Saeid Fallahpour

Journal Paper

1. "Using an ensemble classifier based on sequential floating forward selection for financial distress prediction problem"
   Saeid Fallahpour, Eisa Norouzian Lakvan, Mohammad Hendijani Zadeh
   Journal of Retailing and Consumer Services, Vol. 2017, No 34, pp.159-167, 2017
2. "Pairs trading strategy optimization using the reinforcement learning method: a cointegration approach"
   Saeid Fallahpour, Hasan Hakimian, Khalil Taheri, Ehsan Ramezanifar
   SOFT COMPUTING, Vol. 20, No 12, 2016
3. "Modelling order arrivals at price limits using Hawkes processes"
   Afshin Haghighi, Saeid Fallahpour, Reza Eyvazloo
   Finance Research Letters, Vol. 19, No 19, 2016
4. "A hybrid model for estimating the probability of default of corporate customers"
   Reza Raei, Mahdi Saeidi Kousha, Saeid Fallahpour, محمد اسماعیل فدایی نژاد
   Iranian Journal of Management Studies, Vol. 9, No 3, pp.651-673, 2016
5. "THE APPLICATION OF FUZZY AND ROBUST OPTIMIZATION FOR INDEX TRACKING"
   Saeid Fallahpour, Reza Raei, Farid Tondnevis, Adel Behzadi
   INTERCIENCIA, Vol. 39, No 6, 2014
6. "Use of Clustering Approach For Portfolio Management"
   Saeid Fallahpour, Mohammad Hendijani Zadeh, Eisa Norouzian Lakvan
   International SAMANM Journal of Finance and Accounting, Vol. 2, No 1, 2014
7. "Modeling the Stock Selection and Stock Weighting Skills of Mutual Fund Managers in Iran's Capital Market"
   Nasrin Pashaei, Shapour Mohammadi, Reza Raei, Saeid Fallahpour
   oragh, Vol. 17, No 66, 2024
8. "Portfolio VaR Modelling using EVT-Pair-Copulas Approach"
   Ali Souri, Saeid Fallahpour, علی فروش باستانی, Ehsan Ahmadi
   Investment Knowledge, Vol. 13, No 1, 2024
9. "A Novel Approach to Predicting Financial Distress by Using Financial Network-Based Information and the Integrated Method of Gradient Boosting Decision Tree"
   Ezatollah Abbasian, کاوه شهرکی, Saeid Fallahpour, Ali Namaki
   Journal of Asset Management and Financing, Vol. 11, No 42, 2023
10. "Investigating the impact of financial distress risk on stock prices crashes"
    Marjan Izadkhah, Reza Raei, Saeid Fallahpour
    Journal of Financial and Management Engineering Exchange, Vol. 14, No 56, 2023
11. "Developing an Algorithm for Detecting Suspicious Trades in Tehran Stock Exchange Based on Spoof Trading Model"
    Reza Tehrani, Saeid Fallahpour, Hamid Nouralidokht
    Financial Research Journal, Vol. 25, No 1, 2023
12. "Presenting a market direction prediction model for gold coin trades in Iran’s Commodity Exchange market using Long Short-Term Memory (LSTM) algorithm"
    Soheil Zoghi, Reza Raei, Saeid Fallahpour
    Journal of Financial and Management Engineering Exchange, Vol. 13, No 53, 2023
13. "Measuring information transparency of selected private banks based on risk criteria (value at risk)"
    حسین عبده تبریزی, Reza Tehrani, قدرت اله امام وردی, Saeid Fallahpour, Ali Baghani
    Quarterly Journal of Financial Accounting and Auditing Research, Vol. 14, No 3, 2022
14. "Investigating the Effect of Oil Price Shocks and Western Sanctions on Banks' Liquidity Creation: A Nonlinear Approach"
    Saeid Fallahpour, Reza Tehrani, Mostafa Gorgani firozjah
    Financial Research Journal, Vol. 24, No 2, 2022
15. "Provide a model to compare the optimal and real structure of assets and liabilities of commercial banks in Iran"
    Vahid Mahmuodi, Ezatollah Abbasian, Saeid Fallahpour, Dhfsdr Dsfaw
    Quarterly Journal of Economic Research and Policies, Vol. 29, No 100, 2022
16. "Index tracking using Two-tail Mixed Conditional Value-at-risk in Tehran Stock Exchange"
    Reza Eyvazloo, Saeid Fallahpour, Mahdi Dehghani Ashkezari
    Financial Research Journal, Vol. 23, No 4, pp.545-563, 2022
17. "Investigating the factors affecting the determination of deposit insurance premiums among Iranian banks listed on the Iranian stock exchange and OTC"
    محمد رضا آقا محمد سمسار, Saeid Fallahpour, Saeid Shirkound, علی فروش باستانی
    Investment Knowledge, Vol. دهم, No 39, 2021
18. "An Analysis of Centrality’s Features as a New Measure for Network Analysis, Risk Measurement & Portfolio Selection"
    Saeid Fallahpour, Ali Ghahramani
    Financial Research Journal, Vol. 23, No 2, 2021
19. "Higher moments Portfolio Optimization based on Generalized CAPM with asymmetric power distribution and fat tail"
    Ali Souri, Saeid Fallahpour, [] []
    Journal of Financial and Management Engineering Exchange, Vol. 12, No 46, pp.50-75, 2021
20. "An Analysis of Risk as Perceived by the Investor in Iranian Oil Service Contracts and its Impact on Feasibility of Investing in Upstream Activities"
    Mohammad Mostafavi, Shapour Mohammadi, Abdolhossein Shiravi Khozani, Saeid Fallahpour
    energy, Vol. 17, No 68, 2021
21. "Evaluation of the Effect of the Banking Sector Systemic Risk on the Macroeconomic Performance of Iran"
    Reza Tehrani, Mostafa Seraj, علی فروش باستانی, Saeid Fallahpour
    Financial Research Journal, Vol. دوره 22, 2020
22. "investigating the impact of Oil Price shocks and Economic Sanctions on Banks' Liquidity Creation in Iran"
    Saeid Fallahpour, Ali Souri, Mostafa Gorgani firozjah
    Tahghighat-E-Eghtesadi, Vol. دوره 55, 2020
23. "Evaluation of the Effect of Contagion Risk on the Macroeconomic Performance of Iran and Identifying Too-Connected-To-Fail (TCTF) Banks"
    Mostafa Seraj, Reza Tehrani, Saeid Fallahpour
    Studies and Economic Policies, Vol. 7, No 1, 2020
24. "Estimation of Expected Shortfall Based on Conditional Extreme Value Theory Using Multifractal Model and Intraday Data in Tehran Stock Exchange"
    Saeid Fallahpour, Hamed Tabasi
    Financial Research Journal, Vol. دوره 22, 2020
25. "Estimation of Value at Risk with Extreme Value Theory approach and using Stochastic Differential Equation"
    امیر شفیعی, Reza Raei, Hossein Abdo Tabrizi, Saeid Fallahpour
    Journal of Financial and Management Engineering Exchange, Vol. 10, No 40, pp.325-348, 2019
26. "Investigating the Performance of Stochastic Processes in Modeling the Savings Deposits"
    Saeid Fallahpour, Mohammad Jelodari Mamghani, محمد رضا دهقانی احمد آباد
    Journal of Financial and Management Engineering Exchange, Vol. دوره 10, No 39, 2019
27. "Financial Stress Index for Iran's Financial System with Portfolio Theory Approach"
    Saeid Fallahpour, Saeid Shirkound, اکبر قنبری
    Quarterly Journal of Applied Economic Theories, Vol. دوره 6, No 6, 2019
28. "Presentation of a model for the active optimization of stock portfolios using value at risk exposure; Application of Convergence Variance Difference Models Approach Based on Algorithm DE Approach"
    Saeid Fallahpour, Reza Raei, Mohammadesmaeil Fadaeinejad, Reza Monajati fasaee
    Investment Knowledge, Vol. 8, No 30, pp.37-50, 2019
29. "Investigating the effect of information supply and demand in cyberspace on the profitability of shares of companies listed on Tehran Stock Exchange"
    Saeid Shirkound, Saeid Fallahpour, امیر مهدی صبائی
    Empirical studies of financial accounting, Vol. دوره 16, No 61, 2019
30. "Paired Trading Strategy Optimization Using the Reinforcement Learning Method: Intraday Data of Tehran Stock Exchange"
    Saeid Fallahpour, Hasan Hakimian
    Financial Research Journal, Vol. دوره 21, No 1, 2019
31. "Portfolio Optimization Using the Whale Algorithm with Expected Shortfall as the Measure of Risk"
    Saeid Fallahpour, سپهر آصفی, سیما فلاح تفتی, محمدرضا باقری کاظم آباد
    Journal of Financial and Management Engineering Exchange, Vol. 9, No 37, 2019
32. "Frequency pair pair algorithm using fuzzy statistical quality control"
    مجتبی دستوری, Saeid Fallahpour, Reza Tehrani, Mohammad Reza Mehrregan
    Journal of Financial and Management Engineering Exchange, Vol. 9, No 37, 2019
33. "Select multi-period stock portfolio using higher order moments"
    Reza Tehrani, Saeid Fallahpour, محمد رضا رستمی, مهدی بیگلری کامی
    Journal of Financial and Management Engineering Exchange, Vol. 9, No 37, 2018
34. "Applying Combined Approach of Sequential Floating Forward Selection and Support Vector Machine to Predict Financial Distress of Listed Companies in Tehran Stock Exchange Market"
    Saeid Fallahpour, Reza Raei, Eisa Norouzian Lakvan
    Financial Research Journal, Vol. 20, No 3, pp.289-304, 2018
35. "Analysis of Conditional Capital Asset Pricing Model with Time Variant Beta using Standard Capital Asset Pricing Model"
    Saeid Fallahpour, Shapour Mohammadi, Mohamad Sabunchi
    Financial Research Journal, Vol. دوره 20, 2018
36. "Portfolio Formation Using Diagonal Quadratic Discriminant Analysis and Weighting Based on Posterior Probability"
    Saeid Fallahpour, حسین پیرایش شیرازی نژاد
    Journal of Financial and Management Engineering Exchange, Vol. 9, No 34, 2018
37. "Modeling volatility and conditional VaR measure using GARCH models and theoretical EVT in Tehran Stock Exchange"
    Saeid Fallahpour, Reza Raei, Saeid Mirzamohammadi, Seyyed Mohammad Hasheminejad
    Investment Knowledge, Vol. 6, No 23, pp.259-270, 2017
38. "Pairs Trading System in Tehran Stock Exchange: Cointegration Approch and Sortino Ratio"
    Saeid Fallahpour, Hasan Hakimian
    Journal of Financial and Management Engineering Exchange, Vol. 8, No 30, 2017
39. "The Stock Trend Prediction Using Modified Support Vector Machine with a Hybrid Feature Selection Method"
    Saeed Bajalan, Saeid Fallahpour, Nahid Dana
    Journal of Financial Management Perspectives, Vol. 7, No 1, pp.69-86, 2017
40. "Use of Combined Approach of Support Vector Machine and Feature Selection for Financial Distress Prediction of Listed Companies in Tehran Stock Exchange Market"
    Saeid Fallahpour, Eisa Norouzian Lakvan, Mohammad Hendijani Zadeh
    Financial Research Journal, Vol. 19, No 1, pp.139-156, 2017
41. "Portfolio selection using Meta-goal programming and extended lexicographic goal programming"
    Mohammadreza Taghizadeh-yazdi, Saeid Fallahpour, Mohammad Ahmadi Moghaddam
    Financial Research Journal, Vol. 18, No 4, pp.591-612, 2017
42. "Prediction of Default Risk Using Structural Models at Tehran Stock Exchange"
    Saeid Fallahpour, Masoud Tadi
    Journal of Financial and Management Engineering Exchange, Vol. 7, No 28, pp.1-21, 2016
43. "The Stock Trend Prediction Using Volume Weighted Support Vector Machine with a Hybrid Feature Selection Method to Predict the Stock Price Trend in Tehran Stock Exchange"
    Saeed Bajalan, Saeid Fallahpour, Nahid Dana
    Financial Management Strategy, Vol. 4, No 3, pp.121-146, 2016
44. "Predicting Companies Financial Distress by Using Ant Colony Algorithm"
    Saeid Fallahpour, Asghar Eram
    Financial Research Journal, Vol. 18, No 2, pp.347-368, 2016
45. "Stock portfolio selection using EVT and tail dependence coefficient"
    Saeid Fallahpour, Samineh Feyzallah
    mali, Vol. 9, No 30, pp.33-54, 2016
46. "Effect of induced magnetic domain price fluctuations in the Tehran Stock Exchange"
    Saeid Fallahpour, Zahra Mohammadian
    Investment Knowledge, Vol. 5, No 17, pp.21-36, 2016
47. "Forecasting gold price return volatility using a non-parametric GARCH model"
    Saeid Fallahpour, Omid Hadavand Mirzaei
    Journal of Financial and Management Engineering Exchange, Vol. 7, No 26, pp.161-181, 2016
48. "At the same time dynamic model for financial behavior of listed companies"
    Reza Tehrani, Saeid Fallahpour, Seeyd Jalal Tabatabaei
    Journal of Asset Management and Financing, Vol. 4, No 3, 2015
49. "Application of an optimization model for constructing an index tracker portfolio and considering the uncertainty of model parameters by using of robust optimization approach"
    Saeid Fallahpour, Farid Tondnevis
    Financial Research Journal, Vol. هفدهم, No 2, 2015
50. "Predicting stock prices using a hybrid feature selection and nearest-neighbor algorithm"
    احمد پویان فر , Saeid Fallahpour, Eisa Norouzian Lakvan, Amir Hosein Farhadi Shouli
    Journal of Financial and Management Engineering Exchange, Vol. ششم, No 25, pp.1-20, 2015
51. "index tracking portfolio optimization using robust optimization"
    Saeid Fallahpour, Farid Tondnevis, Seyed Mohammad Amir Hashemi
    Journal of Financial and Management Engineering Exchange, Vol. ششم, No 24, pp.115-134, 2015
52. "Estimating conditional value at risk using symmetric and asymmetric conditional heteroskedasticity models in oil and gold markets"
    Saeid Fallahpour, Fatemeh Rezvani, Mohamadreza Rahimi
    mali, Vol. 8, No 26, pp.1-18, 2015
53. "The Use of Feature Selection Method (HARC) in Predicting Financial Distress in Tehran Stock Exchange"
    Taj Maedeh, Saeid Fallahpour, Saeed Bajalan
    Financial Management Strategy, Vol. سوم, No 9, 2015
54. "Prediction of Stock Index Using Wavelet Neural Networks in Tehran Stock Exchange"
    Saeid Fallahpour, Javad Alipour Raykandeh
    Financial Management Strategy, Vol. دوم, No 7, pp.15-31, 2015
55. "Estimating Value at Risk of Portfolio of Oil and Gold by Copula-GARCH Method"
    Saeid Fallahpour, Ehsan Ahmadi
    Financial Research Journal, Vol. شانزدهم, No 2, 2015
56. "Credit rating of bank customers using artificial bee colony"
    Saeid Fallahpour, Reza Raei, Mohammad Hendijani Zadeh
    Journal of Financial and Management Engineering Exchange, Vol. 6, No 21, pp.33-53, 2015
57. "Stock portfolio optimization using copula-CVaR"
    Saeid Fallahpour, Mehdi Baghban
    Quarterly Journal of Economic Research and Policies, Vol. 22, No 72, pp.155-172, 2015
58. "Application of robust optimization in portfolio selection"
    Saeid Fallahpour, Farid Tondnevis
    Investment Knowledge, Vol. 3, No 10, pp.67-84, 2014
59. "Portfolio selection using Logarithmic Fuzzy Preference Programming and PROMETHEE"
    Saeid Fallahpour, Hossein Safari, Nader Omrani
    Financial Management Strategy, Vol. 2, No 5, pp.103-120, 2014
60. "Forecasting stock price trends using support vector machines based on genetic algorithms in tehran stock exchange"
    Saeid Fallahpour, غلامحسین گل ارضی , Naser Fatourechian
    Financial Research Journal, Vol. 15, No 2, pp.269-288, 2014
61. "Least Square SVM based on Genetic Algorithm for Estimation of Credit Rating of Banks' Customers"
    احمد پویان فر, Saeid Fallahpour, محمدرضا عزیزی
    Journal of Financial and Management Engineering Exchange, Vol. 4, No 17, pp.133-158, 2014
62. "Estimating Value at Risk Using a Hybrid Model of SVM and GARCH"
    Saeid Fallahpour, Malihe Tabasi
    Financial Management Strategy, Vol. 1, No 1, pp.117-144, 2013
63. "The Relationship between Daily Return of Individual Stocks and the Highest Price in Last 52 Weeks in Tehran Stock Exchange"
    Saeid Fallahpour, رسول سعدی, Gholamreza Aboutorabi
    oragh, Vol. 6, No 22, pp.73-101, 2013
64. "Financial risk assessment model for LNG projects- case study: Iran LNG Project"
    Reza Raei, Saeid Fallahpour, Homa Ameri Matin
    Financial Research Journal, Vol. 14, No 2, 2013
65. "Estimating Value at Risk Using Extreme Value Theory in Tehran Stock Exchange"
    Saeid Fallahpour, Mehdi Yarahmadi
    Journal of Financial and Management Engineering Exchange, Vol. 3, No 13, 2013
66. "Efficiency test of Tehran stock exchange subdivisions at a weak level"
    Saeid Fallahpour, Ezzatollah Asgharizadeh, علیرضا فراهانی نیا
    oragh, Vol. 5, No 17, pp.5-22, 2012
67. "Comparison of Value and Growth Stocks Return"
    Gholamreza Eslami Bidgoli, Saeid Fallahpour, Bahar Sabzevari
    Investment Knowledge, Vol. 1, No 1, 2012
68. "Identification and weighting of behavioral biases of investors in the Tehran Stock Exchange: Fuzzy AHP approach"
    Saeid Fallahpour, غلامرضا عبداللهی
    Financial Research Journal, Vol. 13, No 31, pp.99-120, 2012
69. "A model of active portfolio management using VaR and Genetic Algorithm"
    Reza Raei, Saeid Fallahpour
    Journal of Accounting and Auditing Review,, Vol. 18, No 64, pp.19-34, 2011

Conference Paper

1. "Comparison of wrapper and filtering approaches for corporate failure prediction"
   Saeid Fallahpour, Mohammad Hendijani Zadeh, Eisa Norouzian Lakvan
   2014 First International Conference on Networks & Soft Computing, 2014
2. "Portfolio Models in Credit Risk"
   Saeed Bajalan, Saeid Fallahpour, Sara Raeisy
   6th International Conference on Management and Humanistic Research in Iran, 2020
3. "Credit Portfolio Optimization based on Neural Network and Acturial Methods"
   Saeed Bajalan, Saeid Fallahpour, Sara Raeisy
   6th International Conference on Management and Humanistic Research in Iran, 2020
4. "Assessment of environmental risks of investment contracts of upstream oil projects and Iranian gas with systems dynamics approach"
   Seyednasrollah Ebrahimi, Reza Tehrani, Saeid Fallahpour, آیه کاتبی, جواد میثاقی فاروجی
   First National Conference on Systems Thinking in Practice, 2019
5. "The Effec of liquidity on Default Risk of listed Companies in TSE"
   Maryam Vizvari, Saeed Bajalan, Saeid Fallahpour
   International conference on Accounting, Management and Innovation in Business, 2016
6. "Portfolio Selection by using of Meta Goal Programming"
   Mohammad Ahmadi Moghaddam, Mohammadreza Taghizadeh-yazdi, Saeid Fallahpour
   4th International Conference on Applied Research in Management and Accounting, 2016
7. "Sensitivity Analysis of Factors Affecting on Portfolio Performance Evaluation in Single-Index Model with SystemDynamic Approach"
   Saeid Fallahpour, Amir Ali Abaszadeh, Mohamad Hosein Kiani, Mostafa Khedri
   International Conference on Management in the 21st Century, 2014