Исследование проблемы неопределенности цен в динамических моделях общего экономического равновесия
The Strategic Market Game (SMG) is the general equilibrium mechanism of strategic reallocation of resources. It was suggested by Shapley and Shubik in a series of papers in the 70s and it is one of the fundamentals of contemporary monetary macroeconomics with endogenous demand for money. This survey highlights features of the SMG and some of the most important current applications of SMGs, especially for monetary macroeconomic analysis.
Research of nonlinear dynamics of finance series has been widely discussed in literature since the 1980s with chaos theory as the theoretical background. Chaos methods have been applied to the S&P 500 stock index, stock returns from the UK and American markets, and portfolio returns. This work reviews modern methods as indicators of nonlinear stochastic behavior and also shows some empirical results for MICEX stock market high-frequency microstructure variables such as stock price and return, price change, spread and relative spread. It also implements recently developed recurrence quantification analysis approaches to visualize patterns and dependency in microstructure data.