Research Article
A new hybrid method of dynamic mode decomposition and long short-term memory for financial market forecasting

Roya Karimkhani; Yousef Edrisi Tabriz; Ghasem Ahmadi

Volume 3, Issue 2 , December 2023, Pages 1-17

https://doi.org/10.22054/jmmf.2023.74998.1099

Abstract
  ‎Forecasting price trends in financial markets is of particular importance for traders because price trends are inherently dynamic and forecasting these trends is complicated‎. In this study‎, ‎we present a new hybrid method based on combination of the dynamic mode decomposition method ...  Read More

Research Article
The artificial neural networks for investigation of correlation between economic variables and stock market indices

Mehdi Rezaei; Najmeh Neshat; ‎Abbasali Jafari Nodoushan; Amirmohammad Ahmadzadeh

Volume 3, Issue 2 , December 2023, Pages 19-35

https://doi.org/10.22054/jmmf.2023.75800.1104

Abstract
  ‎In this research‎, ‎we investigated the interactive effects between the macroeconomic variables of currency‎, ‎gold‎, ‎and oil on two indicators of total and equal weighted indices considering the importance of correlation between economic variables and stock market indices‎. ...  Read More

Research Article
Comparative analysis on forecasting methods and how to choose a suitable one: case study in financial time series

Mahdi Goldani

Volume 3, Issue 2 , December 2023, Pages 37-61

https://doi.org/10.22054/jmmf.2023.76041.1105

Abstract
  Forecasting in the financial markets is vital for informed decision-making, risk management, efficient capital allocation, asset valuation, and economic stability. This study thoroughly examines forecasting techniques to predict the 30-day closing prices of APPLE in a select group of 100 prominent companies ...  Read More

Research Article
An online portfolio selection algorithm using beta risk measure and fuzzy clustering

Matin Abdi; Seyyed Babak Ebrahimi; Amir Abbas Najafi

Volume 3, Issue 2 , December 2023, Pages 63-76

https://doi.org/10.22054/jmmf.2024.76113.1107

Abstract
  An online portfolio selection algorithm has been presented in this research. Online portfolio selection algorithms are concerned with capital allocation to several stocks to maximize the portfolio return over the long run by deciding the optimal portfolio in each period. Despite other online portfolio ...  Read More

Research Article
An analysis of volatility and herd behavior among investors in the S&P500 stock market index, Bitcoin, and gold markets

Mohammad Qezelbash; Saeid Tajdini; Farzad Jafari; Majid Lotfi Ghahroud; Mohammad Farajnezhad

Volume 3, Issue 2 , December 2023, Pages 77-92

https://doi.org/10.22054/jmmf.2024.75516.1103

Abstract
  In recent years, cryptocurrency has attracted more attention and is a new option in the economy and the financial sector. The purpose of this study is to the volatility and “herd behavior” of the cryptocurrency, gold, and stock markets in the US. This research is aimed at investor “herd ...  Read More

Research Article
Modeling auto insurance frequency using K-means and mixture regression

Maryem Jaziri; Afif Masmoudi

Volume 3, Issue 2 , December 2023, Pages 93-109

https://doi.org/10.22054/jmmf.2024.76043.1106

Abstract
  Given the importance of policyholder classification in helping to make a good decision in predicting optimal premiums for actuaries.This paper proposes, first, an optimal construction of policyholder classes. Second, Poisson-negative Binomial mixture regression model is proposed as an alternative to ...  Read More

Research Article
The effect of audit committee financial expertise on relationship between companies irresponsibility and stock price crash ‎risk

Ali Tamoradi; Zoleikha Morsaliarzanagh; Zeinab Rezaei; Ebrahim Abbasi

Volume 3, Issue 2 , December 2023, Pages 111-128

https://doi.org/10.22054/jmmf.2024.76160.1108

Abstract
  The present study aims to investigate the effect of corporate irresponsibility on stock price crash risk by emphasizing the moderating role of financial expertise of the audit committee in companies listed on the Tehran Stock Exchange. To estimate the multiple regression model to test the hypothesis, ...  Read More

Research Article
Unraveling the impact of Iranian currency exchange on central bank digital currency: navigating through history-oriented bias

Majid Lotfi Ghahroud; Farzad Jafari; Saeid Tajdini; Mohammad Farajnezhad; Mohammad Qezelbash

Volume 3, Issue 2 , December 2023, Pages 129-148

https://doi.org/10.22054/jmmf.2024.75347.1102

Abstract
  This study examines the dynamics of the Iranian foreign exchange market and its impact on the exchange rate used by traders, and not the official rate in Iran. The study aims to extend Fama's theory of market efficiency and proposes a new model to define the opposite point called "Historical bias". The ...  Read More

Research Article
Disclosure of material information and dividend

Shohre Hadidifard; Mona Parsaei; Nafiseh Shahmoradi

Volume 3, Issue 2 , December 2023, Pages 149-160

https://doi.org/10.22054/jmmf.2024.76286.1109

Abstract
  The substitution hypothesis postulates that various corpo- rate governance forms and dividend disbursements serve as alternatives. Given that transparent information disclosure mitigates agency issues by lessening information asymmetry and fortifying corporate governance, this study aims to explore the ...  Read More

Research Article
Cross-sectional estimation of loss reserve for cargo insurance market: the case of cargo insurance in Iran

Parissa Ghonji; Ghadir Mahdavi; Mitra Ghanbarzadeh

Volume 3, Issue 2 , December 2023, Pages 161-176

https://doi.org/10.22054/jmmf.2024.76913.1110

Abstract
  Insurance companies regularly estimate loss reserves due to delays in settling claims. These delays depend on the time taken from claim filing to settlement. The study aims to estimate reported loss reserves through cross-sectional regression using cargo insurance market data. The model considers written ...  Read More

Research Article
Life settlements pricing based on fuzzy interest rates ‎arisen ‎‎from‎ ‎life ‎insurance‎ ‎premiums

Mahboubeh Aalaei; Khadijeh Ebrahimnezhad

Volume 3, Issue 2 , December 2023, Pages 177-188

https://doi.org/10.22054/jmmf.2024.77678.1114

Abstract
  ‎In this article, fuzzy random variables are used to model interest rate uncertainty used in the calculation of whole life insurance premiums, and calculate the effect of this uncertainty on the price of life settlements. The fuzzy results obtained from deterministic and probabilistic pricing approaches ...  Read More

Research Article
A dynamical system model-driven approach to pricing with smart volatility: a case study of catastrophe bonds pricing for China’s flood

S. Pourmohammad Azizi; RajabAli Ghasempour; Amirhossein Nafei

Volume 3, Issue 2 , December 2023, Pages 191-207

https://doi.org/10.22054/jmmf.2024.77890.1118

Abstract
  This study explores the application of dynamic systems for modeling and valuing catastrophe bonds to establish a more intelligent and adaptive approach to determining their volatility parameter. These financial instruments hold significant importance for insurance companies in safeguarding against the ...  Read More