Сравнение эффективности статистического арбитража на фондовом рынке и рынке криптовалют
Over the past few years, the crypto-currency market has been developing rapidly. Large investments in this industry were accompanied by a lot of speculation from private investors. If we talk about the traditional stock market, then in today's trading you could observe quite a lot of trading strategies. They are divided into both the holding time of the position and the way the signal is determined to open the position. A special place is occupied by statistical arbitrage. In this article, we will consider the possibility of applying statistical arbitrage in the market of crypto-currencies, and comparing its effectiveness with the use in traditional exchanges, or rather - in the US stock market.
The use of crypto currency and blockchain technology is very controversial, but at the same time a popular and actively discussed direction in today's financial world. For state regulators in many countries, this issue has become one of the key - and this is entirely justified, since the rapid development of cryptotechnologies can fundamentally change the world financial system in a very short time. One of the most acute issues in this area is the legislative regulation of the Crypto-currency. From how it will be conducted and how quickly it will be implemented, the development of the global financial system as a whole depends on the key. Therefore, in the framework of this work, the authors set out to determine possible directions for the development of the use of cryptotechnologies in the financial world and describe the role of legislative regulation in this matter. It should be noted that the practice of legislative regulation of crypto-currencies is still very small, but understanding the general trends in this area allows us to characterize quite clearly the general position of world regulators regarding the use of crypto-technologies in the financial world.
Retail forex is an expensive non-regulated gambling industry. Both huge leverage and intraday unpredictability create lottery-like risk profile: most traders lose in futile hope to win. Retail forex is grabbing other people’s money pretending to be a financial market. Like casinos it exploits human errors of judgment. Considering no social use its better to prohibit such activity rather than trying to regulate it. Results are based on simulation of zero intelligence traders.
In most cases the ultimate goal of a bank is profit maximization. That depends on what derivatives one uses. Thus the objective of this research is to examine the relationship between a bank’s value and characteristics of derivatives it subscribed to. The financials from 2005 to 2010 of 130 European public banks countries are examined. The study is based on two sets of data: the
first one contains the accounting data on balance sheets and the profit and loss accounts from Bankscope from 2005 to 2010, while the second one includes the manually collected data from the notes to the financial statement disclosures. Regression analysis is used to trace the impact of derivative use on bank’s value. Time effects and cross-country differences are controlled for.
Two key research implications are as follows. The return on hedging derivatives is positively associated with the growth in bank’s stock returns, whereas trading derivatives’ notional value negatively impacts both Tobin’s q and ROAA, and positively impacts risk of the bank’s stocks.
The article is devoted to a new approach for the Russian market, aimed at predicting the prices of financial assets and making market operations - a statistical arbitrage. Despite the fact that the western markets, investors have long been actively using the methods of statistical arbitrage, in Russia they have not yet received adequate distribution. The authors reveal the essence of this approach and demonstrated its effectiveness 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.