Sharif Digital Repository

Circuit breakers, like price limits and trading suspensions, are used to reduce price volatility in security markets. When returns hit price limits or missed, observed returns deviate from equilibrium returns. This creates a challenge for predicting stock returns and modelling value at risk (VaR). In Tehran Stock Exchange (TSE), the circuit breakers are applied to control for the excess price volatilities. This paper intend to address which models and what methodology should be applied by risk analysts to calculate the VaR when the returns are unobservable. To this end, we extend Wei’s (2002) model, in the framework of Bayesian Censored and Missing-GARCH approach, to estimate VaR for a share... 

Market practitioners and speculators attempt to make benefits from the existence of market price gaps and profit opportunities by arbitrage strategies. Although some investors trade stocks based on the available financial and fundamental information of a particular share, there are others who make profits by risk hedging and swing trading opportunities. One of these strategies is pairs trading, which is a sub-category of statistical arbitrage. Pairs trading can assure reasonably a risk-free profit gaining. This paper aims to make a hypothetical portfolio composed of pairs of stocks by exploring a significant association between their prices in the Toronto Stock Exchange, TSX. We compare the... 

Market practitioners and speculators attempt to make benefits from the existence of market price gaps and profit opportunities by arbitrage strategies. Although some investors trade stocks based on the available financial and fundamental information of a particular share, there are others who make profits by risk hedging and swing trading opportunities. One of these strategies is pairs trading, which is a sub-category of statistical arbitrage. Pairs trading can assure reasonably a risk-free profit gaining. This paper aims to make a hypothetical portfolio composed of pairs of stocks by exploring a significant association between their prices in the Toronto Stock Exchange, TSX. We compare the... 

The raising trend both in violent and property crime are of major concern in Iran. Using a panel data modeling (province wide), the paper provides an econometrics assessment of the relationship between crime against properties and violent crimes as functions of deterrent, social, economic and demographic factors in Iran, in the framework of Becker-Ehrlich crime supply theory. The findings indicate that, although deterrence hypothesis is not confirmed for burglary and assault, it explains the variations of murders and threats. Economic factors play key role in burglary and threat explanation, but they do not affect willful murders, however, Literacy explains both murders and threats. Average... 

In this paper, a transient model is developed to simulate the start-up operation of an industrial twin-shaft gas turbine based on real geometry and control logic. The components’ characteristic curves of the studied gas turbine were generated with the aid of CFD simulation tools and according to the real geometry of each component. The control logic of the studied gas turbine was simplified and coupled with the developed engine performance model. Also, the gas turbine actuators including variable inlet guide vanes, compressor bleed valves, and fuel valves were simulated so that their concurrent effects on the gas turbine transient behavior can be captured precisely. Moreover, the air-cooled... 

This work defines density factor as the ratio of before ignition density to after ignition density of the ignition mixture. This work provides an estimation method for explosive limits of various fuels under room temperature and pressure by showing that for a large universe of fuels, constant adiabatic flame temperature and density factor are appropriate approximations at the lower explosive limit while only a constant density factor might be an appropriate approximation at the upper explosive limit. Thus the assumption of a constant adiabatic flame temperature can be used in calculating lower explosive limit while the assumption of a constant density factor can be used in approximating... 

The present study investigates the microstructural evolution, tribological properties, and corrosion behavior of hybrid metal matrix composites reinforced by a combination of graphite (Gr) and zirconia (ZrO2) particles fabricated by Friction Stir Processing (FSP). To do so, microstructural characterization was carried out by optical microscopy (OM) and electron backscatter diffraction (EBSD) analysis. In addition, pin-on-disk, microhardness measurement, potentiodynamic polarization, and electrochemical impedance tests were conducted to evaluate the tribological and corrosion behavior of the samples. Results showed that employing four passes of FSP led to significant grain refinement in stir... 

In this paper, we consider a broadband secondary transmitter-receiver pair which interferes with N narrowband primary users and study the effect of cognition and cooperation on the maximum stable throughput. In our study we focus on four transmission protocols as well as two channel types, i.e., flat fading and frequency selective fading. In the cooperative protocols, the broadband transmitter relays the packets of the primary users which have not correctly decoded at the primary receiver. The analysis includes random packet arrivals at the transmitters which may impact on the maximum stable throughput. Moreover, sensing errors at the secondary user are considered. In this paper, we derive... 

In this work, a corresponding-states correlation is presented for prediction of crude oil density in an undersaturated state. The correlation is the extension of corresponding-states liquid densities correlation. The modified corresponding states liquid densities method for predicting saturated liquid densities was coupled with the Tait equation to predict undersaturated densities. Correlations are proposed for the temperature-dependence of Tait equation parameters. Applying proper mixing and combining rules, we calculated the density of 26 crude-oil samples, mainly from Iranian reservoirs. The mixtures included a variety of compositions including N2, H 2S, CO2, and hydrocarbons. The AAD%... 

A gas turbine shaft is generally exposed to high-temperature gases and may seriously be affected and overheated duetotemperature fluctuationsinthe combustion chamber. Vortex flow inthe combustion chamber may increase the heat release rate and combustion efficiency, as well as control the location of energy release. However, this may result in excessive temperature on the combustor equipment and gas turbine shaft. In this study, a new gas turbine combustion chamber implementing a liner around the shaft and the liquid-fuel feeding system is designed and fabricated. The influences of parameters such as the Reynolds number and the equivalence ratio are studied. Experimental results are compared... 

In the framework of a household’s collective decision processes, this study presents a structural empirical model to test the hypothesis that child labour is compelled by household’s poverty and parent’s bargaining power against one another. To this end, a measure for mother’s intra-household bargaining power is developed. I use Iranian Household’s Income and Expenditures Surveys (2005 and 2010). Estimation method used in this study is multinomial logit. Findings indicate that household’s poverty is not the sole cause of child’s work incidence. Instead, given the other factors such as poverty, being the first born, local labour market prospect and gender fixed, mother’s bargaining power is... 

In this research, a permutation flowshop sequence-dependent group scheduling problem with minimisation of total completion time is considered. Since the problem is shown to be strongly NP-hard, a hybrid genetic (HG) algorithm is proposed. The only available lower bounding (LB) method for the proposed research problem in the literature based on branch and price (B&P) algorithm is also enhanced by proposing efficient method to solve sub-problems and proposing a better branching rule. A statistical comparison shows that both the proposed HG algorithm and the proposed LB have better performance than the other methods from the literature with an average 5.96% percentage gap. [Received 13 December... 

In this research, the flexible flowshop sequence-dependent group scheduling problem with minimisation of makespan as the criterion (FFm|fmls, shgi|Cmax) is investigated. A mixed integer linear mathematical model for the research problem is developed. Since the research problem is shown to be NP-hard, a meta-heuristic algorithm based on memetic algorithm (MA) is developed to efficiently solve the problem. Also, a lower bounding technique based on the developed mathematical model is proposed to evaluate the quality of the proposed MA. The performance of the proposed MA is compared with the existing algorithm in the literature, i.e. tabu search (TS), by solving the available test problems in... 

This paper provides an empirical investigation on the individual labor supply of Iranian spouses in an intra-household collective decision framework in which gender ratio and divorce rate play a central role for resource allocation of household. The dataset is taken from the Households’ Expenditures Survey (2008) and the Annual Statistical Yearbook (2008) of Iran. I have conducted the parameters estimation and hypothesis testing using switching regression technique to catch the presence of the widespread non-participation of spouses across Iranian households. Reduced forms of labor supply are estimated considering the endogeneity of wage rates. The findings show that the unitary model of... 

The recent researches show that value-at-risk (VaR) estimations are biased and is calculated conservatively. Bao and Ullah (2004) proved the bias of an ARCH(1) model for VaR can be decomposed in to two parts: bias due to the returns' misspecification distributional assumption for GARCH(1,1), i.e., (Bias1) and bias due to estimation error, i.e., (Bias2). Using quasi maximum likelihood estimation method this paper intends to find an analytical framework for the two sources of bias. We generate returns from Normal and t-student distributions, then estimate the GARCH(1,1) under Normal and t-student assumptions. Our findings reveal that Bias1 equals to zero for the Normal likelihood function, but...