FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)
Year:2011 | Volume:2 | Issue:7|Papers Count:10

Non linear dynamic systems show different behaviors and can be applied in most of financial and economic events which seem accidental. Chaos theory recommend a new approach to investigate how non linear dynamic systems in dynamic and financial markets change. This research investigate stock's price from 31 sample of Tehran stock exchange (TSE) which has the highest trade volume and market value from the view of Chaotic behavior using chaos theory and the biggest Lyapunov Exponent during the year 1380-1388.This paper use Rosenstein and Tylor algorithm in order to estimate Lyapunov Exponent. The results show that there is Choatic behavior in time series of prices. These results imply in inefficiency in stock market and it’s predicting ability to.

This paper studies the relation between earning volatility of firms and the future operating income predictability to define the effect of operating income volatility on investors’ expectations concerning future incomes. In other words, is there any possibility to predict future income using current volatility incomes? Logically it seems the present trend of companies will continue in future.For this purpose we considered the data of 120 companies which were admitted in Tehran Security Exchange Organization between 2003-2008. The examination was made based on regression analysis.The results indicate the meaningful and reverse relation between current volatility incomes and future operating income predictability. It also signifies that operating income predictability will increase In consequence of deducting accrual items from operating profits.

The goal of the present article is extending and developing econometrics and network structure based methods which are able to distinguish price manipulation in Tehran stock exchange. The principal goal of the present study is to offer model for approximating price manipulation in Tehran stock exchange. In order to do so by applying separation method a sample consisting of 397 companies accepted at Tehran stock exchange were selected and information related to their price and volume of trades during years 2001 until 2009 were collected and then through performing runs test, skewness test and duration correlative test the selected companies were divided into 2 sets of manipulated and non manipulated companies. In the next stage by investigating cumulative return process and volume of trades in manipulated companies, the date of starting price manipulation was specified and in this way the logit model, artificial neural network, and by using information related to size of company, clarity of information, ratio of PIE and liquidity of stock one year prior price manipulation; a model for forecasting price manipulation of stocks of companies present in Tehran stock exchange were designed. At the end the power of forecasting models were studied by using data of test set. Whereas the power of forecasting logit model for test set was 92.1 %, and for artificial neural network was 94.1%; therefore both of the 2 aforesaid models has high power to anticipate price manipulation and there is no considerable difference between forecasting power of these 3 models.

The research employs Sharp, Triner, Jensen, Evaluation ratio and M2 indexes to survey portfolio management of investment companies in Tehran stock Exchange from 2005 to 2009. For deep analysis the impact of economic factors, monthly issued by the central bank, is considered on their portfolio. Observation of the results confirms that some investment corporations improve their efficiency of portfolio management in comparison with market. To conclude, in the crisis situations of market, gaining the shares of these companies has the pull of gaining other shares or making individual portfolio. The analysis of progressive regression shows fluctuations of exchange rate as the most effective factor on return.

Competition in air transportation has increased all the time and the environment has been influenced by the changes which this growth has made. These changes cause us to pay more attention to the airline's efficiency and awareness of their position in comparison with their competitors. Considering the effect of proper evaluation on prosperous management, purpose of this study is to investigate parameters and measuring indicators in order to measure the efficiency of airlines and evaluate the relative efficiency of them by Date Envelopment Analysis model. In addition, it must be possible to analyze and compare conclusions of this study and reveal the improvement methods. There has been Major Changes ill Assessment Models now days in organizations. In this study, first off all, some inspections and deliberations with expert group were done to recognize different quantitative and qualitative indicators. Then, inputs and outputs were distinguished, they reduced by Principal Component Analysis method and final indicators were determined. Final inputs and outputs were entered the Data Envelopment Analysis model, relative efficiency of 26 airlines from all over the world were evaluated, airlines were ranked and benchmarks were become distinct to increase the efficiency of inefficient airlines. What have been done in this study research, have been recognizing more effective indicators with PCA, evaluating relative efficiency of Decision Making Units by DEA and analyzing truly the results.

The performance measurement process as a problematic subject is being found in agency theory. in accordance with this theory, compensation of managers are based on their performance that by owners will being paid. Stock holders can be insured if managers have been motivated and controlled will being maximized wealth and decision making process. The methods of performance assessment and measurement such as data envelopment analysis (DEA), Analytic Hierarchy Process (AHP), Grey Relation Analysis (GrtA), Balanced Scorecard (BSC) and Financial Statement Analysis (FSA) are proposed here as a tool for measuring the performance in order to determine the managers compensation. In this case, managerial accountants know the use of Financial Statement Analysis and are involved with performance measurement based on FSA Hence, other tools are well applicable and appropriate for evaluation but are ignored.In this paper, we have used TOPSIS algorithm based on financial variables such as (ROI), (RI), (ROS), (EPS), (PIE), (ROA), (OCF) and DEA technique based on other prior financial variables includes operational expenses, stock holders equity (capital), net profit and operational cash flow as inputs and out puts to evaluate and assess the performance and efficiency of Tehran stock exchange companies using six year data of twenty four companies, included 144 observations, all of which belongs to metal industry in two categories. According to the findings, correlation analysis between this two categories of evaluation for the years 1383, 1384 and 1385 have significant relation so the both evaluation categories TOPSIS and DEA technique in order to evaluate financial performance of all the ways uniformity in Tehran stock exchange companies for this three years related are recommended.

The present study tried to point out criteria affecting Derivatives Instruments Usage in Case of Tehran Stock Exchange Market; Fuzzy AHP was employed as one of the important items regarding multi-criteria decision making. Finally, these criteria were ranked according to their importance. To this end, first of all, major criteria were classified and ranked into four main groups such as legal, technical, juridical and investors' criterion; and then minor criterion were examined and then ranked. Regarding results of Fuzzy AHP legal criterion is the most important ones and then are technical, juridical, and investors' criterion. Among all minor criteria, inconsonant between current law and derivatives instruments needs, low development financial engineering in Iran, low knowledge of lawgiver about different kind of derivatives instruments are of vital importance. These criteria primarily determine the magnitude of the benefits that the society and investors will generate from the application of derivatives instruments and invest on it.

This paper investigates the calendar effects on change of index and industry return. So author consider calendar anomalies on two formwork one of them is monthly effect and other one is day of week effect In this research was used two statistics model, sign test and fridman models. Then with use them test data related to tehran stuck exchange return based (7) index (total price, finance, industry, 50best company and tree industry with high market value) since 1380-1387.Result of research show effect of shamsi month in someone are approve like negative effect of mehr month in some index and positive effect of farvardin on stock exchange of Tehran but in some index effect of ghamari month are not approve. at the end about day of week effect in some index are used ,effect of negative Sunday and positive Saturday and weandsday effect are approve.

In this research, using a Adaptive Neuro-Fuzzy Inference System an applied model to identify the existing trend in the stock price of the Iran Khodro company in Tehran stock exchange has been designed. Time priod in this research from 2002 to 2009 were divided in two periods the same as follows: a long-term period including information concerned to 8 years. For the short-term period including seasonal information concerned To 8 years. For the long-term Period, one Neuro-Fuzzy model with two Triangular membership function & 4 independent variables including transaction volume, Dividend Per Share (DPS), Price to Earning ratio (PIE) and the last daily stock price was selected as the optimum model. For the short-term period, also a neureo-fuzzy model with two Triangular membership function for the first 3 months, two Trapezoidal membership function for the second 3 months, two Gaussian combination membership function for the third 3 months & two Trapezoidal membership function for the fourth 3 months were selected. The identification of the general trend of the stock price has been done by a Neuro-Fuzzy model with two Triangular membership functions & 4 independent variables including transaction volume, Dividend Per Share (DPS), Price to Earning Ratio (PIE). As a result, using this model, the general trend of the stock price of Iran Khodro company was predicted with low errors level.

A major requirement for investors in security and stock market is to have scientific information about how to buy and sell stock in a desirable way, An important issue here is to pick suitable stock or portfolio for buying and selling and to choose the best methods to ensure maximum return. Lack of appropriate knowledge on desirable methods in stock marketing is among the most important concerns for stock markets investors. The present study deals with the comparison of various methods for price forecast in stock market and three methods, namely filtering, buy and hold and moving market average, are investigated separately in long term for companies accepted in Iran Stock Market during the period 2001 to 2008. The results suggest that Stock returns calculated in filtering method in long-term run is greater than those of buy and hold and moving average methods and buy and hold method greater than moving average method.