Abstract:
One of the latest approaches for analyzing the coupled time series is MF-DXA. This technique has been used in many disciplines such as finance. In this paper، we have analyzed Tehran Stock Exchange indexes by MF-DXA and have found a scaling behavior between the Industrial، Financial and Price indexes. By surrogating، we could see that the effects of low probability events in Industrial and Financial index are more important than the Price index. In essence، we have found that the today return of each index depends on its previous returns and on the previous returns of the other indexes. This technique is useful in risk and portfolio managements.
Machine summary:
Investigating Price Manipulation in the Tehran Stock Exchange Using Support Vector Machine Model Mir Faiz Fallah Shams 1, Hamidreza Kordloui 2, Mehdi Rashno 3 Price manipulation is one of the factors that causes distrust of investors in the stock market and hinders its growth and prosperity.
The main objective of this research is to predict price manipulation using the support vector machine model.
Then, the prediction accuracy of the support vector machine model in price manipulation in the capital market was investigated.
Abstract: Keywords: Price manipulation, Dirsher dependency test, Support Vector Machine Model JEL Classification: G14.
The aim of this research is to predict price manipulation of stocks traded in the Tehran Stock Exchange through the support vector machine model.
In the second section, price manipulation is predicted using the support vector model and its accuracy is investigated.
Trend of return and trading volume of the test company's shares in the Tehran Stock Exchange Based on the above trend, the Dych test can be used to diagnose manipulation.
In the next section of the research, the Support Vector Machine 1 model is used to predict price manipulation.
Considering the list of manipulated companies identified in the first section of the research, the Support Vector Machine model is executed on a sample of these companies to examine its ability to predict stock price manipulation.
In the Durbin dependency test, the existence of long sequences of abnormal positive or negative returns indicates the presence of return or price manipulation in the company's shares.
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