List of Articles State Space Model

• Open Access Article
  • Abstract Page
  • Full-Text
  
  1 - Dynamic Efficiency in Tehran Stock Exchange by Kalman Filter
  Zahra Farshadfar Marcel Prokopczuk
  Estimating informative efficiency in financial market is crucial for investors. They can gain unusual profit when the market is inefficient. As informative efficiency is evolving and undergoing changes in emerging markets such as Iran, classic methods for efficiency est More

  Estimating informative efficiency in financial market is crucial for investors. They can gain unusual profit when the market is inefficient. As informative efficiency is evolving and undergoing changes in emerging markets such as Iran, classic methods for efficiency estimation in these kind of financial markets are not suitable. Therefore, in such markets a hybrid method needs to be applied in such a way that the existing status of efficiency (static approach) and the efficiency during time (dynamic approach- in the absence of static efficiency) can be studied. The present study aims to determine the efficiency of Tehran Stock Exchange market by both static and dynamic approach. In order to obtain this goal, a combination of TVPGARCH and Kalman filter methods were applied on weekly total price index data during 2008 to 2017. Results indicate that the performance in Tehran Stock Exchange market in the static form does not have week efficiency. On the other hand, there is no evidence of efficiency dynamicity in Tehran Stock Exchange market performance during the studied period. Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  2 - Optimal Operation of Distribution Electronic Power Transformer Using Linear Quadratic Regulator Method
  Mohammad Hosein Rezaei Rahmatolah Hooshmand Mohammad Ataei
  Transformers perform many functions such as voltage transformation, isolation and noise decoupling. They are indispensable components in electric power distribution system. However, at low frequencies (50 Hz), they are one of the heaviest and the most expensive equipmen More

  Transformers perform many functions such as voltage transformation, isolation and noise decoupling. They are indispensable components in electric power distribution system. However, at low frequencies (50 Hz), they are one of the heaviest and the most expensive equipment in an electrical distribution system. Nowadays, electronic power transformers are used instead of conventional power transformers that do voltage transformation and power delivery in power system by power electronic converter. In this paper, the structure of distribution electronic power transformer (DEPT) are analized and then paid attention on the design of a linear-quadratic-regulator (LQR) with integral action to improve dynamic performance of DEPT with voltage unbalance, voltage sags, voltage harmonics and voltage flicker. The presentation control strategy is simulated by MATLAB/SIMULINK. In addition, the results that are in terms of dc-link reference voltage, input and output voltages clearly show that a better dynamic performance can be achieved by using the LQR method when compared to other techniques. Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  3 - An iterative method for forecasting most probable point of stochastic demand
  J. Behnamian S. M. T. Fatemi Ghomi B. Karimi M. Fadaei Moludi
  Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  4 - Dynamic survey of the relationship between gold and crude oil’s price uncertainty with banks stock index -method of state space
  Reza Eyvazlu Saeed Bajalan Mostafa CHaharrahi
  The study of dynamics and relations between markets has been one of the research subjects. This paper use state space in vector autoregressive moving average model (VARMA) to investigate the effect of gold and crude oil’s price uncertainty on stock returns of the More

  The study of dynamics and relations between markets has been one of the research subjects. This paper use state space in vector autoregressive moving average model (VARMA) to investigate the effect of gold and crude oil’s price uncertainty on stock returns of the bank. In space-state equation system, the state variable is estimated by the Kalman filter and the specified parameters of the model by the maximum likelihood method. The results showed that gold and crude oil’s price uncertainty has a negative and significant effect on stock returns of the bank and the gold price uncertainty has a major effect on the stock returns of the bank. And furthermore, crude oil’s price uncertainty has a positive and significant effect on gold price uncertainty. In this research, daily OPEC crude oil prices, gold price (Bahar Azadi Coin- Old design) and banks stock index during the period 1390 to 1396-Shahrivar were used. Manuscript profile