Advances in Mathematical Finance and Application (AMFA)

Advances in Mathematical Finance and Application (AMFA)

Advances in Mathematical Finance and Application, Volume 8, Issue 2, Spring 2023 (مقاله علمی وزارت علوم)

مقالات

۱.

Generalized Krasnoselskii-Mann Type Iterations for Two Nonexpansive Mappings in Real Hilbert Spaces(مقاله علمی وزارت علوم)

کلید واژه ها: Mann iterative Nonexpansive mapping Hilbert space Maximal monotone operators Fixed point

حوزه های تخصصی:
تعداد بازدید : 21 تعداد دانلود : 546
In this paper, we discuss a new type of Mann iterative algorithm for finding a common fixed point of two nonexpansive mappings in real Hilbert spaces, and we establish the weak convergence of this fixed point approach by considering new circumstances. We can also show the algorithm’s strong convergence by taking into account an extra requirement. Our results extend the previous results given by Kanzow and Shehu as well as by Cho at et. al. Also in the last section, some applications of the main results are shown, and by some examples, we show the generality of our main results.
۲.

Investigating the Asymmetric Models of Cash Holding Adjustment Speed: Dummy Variable, Quadratic and Threshold Regression Models(مقاله علمی وزارت علوم)

کلید واژه ها: Optimal Cash cash holding adjustment Speed Asymmetric Models

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تعداد بازدید : 964 تعداد دانلود : 555
Proving helpful in an efficient management of cash in order to reach optimal cash and clearly explain relevant optimization policies, this study examined the adjustment speed of cash holding using asymmetric models. The sample consisted of 117 firms listed in Tehran Stock Exchange and their financial details over the 2009-2018 period. Once the optimal level for cash holding was identified, asymmetric models such as the dummy variable approach, the quadratic model, and the threshold regression model were employed to test the adjustment speed of cash holding. The results revealed that cash-rich firms are moving toward optimal cash at a greater speed than cash-poor firms. In addition, the results from the quadratic model showed a non-linear, skewing effect of the cash holding adjustment speed in terms of the different cash levels. Therefore, there is an optimal level of cash holding that enables firms to deviate from the cash target. Should firms fall outside the optimal cash range, cash adjustment will occur at a greater speed, and it will be both partial and asymmetric.
۳.

Presenting a model of tax non-compliance in Iran based on the network analysis Process(مقاله علمی وزارت علوم)

کلید واژه ها: disobedience Tax Network analysis

حوزه های تخصصی:
تعداد بازدید : 755 تعداد دانلود : 477
In the field of corporate tax behavior, corporate governance mechanisms are effective for shaping and monitoring the behavior of managers. The board, which is responsible for allocating resources, improving performance and increasing shareholder wealth, plays a central role in choosing a tax management strategy. Hence, companies with different governance structures may adopt different types of tax management. Therefore, it can be argued that corporate governance mechanisms can affect corporate tax activities. In order to achieve the weight of the identified criteria, the network analysis process method was used. The purpose of this method was to structure the decision-making process, according to a scenario affected by multiple independent factors. In this method, there can be a relationship between all levels, while in the method of hierarchical analysis process, this relationship could only be from high levels to low levels. The method of the network analysis process, such as the hierarchical analysis process, calculates the inconsistency of all judgments by the conformity rate, and the calculated inconsistency rate must be less than 10%. The compatibility coefficient of the final matrix shows the validity of the questionnaire. In order to analyze the data, Super Decision 1.6.0 software developed by Thomas L. Saati, the inventor of this method, as well as MS Excel 2019 software were used. There is considerable evidence that increasing tax requirements can increase tax compliance, but typically some types of tax offenses are used as a tool to control the phenomenon of tax default.
۴.

Effect of Bank Facilities on Employment: an Approach based on STR Model(مقاله علمی وزارت علوم)

کلید واژه ها: Bank Facilities Monetary policy Employment Smooth Transfer Regression (STR)

حوزه های تخصصی:
تعداد بازدید : 625 تعداد دانلود : 68
This study aimed to evaluate the role of the banking system and, in particular, the monetary policies and provision of bank facilities, in recession and boom periods on employment in the labor market. In this research, the most important variables were employment, bank and financial development index, volume of facilities provided to the private sector, bank facilities rate, wage rate, workforce, capital stock, liquidity, degree of economic openness, inflation rate, direct foreign investment, government expenditures, and oil revenues. The research tool was the smooth transfer regression (STR) model applied to evaluate the relationship between the variables during 1989-2016. According to the results, there was a nonlinear correlation between banking variables and employment. In the section of the nonlinear model, it was observed that with a 2.87% increase in the inflation rate, the banking indexes (e.g., money market development, the volume of facilities granted, and liquidity) had a significant and different impact on employment. In this respect, it was found that the indicators of monetary policy and bank facilities had a weak effect on employment of the country, demonstrating the improper association between monetary policies and workforce supply and demand in the labor market of the country.
۵.

Investigating the effect of managers' emotional and spiritual intelligence on the concurrence of stock prices and stock returns(مقاله علمی وزارت علوم)

کلید واژه ها: stock price synchronization stock returns Emotional Intelligence Spiritual

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تعداد بازدید : 236 تعداد دانلود : 158
Spiritual and emotional intelligence in the field of organizational behavior is very important for the performance of companies, concurrent with stock prices, and the expected return of investors. Managers with these two skills have a remarkable ability to create commitment in employees, strengthen the spirit of self-control in employees and eliminate weaknesses in the control of the company. Is their spirituality and affects the effectiveness of the company. Therefore, based on this argument, the present study examines the effect of managers' spiritual and emotional intelligence on the concurrence of stock prices and stock returns. For this purpose, King (2008) questionnaire and emotional intelligence based on Bar-On (2001) questionnaire were used to measure the spiritual intelligence of managers. The hypotheses were tested using the statistical method of regression analysis with composite data using the information of 60 companies listed on the Tehran Stock Exchange in 2019. The findings of the research hypothesis indicate that the emotional and spiritual intelligence of managers affects the concurrence of companies' stock prices. The results also include the effect of managers 'emotional and spiritual intelligence on companies' stock returns.
۶.

An anticipating class of Fuzzy Stochastic Differential Equations(مقاله علمی وزارت علوم)

کلید واژه ها: Malliavin calculus Skorohod integral Fuzzy stochastic process Fuzzy stochastic integral

حوزه های تخصصی:
تعداد بازدید : 879 تعداد دانلود : 884
We consider a class of fuzzy stochastic differential equations (FSDE), in which the integrands of the stochastic integrals are not adapted to the duration generated by a Wiener process. Such equations with randomness, fuzziness, and non-adapted processes can be applied in financial models. We discuss the existence and uniqueness of strong solutions. We consider a class of fuzzy stochastic differential equations (FSDE), in which the integrands of the stochastic integrals are not adapted to the duration generated by a Wiener process. Such equations with randomness, fuzziness, and non-adapted processes can be applied in financial models. We discuss the existence and uniqueness of strong solutions.
۷.

Investors' Behavioral Biases in Tehran Stock Exchange by emphasizing the Role of Significant Weaknesses in Internal Control(مقاله علمی وزارت علوم)

کلید واژه ها: Behavioral Bias Collective Behavior Mental Anchor Internal Control

حوزه های تخصصی:
تعداد بازدید : 418 تعداد دانلود : 962
Many behavioral biases affect investors when making decisions.Behavioral distortions divert the investor from rational decisions, and as a result, resources are not diverted to appropriate investments.Behavioral biases can be evaluated in different types including the two phenomena of mental anchor and collective behavior of investors. In the present study, the phenomenon of collective behavior and mental anchor of investors with emphasis on significant weaknesses in internal control has been investigated. For this purpose, the data of 125 companies listed on the Tehran Stock Exchange during the period 2012 to 2018 were used.Data analysis was performed in eviews software version 10 and in order to fit the regression models,the generalized least squares method of panel data was used. The results using univariate analysis showed that there is no significant difference between the amount of behavioral biases in each of the two groups of companies with weakness and lack of weakness in internal control.While multivariate analysis of data in the form of regression models showed that the auditor's report on significant weaknesses in internal control,(which Weakness indicates high agency costs and high information asymmetry between managers and shareholders) strengthens It is the collective behavior of investors but it has no effect on their mental anchor.According to the results, it seems that the behavioral biases of investors are conditioned by the priority and importance of good and bad news in the market.As long as there is bad news in the stock market towards the company, good news can’t cause behavioral bias in investors.
۸.

Decline of Auditor's Financial Bias in Decision making by Professionalism in Auditing: Rough Set Analysis(مقاله علمی وزارت علوم)

کلید واژه ها: Perceptions Bias Financial Bias Professional Audit Decision Making

حوزه های تخصصی:
تعداد بازدید : 950 تعداد دانلود : 979
The purpose of the research Decline of Auditors' Financial Bias in Decision making by Professionalism in Auditing: Rough Set Analysis. The research approach is of inductive-deductive type in terms of the data collection meth-od, because it was first determined based on the content analysis of the com-ponents and propositions related to the professional characteristics, then it was tried to confirm or delete the propositions based on the Delphi analysis. This research by participating 14 individuals of the audit partners with the academic degrees over a one-year period, 2018-2019. The results According to the formation of decision making matrix, the results showed that both propositions, the perceptual error of failure to separate the context from con-tent as the Halo bias and the perceptual error of the experience of fraud de-tection in the financial statement as memory bias were determined as the most influential perceptual errors in the audit profession in Iran. In addition, according to gray vikor theory analysis, it was found that the component of the audit's professional maturity was selected as the most important priority and the most effective feature for reducing the audit perceptual bias.
۹.

Investigating the effect of risk on the return of the insurance industry in the Iranian economy using generalized conditional autoregression models, ARIMA-GARCH / TARCH and beta coefficient(مقاله علمی وزارت علوم)

کلید واژه ها: risk insurance industry trend movement of returns Beta Coefficient

حوزه های تخصصی:
تعداد بازدید : 411 تعداد دانلود : 561
Objective: A study of the movement of the insurance industry returns shows that the movement of income returns was less than the movement of the insurance industry. The movements of lower income returns than the movements of paid losses of the insurance industry in the economy are due to various variables, including the management of the insurance industry, part of which is due to risk recognition. Which helps managers in the insurance industry, to the extent of tolerable and intolerable risks in the acceptance or non-acceptance of various swimming risks, and by managing them play an important role in marketing and increasing the demand for insurance and in general, In line with the optimal growth of the insurance industry. Methodology: This study, using generalized conditional autoregression models, ARIMA-GARCH / TARCH and beta coefficient, has evaluated the impact of risk on the return of the insurance industry in the Iranian economy during the period 1350-1398. Results: The results showed that there is a significant relationship between the study of the impact of risk on the return of Basma industry. Also in this research, systematic risk has been investigated using the beta coefficient method. Since the result of the impact of risk on the return on income of the insurance industry is 67%. Because the obtained beta coefficient is less than one and greater than zero. This result indicates that the income of the insurance industry is smaller than the general trend of market movement and risk aversion
۱۰.

Investigating the role of arbitrage costs and feelings in the relation-ship between fundamental power strategy and stock returns(مقاله علمی وزارت علوم)

کلید واژه ها: Fundamental Power Strategy Future Stock Returns Arbitrage Cost Investor Feelings

حوزه های تخصصی:
تعداد بازدید : 770 تعداد دانلود : 134
The aim of present study was to investigate the fundamental power strategy in the stock market with the role of arbitrage cost versus feelings in companies listed on the Tehran Stock Exchange. The spatial domain of this research was the compa-nies listed on the Tehran Stock Exchange and the temporal domain was the years between 2014 and 2019. The present research is among the applied studies and it is descriptive in terms of nature and correlational in term of method. In this study, a library method was used to collect data and information. Based on the systemat-ic elimination method, 139 companies were selected as a statistical sample. De-scriptive and inferential statistics were used to describe and summarize the collect-ed data. To analyze the data, first the variance heterogeneity test, F-Limmer test, Hausman test and Jarque-Bera test were used. Then, multivariate regression test was used to confirm and reject the research hypotheses (Eviews software). The results showed that the fundamental power strategy could predict future returns, and shareholder feeling and arbitrage cost strengthen the relationship between the fundamental power strategy and stock returns.
۱۱.

Evaluate the Impact of the Type of Business Strategy on the Readability of Disclosure of Financial Statements of Companies Listed on the Tehran Stock Exchange(مقاله علمی وزارت علوم)

کلید واژه ها: Financial Reporting Disclosure Defensive Strategy readability Financial Flexibility

حوزه های تخصصی:
تعداد بازدید : 985 تعداد دانلود : 987
So far, readabilityof disclosure concepts and the behavioral features of investors have not been addressed appropriatedly in Iran despite their importance and there is not even a suitable tool to measure it in the country. Therefore, it seems necessary to conduct research in Iran to introduce the concept of disclosure readability, its measurement and the impact of business strategy on the readabilityof disclosure of financial statements. Therefore, the current paper evaluated the effect of the type of business strategy on the readability of financial statements of companies listed on the Tehran Stock Exchange. This is an applied causal (post-event) correlational paper. The statistical population of the study is all companies listed on the Tehran Stock Exchange. Using the systematic elimination sampling method, 129 companies were selected as the research sample and were surveyed in a period of 5 years from 2015 to 2019. EViews 9 and regression were used to test the research hypotheses. The results show that the type of business strategy affects the readability of financial statements of companies listed on the Tehran Stock Exchange.
۱۲.

Approach of Maximal Overlap Discrete Wavelet Transforms to Stock Return in the Iran Capital Market(مقاله علمی وزارت علوم)

کلید واژه ها: Maximal overlap discrete wavelet transform(MODWT) stock returns Wavelet

حوزه های تخصصی:
تعداد بازدید : 816 تعداد دانلود : 615
The main purpose of this study is to determine the real and dynamic relationship between returns and stock market fluctuations in different time horizons so that its key results can measure the predictive power of returns and stock market fluctuations in determining the level of economic activity of investors. Accurate measurement of these relationships helps investors predict stock market movements in the future and Develop, plan and implement their own investment strategies in each time horizon. In this research Maximal overlap discrete wavelet transform has been used to investigate the relationships between industries return fluctuations and stock main indices in different time horizons from 2011 to 2020 have been estimated. The results showed that the wavelet variance of the rate of return varies in different industries. The return of investment companies on various time scales is equal to the investment return of the banking industry. The variance of the total index is less on different time scales than the value of the cash index.
۱۳.

Modeling Energy and Steel Price Volatility and Experimental Test of Inter-Market Volatility Spillover: A Multivariate Study Using VECM and Familty GARCH Models(مقاله علمی وزارت علوم)

کلید واژه ها: Energy and steel price volatility Volatility Spillover Fluctuation VECM and GARCH Family Models

حوزه های تخصصی:
تعداد بازدید : 496 تعداد دانلود : 489
The spread of volatility between financial indices indicates the process of information transfer between markets. Despite the relationship between financial markets, the information created in one market can affect other markets as well. Therefore, the main purpose of this study is to investigate the volatility of energy and steel prices and the experimental test of inter-market volatility spillover. To do this, the monthly data of steel and energy price (oil and gas) during 2009 to 2019 were collected from valid databank using VECM and GARCH Family and VAR model and ICSS algorithm were analyzed by considering and without considering structural failure. Then, the causal relationship between them is examined through Granger causality test. The results show that there is volatility in the energy market (oil and gas) as well as the steel market during the studied time period. Results also show that the price of steel as well as its return and index are changed significantly by energy price effect. However, there is a causal link between energy prices and steel products and these results are consistent with the theoretical basics of the study and review of literature.
۱۴.

Efficiency Analysis of Banking Sector in Presence of Undesirable Factors Using Data Envelopment Analysis(مقاله علمی وزارت علوم)

کلید واژه ها: efficiency Profitability undesirable Factors Banking sector

حوزه های تخصصی:
تعداد بازدید : 931 تعداد دانلود : 504
Banks play an important role in the growth and development of any economy. A profitable banking system enhances economic stability and efficiency to mitigate the impacts of sudden macroeconomic shocks. To be more efficient and profitable, banks need to recognize the factors underpinning their performance. Accrued liabilities are one of the factors that hinder the profitability of banks. There are several methods to assess banks' profitability with their own pros and cons. Among them, data envelopment analysis (DEA) has been recommended as one of the most common approaches to evaluate different efficiencies including cost efficiency, revenue efficiency, technical efficiency, and finally profitability. The availability of prices/weights of inputs and outputs provides financial managers with significant information for evaluating efficiencies and assists them in decision-making and strategy development processes. This study mainly aims to analyze banks' profitability by considering accrued liabilities resulting from undesirable factors, for which relevant data were collected from 33 branches of a commercial bank in Gilan province, Iran based on managerial and weak disposability. The results illustrated that only three branches were graded one in three dimensions of efficiency, namely technical, cost and revenue, and profitability. Besides, it was suggested that the lack of these efficiencies was not correlated with the branches' profitability.
۱۵.

Partial Least Squares Analysis to Measure the Impact of Pygmalion Financial Components(مقاله علمی وزارت علوم)

کلید واژه ها: Financial Pygmalion Financial Ethics Confidence Auditing

حوزه های تخصصی:
تعداد بازدید : 764 تعداد دانلود : 962
The growth and development of positive psychological approaches in the field of financial resource management have created transcendental success as a new conceptual basis in the psychology of professions and occupations and has led to a tendency to apply knowledge and skills in achieving financial development in terms of job expectations. An increase in that profession and this issue can also lead to the development of ethical financial functions. Specifies. In the meantime, some jobs, such as jobs with more responsibilities and accountability, will play a more significant role in terms of observing the behavior of financial professionals, because if they deviate from ethical principles, it can have serious social consequences. Therefore, the purpose of this study is to investigate the effect of financial pygmalion on the development of financial confidence of financial auditors. In this study, partial least squares analysis (PLS) and the opinions of auditors who are members of the auditing organization and private sector auditing firms were used. The results of this study showed that the effect of financial pygmalion on the content understanding of the professional environment and understanding the value of the professional environment and belonging to the auditors 'professional environment as three dimensions of auditors' financial ethics self-confidence has a positive and significant effect.
۱۶.

Investigating the Effect of FinTech Implementation Components in the Banking Industry of Iran(مقاله علمی وزارت علوم)

کلید واژه ها: Financial Technology Block Chain Open Banking Structural Equations Smart Economy

حوزه های تخصصی:
تعداد بازدید : 855 تعداد دانلود : 202
FinTech is the solution that strengthens the way of financial communication and if we apply this technology, it will provide us with new methods of performing smarter, more agile and wider financial services. The purpose of this study is to investigate and analyze the factors affecting the implementation of FinTech in Iran's banking industry using structural equation modeling to provide comprehensive solutions of removing barriers and development of this industry in the Iranian banking industry by fully understanding the current situation. The present article is of descriptive-analytical type and data collection has been done through library studies and questionnaires. The statistical sample of the study was 12147 personnel working in Iran's banks in 1400. Due to the size of the population, Cochran’s method and random sampling method were used to determine the sample size. To analyze and classify the extracted data, a questionnaire and a test of the main hypothesis and sub-hypotheses and structural equation modeling were used using smart PLS statistical software. The obtained results confirm the main hypothesis and the sub-hypotheses of the research. The results indicated that in the banking sector, there is a need for legalization and harmonization with upstream laws, as well as the need for infrastructure and tools that are very important in adopting strategies to implement FinTech in Iran's banking industry, in order to make transparency, reduce costs, provide high-speed services, and move towards a smart economy.
۱۷.

Making Decision on Selection of Optimal Stock Portfolio Employing Meta Heuristic Algorithms for Multi-Objective Functions Subject to Real-Life Constraints(مقاله علمی وزارت علوم)

کلید واژه ها: Capital Decision Making Simulation Stock Portfolio Optimization Real-Life Constraints Multi-Objective Function

حوزه های تخصصی:
تعداد بازدید : 708 تعداد دانلود : 291
The purpose of this study is to make investment decisions with the approach of data envelopment analysis and making decision on selection of optimal stock portfolio employing meta heuristic algorithms for multi-objective functions subject to real-life constraints. The statistical population of this research in capital decision-making and selection of the optimal capital composition is 183 of the selected companies of Tehran Stock Exchange, which were finally 42 companies as justified investment options. After measuring the risk and return of efficient companies, the real limitations of the budget, requirements and expectations of the investor, determination and composition of the investment were formulated as a multi-objective model. For optimal decision, the modified genetic meta heuristic algorithm and MATLAB software with dual operators were used. Elimination of the risk minimization function in sensitivity analysis improved the level of decision return but also led to more risk. Eliminating the maximizing return function improved decision-making risk but also reduced investment return. Elimination of investment requirements and expectations improved returns and increased investment risk, but more companies became involved in optimal investment.
۱۸.

Multi-objective possibility model for selecting the optimal stock portfolio(مقاله علمی وزارت علوم)

کلید واژه ها: Mean-variance model Optimal portfolio Possibility space Objective functions

حوزه های تخصصی:
تعداد بازدید : 118 تعداد دانلود : 279
In this paper, we use fuzzy numbers and possibility theory to model possibility. The purpose of this work is to determine the optimal investment model based on the neural network method for fuzzy LR, trapezoidal and triangular numbers in an optimal portfolio. It is listed on the Tehran Stock Exchange to maximize "returns" and reduce "risk" to find the optimal portfolio. Therefore, to achieve this goal, the problem of multi-objective nonlinear programming is addressed. Also, by substituting the mean-variance model and the standard mean deviation instead of the Markowitz mean-variance model, the selection of the optimal portfolio in the possible space is examined. Finally, after calculating the model of the possibility of fuzzy numbers, we reach the optimal stock portfolio, which can be used to set the stock portfolio that has the highest returns and the lowest risk.
۱۹.

Identify and Rank the Factors Affecting Accounting and Auditing Ethics based on Multi-Criteria Decision Making Methods(مقاله علمی وزارت علوم)

کلید واژه ها: ethics accounting and auditing ethics Ranking Fuzzy Delphi

حوزه های تخصصی:
تعداد بازدید : 174 تعداد دانلود : 916
The accounting and auditing profession must acquire the necessary skills in ethical judgment, so that it can consider the well-being of all those affected by its performance. Without strong and moral behaviour, the position of this old art and profession is shaken. This issue should be considered more by people who want to enter this field and technology than by companies. The main purpose of this study is to identify and rank the factors affecting accounting and auditing ethics among accountants and auditors. In order to identify the effective factors, while reviewing the studies, a semi-structured interview was conducted using a qualitative method of theme analysis. The experts interviewed were sixteen university professors and activists in the accounting and auditing profession. A review of the literature, research, and interview results reveals nine key themes that categorize the factors influencing corporate accounting and auditing ethics. In this research, key factors have been identified and then the fuzzy Delphi technique has been used to rank and find the importance of the factors. The results showed that government and legal, economic, individual, social, cultural, corporate governance, organizational and intelligence factors are involved in accounting and auditing ethics, respectively.
۲۰.

Designing and Evaluating Trading Strategies Based on Algorithmic Trading in Iran's Capital Market(مقاله علمی وزارت علوم)

کلید واژه ها: Algorithmic Trading Auto-mated Trading Trading Strate-gies Capital market Python

حوزه های تخصصی:
تعداد بازدید : 621 تعداد دانلود : 236
One of the important factors in making a profit through financial markets is a quick and correct response to market events, which is possible only by examining all aspects of the market. Today, to solve this challenge, the use of trading algo-rithms has become inevitable and can be considered as transactions made by computers that these transactions are controlled and reviewed through algorithms. Depending on their type and purpose, these algorithms examine different aspects and, according to the strategies defined for them, make decisions and signal by order registration. These trading methods are growing rapidly in the world, espe-cially in strong and developed financial markets. Proper implementation of algo-rithmic transactions reduces transaction costs and increases the accuracy of inves-tors in their investments. One of the most widely used of these strategies is the trend-following strategy, which is welcomed by many traders. This strategy can be implemented in different ways and through different trading tools. In the pre-sent study, five types of them were examined and implemented on one of the most traded symbols of the Tehran Stock Exchange. The purpose of this study is to implement some of the popular strategies in algorithmic trading along with the introduction of algorithmic trading, its strategies in the Iranian stock market, which includes the study of its advantages and disadvantages. The present study is a cross-sectional retrospective and field survey in terms of applied purpose and in terms of data collection.

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