Ehsan Hajizadeh - Amirkabir University of Technology

Research Interests

#

Title

Start date

1

Financial Engineering

2020

2

Risk Modeling and Management

2020

3

Algorithmic trading

2020

4

Applications of Machine Learning in Finance

2020

Supervised MSc Theses

#

Thesis title

By

Date

1

Portfolio optimization based on stock price forecasting using XGBoost and GOA

MOHAMMADHASAN REZAEIYAN ABARGHOEI

2024 Sep

2

Development of a two-stage model for the evaluation of exchange-traded funds based on the network data envelopment analysis and risk criteria

MOHAMMADJAVAD GHASABIAN

2024 Aug

3

A deep learning-based model using technical indicators and news analysis in predicting market trends

MOHAMMAD MIRDAMADI

2024 Aug

4

robust methods for portfolio selection

NASTARAN KOSARI & Erfan Salavati
Other Supervisor:

2024 Aug

5

Sentiment analysis modeling of financial traders using machine learning methods

SEPEHR KHANZADEH
Other Supervisor: ALI MOHAMMAD KIMIAGARI

2024 Feb

6

trading systems design using deep reinforcement learning and feature selection algorithms in the cryptocurrency market

HAMIDREZA GHADIRI SOHRVAFIROOZANI

2024 Feb

7

A cryptocurrency portfolio trading system using deep reinforcement learning methods based on risk measures

MAHDI RASOOLI OSKUEI

2023 Sep

8

Price Movement Prediction of Cryptocurrencies Using Deep Learning Methods Considering Sentiment Analysis

REZA AKBARI MOQADAM

2023 Jun

9

Development of an algorithmic trading system based on deep learning methods in the stock market

SABRI FARHADI

2023 May

10

Portfolio selection using DEA in presence of flexible measures

SHAGHAYEGH RASHME

2023 Mar

11

A cryptocurency portfolio trading system using deep learning methods

ALIREZA FARAHANI

2022 Oct

12

Developing a model for optimizing the parameters of deep neural networks and its application in stock index prediction

MINA KOROJDEH

2022 Oct

13

Proposing a Forecasting Model for Implied Volatility by Applying Image Recognition Based System

NIMA NOFEREST

2022 Sep

14

Proposing a model for online portfolio selection using deep learning methods

MOHAMMAD ABDOLHOSEINI

2022 May

15

A trading system based on algorithmic trading and deep learning considering risk criteria

AMIRMOHAMMAD MALEKI

2021 Dec

16

present an econometrics model based on panel data to study The impacts of economic and financial variables on stock prices in financial intermediation industry(case study of Tehran Stock Exchange)

SHAKIBA RAHMANI & ALI MOHAMMAD KIMIAGARI
Other Supervisor:

2020 Oct

17

Modeling the impact of geopolitical risks on foreign currency markets using machine learning algorithms

SOGOL AZIZIGHOMSHEH

2026 May

18

Presenting a Risk Hedging Strategy for Energy Commodities Based on Deep Learnin and GARCH models via Derivatives

MOHAMMAD MAHDI KARBALAEI SADEGH

2026 Jun

19

Developing a multi-criteria decision-making and multi-objective planning model for creating a stock portfolio with consideration of social responsibility

MELIKA KARIMI

2025 Sep

20

A method based on machine learning to predict the Stock price trend with the

ZAKIEH SARSHARSEIRGAHI
Other Supervisor: ABBAS AHMADI

2025 Sep

21

A hybrid algorithmic trading system based on a transformer model and technical analysis indicators

HAMIDREZA RAHIMZADEH

2025 Sep

22

Design of an Options Trading System Based on Neural Networks and Implied Volatility

ALI CHITSAZ

2025 Sep

23

Asset pricing in market with sustainability and uncertainty factors

ELAHEH KISHANIFARAHANI

2025 Oct

24

Default probability prediction model using a deep learning ensemble model based on extracted features

MAHAN FARZIN

2025 Mar

Books

#

Title

Author(s)

Publisher country

publication date

version

1

Hierarchical DRL Approaches for CVaR-Aware Cryptocurrency Portfolio Optimization

M. Rasooli Oskuei, E. Hajizadeh, H. Dastkhan

Germany

0

2

A Risk-Based Trading System Using Algorithmic Trading and Deep Learning Models

A. Maleki, E. Hajizadeh, A. Fereydooni

Switzerland

1

3

Multi-step Ahead Power Demand Forecasting in Smart Grid

E. Hajizadeh, Amin Hajizadeh

USA

0

4

Proposing a New Hedging Strategy Based on Considering the Efficiency of Energy Markets in Crises

A. Fereydooni, E. Hajizadeh

Eswatini

0

Journal Papers

1

N. Noferest, E. Hajizadeh, H. Mehtari Taheri, "Predicting the Chicago board options exchange volatility index using a deep learning model with multi-feature inputs", , 2025 Sep vol. , no. , pp.-, 2025.

2

M.A. Izadi Dastenayi, E. Hajizadeh, "Time series prediction for cryptocurrency markets with transformer and parallel convolutional neural networks", Applied Soft Computing, 2025 Jun vol. , no. , pp.-, 2025.

3

A. Askari, E. Hajizadeh, "A novel method for analyzing financial market efficiency through fuzzy set theory", Finance Research Letters, 2025 May vol. 78, no. 107243, pp.-, 2025.

4

H. Ghadiri Sohrvafiroozani, E. Hajizadeh, "Designing a Cryptocurrency Trading System with Deep Reinforcement Learning Utilizing LSTM Neural Networks and XGBoost Feature Selection", Applied Soft Computing, 2025 May vol. 78, no. , pp.-, 2025.

5

A. Pourrezaee, E. Hajizadeh, "Forecasting Bitcoin Volatility and Value-at-Risk Using Stacking Machine Learning Models With Intraday Data", Computational Economics, 2024 Sep vol. 6, no. 1, pp.1-31, 2024.

6

A. Askari, E. Hajizadeh, "Exploring market efficiency levels: A powerful approach based on a gamma distribution", Finance Research Letters, 2024 Jun vol. 66, no. 1, pp.1-10, 2024.

7

A. Fereydooni, E. Hajizadeh, "Safe haven opportunities for cryptocurrencies in geopolitically risky environments", Applied Economics, 2023 Dec vol. 56, no. 1, pp.1-20, 2023.

8

Marzieh Kazemi-rashnani, Somayeh Mousavi, E. Hajizadeh, "Multi-Asset Portfolio Management Including Fixed Income Securities by Value at Risk based Models in Iran Market", , 2022 Nov vol. 38, no. 3, pp.43-76, 2022.

9

S.M. Asaad Sajadi, P. Khodaee, E. Hajizadeh, S. Farhadi, Sohaib Dastgoshade, Bo Du, "Deep Learning-Based Methods for Forecasting Brent Crude Oil Return Considering COVID-19 Pandemic Effect", Energies, 2022 Oct vol. 15, no. 21, pp.8124-8144, 2022.

10

E. Hajizadeh, P. Farinneya, M.M. Abdollah Pour, "A new transformer-based hybrid model for forecasting crude oil returns", Aut Journal of Modeling and Simulation, 2022 Jul vol. In press, no. 2, pp.1-14, 2022.

11

S.R. Majidi Zavie, E. Hajizadeh, "Investigating the impact of sentiments on stock returns: evidence from reactions to social media content", , 2021 Dec vol. 11, no. 36, pp.57-89, 2021.

12

B. Ebrahimi, E. Hajizadeh, "A novel DEA model for solving performance measurement problems with flexible measures: An application to Tehran Stock Exchange", Measurement, 2021 Apr vol. 179, no. 179, pp.1-10, 2021.

13

E. Hajizadeh, "Developing an optimized artificial intelligence model for S&P 500 option pricing: A hybrid GARCH model", International Journal of Financial Engineering, 2020 Jul vol. Online, no. 0, , 2020.

1

Ehsan Hajizadeh, Masoud Mahootchi, Akbar Esfahanipour, Mahdi Massahi Kh, "A new NN-PSO hybrid model for forecasting Euro/Dollar exchange rate volatility", Neural Computing and Applications, 2019 vol. 31, no. , pp.2063-2071, 2019.

2

Ehsan Hajizadeh, Masoud Mahootchi, "Developing a Risk-Based Approach for American Basket Option Pricing", Computational Economics, 2019 vol. 53, no. 4, pp.1593-1612, 2019.

3

Ehsan Hajizadeh, Masoud Mahootchi, "A Simulation Based Optimization Model for Pricing Basket Options", Quarterly Journal of Financial Engineering and Portfolio Management, 2019 vol. 10, no. 38, pp.306-327, 2019.

4

Ehsan Hajizadeh, Masoud Mahootchi, "Optimized radial basis function neural network for improving approximate dynamic programming in pricing high dimensional options", Neural Computing and Applications, 2018 vol. 30, no. 6, pp.1783-1794, 2018.

5

Ali Mohammad Kimiagari, Ehsan Hajizadeh, Hossein Dastkhan, Majid Ramezani, "Development a new hybrid modeling approach for European option pricing", International Journal of Industrial Engineering &Amp; Production Research, 2017 vol. 28, no. 1, pp.87-99, 2017.

6

Ehsan Hajizadeh, Abbas Seifi, MH Fazel Zarandi, IB Turksen, "A hybrid modeling approach for forecasting the volatility of S&P 500 index return", Expert Systems With Applications, 2012 vol. 39, no. 1, pp.431-436, 2012.

7

Ehsan Hajizadeh, Hamed Davari Ardakani, Jamal Shahrabi, "Application of data mining techniques in stock markets: A survey", Journal of Economics and International Finance, 2010 vol. 2, no. 7, p.109, 2010.

Conference Papers

1

D. Darigh, E. Hajizadeh, "The Investigation of Asymmetric Herding Behavior in the Tehran Stock Exchange and the Spillover of Herding Behavior from the Iran Commodity Exchange,", the 10th conference on industrial and systems engineering, Sep 2024.

2

Z. Davoodian, E. Hajizadeh, S. Vasighmehr, "Enhancing Fraud Detection in Financial Transactions: A Machine Learning and Blockchain Integration Framework,", The 10th conference on industrial and systems engineering, Sep 2024.

3

Kun Zhang, Haiyan Yu, Senlin Li, Renying Xu, E. Hajizadeh, "Robust Goal Optimization for Healthy Nutrition Tracking with Patients' Dietary Images,", 2024 INFORMS Conference On Service Science, Jun 2024.

4

M. Kamali Alamdari, E. Hajizadeh, A. Fereydooni, "A Hurst exponent analysis approach for investigation of market efficiency during COVID 19 pandemic: A case study from top affected economies,", 8th International Conference on Industrial and Systems Engineering, Mashhad, Iran., Sep 2022.

5

M. Kamali Alamdari, E. Hajizadeh, A. Fereydooni, "A Hurst exponent analysis approach for investigation of market efficiency during COVID 19 pandemic: A case study from top affected economies,", 8th International Conference on Industrial and Systems Engineering, Mashhad, Iran., Sep 2022.

6

M. Rasooli Oskuei, E. Hajizadeh, Mahdis Rasouli Oskouei, "Volatility modeling of cryptocurrencies using GARCH models,", The 18th Iranian International Industrial Engineering Conference (IIIEC2021), Nov 2021.

7

E. Hajizadeh, A. Farahani, "Development of stock portfolio trading system using support vector machine network: A case study in Tehran Stock Exchange,", The 18th Iranian International Industrial Engineering Conference (IIIEC2021), Tehran, Iran., Nov 2021.

8

A. Maleki, E. Hajizadeh, "Investigating the relationship between stock returns and liquidity risk in Tehran Stock Exchange,", 17th International Conference on Industrial Engineering, Feb 2021.

9

A. Abdollahnezhad, E. Hajizadeh, "Estimation and prediction of portfolio risk criteria (CVaR) in different industries of Iran Stock Exchange,", The 13th International Conference of Iranian Operations Research Society, Apr 2020.

10

M. Maleki, E. Hajizadeh, N. Doost Mohammadi, "A deep learning neural network model for predicting Brent crude oil prices,", The 13th International Conference of Iranian Operations Research Society, Apr 2020.

11

N. Doost Mohammadi, E. Hajizadeh, M. Maleki, "A new model based on principal component analysis and recurrent neural network for forecasting stock index,", The 13th International Conference of Iranian Operations Research Society, Apr 2020.

Taught Courses

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Course title

Description

Headlines

Date

1

Financial Markets and Institutions

4051

2

Financial Times Series

4051

3

Management Information Systems

Introduction to Management Information Systems (MIS)

4051

4

Accounting for Managers

4051

5

Corporate Finance

آشنایی با مفاهیم مالی شرکتی، شیوه های تامین منابع مالی و بودجه بندی سرمایه ای شرکت هاIntroduction to corporate finance concepts, Financing methods and capital budgeting for corporat

4042

6

Algorithmic trading

آشنایی با معاملات الگوریتمی، استراتژی های معاملاتی و پیاده سازی آنها Familiarity with algorithmic trading, trading strategies and their implementation

4042

7

Algorithmic trading

4042

8

Management Information System (MIS)

آشنایی با سیستم اطلاعاتی، انواع سیستم های اطلاعاتی

4042

9

Accounting for Managers

4041

10

Principles of Economics

4041

11

Management Information Systems

4041

12

Fundamentals of Economics

4041

13

Financial Times Series

4041

14

Algorithmic trading

4032

15

Corporate Finance

4032

16

Financial Markets and Institutions

4032

17

Macroeconomics

4032