majid Lotfi Ghahroud Niloufar Ebrahimiyan Farzad Jafari
  10.22034/amfa.2021.1930165.1591
  Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  9 - The Study of Chaos Phenomenon in TEDPIX of Tehran Stock Exchange
  محمد نمازی زهره حاجیها حسن چناری بوکت
    Abstract Complicated time series such as stock prices and their changes are commonly hypothesized as random and subsequently unanticipated parameters, while probably, these time series could the resultant of a chaos or a regular non–linear active process More

    Abstract Complicated time series such as stock prices and their changes are commonly hypothesized as random and subsequently unanticipated parameters, while probably, these time series could the resultant of a chaos or a regular non–linear active process and consequently they will be anticipatable. This article examines whether TEDPIX of Tehran Stock Exchange (TSE)are following the random walk process or evaluated by a chaotic process in the period of 1380-1392. For analysis of the hypothesis, unit root, BDS, autocorrelation and auto-regression were used. The results of the study indicate that TEDPIX is a chaotic and non–randomized parameter. These results are related to the inefficiency of the TSE market and subsequently showed that the TSE market has the potential of short–time predictability and there is a non–clearance information progress. Manuscript profile