Влияние широкого распространения алгоритмической торговли на современные фондовые рынки
The article is dedicated to historical analysis of crimes committed on securities market till the 20th century. Important part of the article is indication of economic conditions. Thanks for it the meaning of legal acts becomes clear. The author concludes on existence the developed securities market and necessary criminal rules to its protection.
The most important factors of successful trading strategy are the decisions to sell or buy. We propose multi-classifier system for decision making in algorithmic trading, whose training is carried out in three stages. At the first stage, features set is calculated based on historical data. These can be oscillators and moments that used in technical analysis, other characteristics of time series, market indexes, etc. At the second stage, base classifiers are trained using genetic algorithms, and optimal feature set for each of them is selected. At the third stage, a voting ensemble is designed, weights of base classifiers are selected also using genetic algorithms. However, the usage of genetic algorithms requires considerable time for computing, so the proposed system is implemented in a parallel environment. Testing on real data confirmed that the proposed approach allows to build a decision-making system, the results of which significantly exceed the trading strategies based on indicators of technical analysis and other techniques of machine learning.
The article is dedicated to research fraud on securities market committed in the time of its circulation. As rule, acts of guilty are qualified by article 159 of the Criminal Code of Russian Federation. It is permitted by Resolution of the Plenum of the Supreme Court of Russian Federation. But it’s right not always whereby there isn’t consensus in the science of criminal law on the matter. So the article includes jurisprudence fraud against property and fraud on securities market. Thanks for it distinction between such field are clear. The author conclusions that to incriminate acts of person under article 159 of the Criminal Code of Russian Federation is unlawfully in some cases. It points to need of establishing article in Chapter 22 of the Criminal Code of Russian Federation which has the purpose to protect the economic activity from fraud in this field. For it the work presents defense of elements of fraud against property and fraud committed on economics and securities market as its part.
The article is dedicated of problems of criminal law regulation of securities market.The concept of criminal law mechanism its protection is offered.
The paper examines the structure, governance, and balance sheets of state-controlled banks in Russia, which accounted for over 55 percent of the total assets in the country's banking system in early 2012. The author offers a credible estimate of the size of the country's state banking sector by including banks that are indirectly owned by public organizations. Contrary to some predictions based on the theoretical literature on economic transition, he explains the relatively high profitability and efficiency of Russian state-controlled banks by pointing to their competitive position in such functions as acquisition and disposal of assets on behalf of the government. Also suggested in the paper is a different way of looking at market concentration in Russia (by consolidating the market shares of core state-controlled banks), which produces a picture of a more concentrated market than officially reported. Lastly, one of the author's interesting conclusions is that China provides a better benchmark than the formerly centrally planned economies of Central and Eastern Europe by which to assess the viability of state ownership of banks in Russia and to evaluate the country's banking sector.
The paper examines the principles for the supervision of financial conglomerates proposed by BCBS in the consultative document published in December 2011. Moreover, the article proposes a number of suggestions worked out by the authors within the HSE research team.