In this paper, we provide a new measure for evaluation of risk in financial markets. This measure is based on the return interval of critical events in financial markets or other investment situations. Our main goal was to devise a model like Value at Risk (VaR). As VaR, for a given financial...

We construct a network of the Tehran stock market based on the cross-correlation of trading volume of stocks both for fundamentalists and chartists. In order to investigate the dynamics of expectations of fundamentalists and chartists over time we introduced a homogeneity coefficient. Our...

Fluctuations of exchange rates, like any other economic variables, are very common in financial markets. However, sometimes because of political and economic tensions, exchange rates exhibit abrupt crashes that lead to structural break. In this paper, the author answers the question whether a...

Purpose: This paper aims to investigate the relationship between accounting conservatism and money laundering risk. For this goal, the authors construct an index for measuring money laundering risk at the firm level for Iranian listed firms in the Tehran Stock Exchange....

Studying the relation between corruption and economic factors and examining its consequences for economic development have attracted many economists and physicists in recent years. The purpose of this paper is to focus on the role of stock market development on corruption. Analyzing a data set...

This paper investigates the connection between money laundering risk and Chief Executive Officer (CEO) compensation in the Iranian stock market. For this goal, we construct a firm-level measure of money laundering risk using the opinion of certified auditors. Our findings documented a positive...

Analyzing statistical properties of stock market data using statistical physics has received much attention from physicists and economists in recent years. Although some statistical characteristics of stock market data such as power-low tails of stock returns have become established fact,...

Inverse statistics analysis studies the distribution of investment horizons to achieve a predefined level of return. This distribution provides a maximum investment horizon which determines the most likely horizon for gaining a specific return. There exists a significant difference between...