Abstract The paper reveals the influence of vertical integration on the performance of companies in emerging markets, calculated as Lerner index. The model was developed to estimate the impact of vertically integrated companies, as well as in case of disintegration. The empirical correlation of profitability of companies from BRIC and the factors defining it in case of vertical integration was investigated, which was tested on the data for 2004-2012. Key significant factors in a cut of branches and the countries from BRIC are defined. The study will help to understand whether there is a trend towards diminishing dependency of the efficiency of companies’ performance from the high rate of vertical integration in the emerging capital markets and whether the economy of developing countries is ready to create competitive market conditions with a lot of independent companies in the industries where currently prevails oligopoly. The results of this work will allow companies’ management choose the optimal way of development in the context of possible vertical integration or disintegration transactions in a particular industry. Current research was motivated by trend towards disintegration with the creation of several competitive niche companies instead of one large in developed capital markets. At the same time, the evidences of effectiveness of both independent companies and vertically integrated giants in the industry are stated. To find out which strategy is more effective, this paper analyzes the influence of the vertical integration degree on the efficiency of companies’ performance.
The aim of this paper is to consider some problems with evaluation of the impact of high frequency trading on market liquidity. The first part is devoted to difficulties of disentangling the impact of high frequency on market liquidity from other relevant factors. The remainder of the paper is intended to discuss some issues affecting the evaluation of the influence of high frequency trading on particular aspects of market liquidity.
The article focuses on analysis of the main factors that influence the volume of commodities export and import in BRICS countries. As a key factor destabilizing the trade in commodities during the period of 2007 – 2011 the author identifies price volatility. The author analyses key measures, undertaken by BRICS governments at the national and international level. The author makes a forecast on the future role of BRICS in stabilizing the international trade in commodities and in contributing to food security.
The problem of optimal portfolio liquidation under transaction costs has been widely researched recently, thus producing several approaches to problem formulation and solving. Obtained results can be used for decision making during portfolio selection or automatic trading at high-frequency electronic markets. This work gives a review of modern studies in this field, comparing models and tracking their evolution. The paper also presents results of applying the most recent findings in this field to real MICEX shares high-frequency data and gives an interpretation of the results.
We consider certain spaces of functions on the circle, which naturally appear in harmonic analysis, and superposition operators on these spaces. We study the following question: which functions have the property that each their superposition with a homeomorphism of the circle belongs to a given space? We also study the multidimensional case.
We consider the spaces of functions on the m-dimensional torus, whose Fourier transform is p -summable. We obtain estimates for the norms of the exponential functions deformed by a C1 -smooth phase. The results generalize to the multidimensional case the one-dimensional results obtained by the author earlier in “Quantitative estimates in the Beurling—Helson theorem”, Sbornik: Mathematics, 201:12 (2010), 1811 – 1836.
We consider the spaces of function on the circle whose Fourier transform is p-summable. We obtain estimates for the norms of exponential functions deformed by a C1 -smooth phase.
The paper studies a problem of optimal insurer’s choice of a risk-sharing policy in a dynamic risk model, so-called Cramer-Lundberg process, over infinite time interval. Additional constraints are imposed on residual risks of insureds: on mean value or with probability one. An optimal control problem of minimizing a functional of the form of variation coefficient is solved. We show that: in the first case the optimum is achieved at stop loss insurance policies, in the second case the optimal insurance is a combination of stop loss and deductible policies. It is proved that the obtained results can be easily applied to problems with other optimization criteria: maximization of long-run utility and minimization of probability of a deviation from mean trajectory.