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Information Journal Paper

Title

Detection of stock price crash using memory-based graph theory

Pages

  15-30

Abstract

 The Stock price crash is associated with profitability as the most important goal of investing. The effective role of Stock price crash in reducing the capital of investors is of great importance for identifying and detection an abnormal trend in stock returns and Stock price crash. The purpose of this study is to detect abnormal returns and ultimately the crash of stock price. For this purpose, the monthly returns of 400 companies admitted to Tehran Stock Exchange during the period of July 1992 to April 2018 were investigated. Also, memory-based graph theory is used as a way to detect changes in the corporate returns. This algorithm approaches the problem from a graph-theoretic perspective. The results of this study have shown that memory-based graph theory leads to identifying abnormal changes in the corporate returns. However, this method has not been able to identify and detect all the points associated with crash of stock price.

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  • Cite

    APA: Copy

    Habibzadeh Baygi, S. Javad, DARABI, ROYA, SARRAF, FATEMEH, & Norifard, Yadollah. (2020). Detection of stock price crash using memory-based graph theory. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 13(45 ), 15-30. SID. https://sid.ir/paper/953392/en

    Vancouver: Copy

    Habibzadeh Baygi S. Javad, DARABI ROYA, SARRAF FATEMEH, Norifard Yadollah. Detection of stock price crash using memory-based graph theory. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2020;13(45 ):15-30. Available from: https://sid.ir/paper/953392/en

    IEEE: Copy

    S. Javad Habibzadeh Baygi, ROYA DARABI, FATEMEH SARRAF, and Yadollah Norifard, “Detection of stock price crash using memory-based graph theory,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 13, no. 45 , pp. 15–30, 2020, [Online]. Available: https://sid.ir/paper/953392/en

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