Развитие алгоритмической торговли на мировых финансовых рынках: причины, тенденции и перспективы
Subject. An analysis of programs of state regulators and exchanges which stimulate the development of new market segment – algorithmic trading. There is a proper examination of legislative and technological measures which are adopted in the leading world financial markets.
Aims. An examination of world markets’ experience regarding the stimulation of algorithmic trading’s development allows assessing general perspectives of this way of stock exchanges’ transaction execution. Since the largest financial organizations all over the world re-orient towards implementation of robotized systems for trading, this issue has a peculiar actuality. Understanding of the general features of adopted measures and instruments may lead to introduction of the best practices in the domestic stock market.
Methodology. An analysis of relevant legislation, internal stock exchanges’ orders, experts’ opinions was conducted; systematization of information in this sphere was provided.
Results. In the course of the research it was demonstrated that adopted legislative and technological measures favored the successive development of algorithmic trading’s segment. Their peculiarities show the regulators and exchanges’ interest in further development of algorithmic trading operations.
Findings. It was demonstrated that the observed character of measures of algorithmic trading’s stimulation represents the general tendency of stock markets’ transfer to total automatization of trading operations’ execution with the use of robotized systems. Applied regulatory measures towards this segment mostly exert significant positive effect on its development. As a result, further increase of algorithmic trading systems’ importance may be expected and, consequently, the strengthening of that exerted impact on market trading. Obtained results in the present paper may be used by specialists of regulatory organizations, stock exchanges, and by employees of investment and brokerage companies which employ algorithmic systems for market transactions.
The article describes proposed by the authors methodology of analysis of the Russian mutual funds. The aim of this methodology is to find out how attractive they are to investors and if they are able to provide the possibility of obtaining higher returns with less risk than the market in general. The study determines what type of fund management (active or passive) is more optimal. It also explains the effectiveness of focusing on past performance of the funds for making future investments. In addition, the ability of the management companies to repeat their past results is analyzed. Moreover, it is shown if it makes sense to focus on management companies that achieved the best results in the past while making decisions about future investments. These and other results achieved in this article reveal the features of the Russian market of collective investments and allow investors to form more competent policy of mutual funds’ investments. The methodology proposed by the authors is universal. Its application for the analysis of the other markets of collective investments will allow revealing their features.
The present article is devoted to consideration of investment strategy in stock market. The questions connected with designing of such strategy are systemically considered in it. The emphasis is thus placed on adaptation of the general (managerial) theory of engineering to engineering of investment strategy. Engineering of investment strategy is considered in indissoluble interrelation with the analysis of their typology. The most actual types and directions of engineering of investment strategy are characterized in the conclusion of article.
Random matrix theory (RMT) is applied to investigate the cross-correlation matrix of a financial time series in four different stock markets: Russian, American, German, and Chinese. The deviations of distribution of eigenvalues of market correlation matrix from RMT global regime are investigated. Specific properties of each market are observed and discussed.
Thriving development of new market segment – algorithmic trading, resulted in the case that nowadays it exerts rather significant influence on the process of market’s price formation. It is noted not only in the leading world stock exchanges but also in the domestic market. Unfortunately, the development of this segment often causes the rise of negative consequences for markets, and Russian market is no exception. The following paper is dedicated to the revelation of negative effects of algorithmic trading’s spreading in the Russian stock market.
Smoking is a problem, bringing signifi cant social and economic costs to Russiansociety. However, ratifi cation of the World health organization Framework conventionon tobacco control makes it possible to improve Russian legislation accordingto the international standards. So, I describe some measures that should be taken bythe Russian authorities in the nearest future, and I examine their effi ciency. By studyingthe international evidence I analyze the impact of the smoke-free areas, advertisementand sponsorship bans, tax increases, etc. on the prevalence of smoking, cigaretteconsumption and some other indicators. I also investigate the obstacles confrontingthe Russian authorities when they introduce new policy measures and the public attitudetowards these measures. I conclude that there is a number of easy-to-implementanti-smoking activities that need no fi nancial resources but only a political will.
One of the most important indicators of company's success is the increase of its value. The article investigates traditional methods of company's value assessment and the evidence that the application of these methods is incorrect in the new stage of economy. So it is necessary to create a new method of valuation based on the new main sources of company's success that is its intellectual capital.