Application of the Nonlinear Oscillations Theory to the Study of Non-equilibrium Financial Market
The research deals with the construction, implementation and analysis of the model of non-equilibrium financial market using econophysical approach and the theory of nonlinear oscillations. We used scaled variation of supply and demand prices and elasticity of these two variables as dynamic variables in the simulation of the nonequilibrium financial market. View of the dynamical variables data was determined on the strength of econophysical prerequisites using the model of hydrodynamic type. As a result, we found that non-equilibrium market can be described with a good degree of accuracy with oscillator models with nonlinear rigidity and self-oscillating system with inertial self-excitation. The most important states of model of oscillation non-equilibrium model of the market were found, including the appearance of chaos and its mechanisms.
The assessment of decision-making strategies based mainly on the reflection and self-evaluation of the choice does not allow predicting and, therefore, learning the ways of decision strategies management in personally important situations or in any way connected with great risk. Selection sequence of solutions, the subjective assessment of selected and rejected alternatives, assessment of the results achieved after each selection allowed to diagnose the examinee’s attitude to his or her emotional responding to the specifics of the situation and ways of coping. Object: financial sector experts Subject: the decision making process in the situation of emotional risk alternatives selection. Tasks were: · Analyze the current approaches to the evaluation of decision-making in situations where the choice is connected with emotions; · Compare the existing methods of evaluation of emotional component in decision-making; · Develop an assessment procedure for the emotional risk management in the decision making process. · Approbation of the developed procedure on the financial experts, comparing the results with the evaluation of the decision and emotional state. Results were effective work strategies for the decision-specific specialist of the financial sector.
The article represents a review of the different theories of financial bubbles developed within modern financial theory. It is a concluding article in a series of three articles devoted to the theoretical foundations of financial bubbles. The previous articles are published in the e-journal The Corporate Finance, vol. 13-14, # 1-3, 2010.
In this monograph revealed the key theoretical and practical issues in the field of investment projects funding with financial market instruments used by the real sector corporations. The authors proposed a scientific model of forecasting the level of interest rates in the economy with the aim of building plans for its activities, and also provides a mechanism to identify the most effective instrument of investment project funding. The main provisions are designed for the real sector of corporate economy. The authors have discussed in detail the tools of state regulation of the process of interaction between the financial and real sectors and put forward recommendations to address the shortcomings in the existing regulation. This monograph is intended for students, teachers and researchers, as well as professionals working in the field of financial management in business organizations.
Monograph by S. Khasyanova «Upgrading Banking Regulation and Supervision in Russia in the line with International Standards» is devoted to the study of the development of banking regulation and supervision in Russia on the basis of international principles and standards. The process of implementation of international principles and standards of banking regulation in the Russian Federation and the following consequences are analyzed in the context of financial stability. Particular attention is paid to macroeconomic regulation and development of prudential regulations and requirements for banks, taking into account banking sector peculiarities. The regulation of systemic risk, identification of systemically important banks and applied to them a particular regulatory regime were investigated. The Deposit Insurance System and its role in enhancing the stability of banks as well as its directions of improvement are also considered in the study. The book is intended for professionals in the field of finance and banking, teachers and students of universities’ economic and financial departments.
Financial markets tend to demonstrate extreme events in prices dynamics, among those are jumps leading to drastic prices’ changes and even regimes switching as well as for some instruments and for the markets overall.
Effective forecasting of price dynamics and actions planning by the market participants doesn’t necessary demand exact future price trajectories extrapolation, but estimation of duration of time periods, during which the prices won’t fall down more than a given mark could be enough.
In the paper an approach to forecasting durations between consequent market crashes is suggested. A significant autocorrelation was found in durations between crashes of DJIA during more than last 80 years. These autocorrelation allowed estimating a series of autoregressive conditional duration models to forecast time periods before next index crash. The models demonstrate significant forecasting power, especially in situations when consequent crashes appear rather frequently.
The text-book consists of 5 chapters, which deals with key aspects of methodology and research techniques in economic research in general, at regional level and in main economic sectors - state and corporate, including financial one.
Intended for use by pastgraduate students, majoring in Economics (38.06.01), professors of economic universities and all those, who are interested in scientific problems of economics.
We consider multistage bidding models where two types of risky assets (shares) are traded between two agents that have different information on the liquidation prices of traded assets. These prices are random integer variables that are determined by the initial chance move according to a probability distribution p over the two-dimensional integer lattice that is known to both players. Player 1 is informed on the prices of both types of shares, but Player 2 is not. The bids may take any integer value.
The model of n-stage bidding is reduced to a zero-sum repeated game with lack of information on one side. We show that, if liquidation prices of shares have finite variances, then the sequence of values of n-step games is bounded. This makes it reasonable to consider the bidding of unlimited duration that is reduced to the infinite game G1(p). We offer the solutions for these games.
We begin with constructing solutions for these games with distributions p having two and three-point supports. Next, we build the optimal strategies of Player 1 for bidding games G1(p) with arbitrary distributions p as convex combinations of his optimal strategies for such games with distributions having two- and three-point supports. To do this we construct the symmetric representation of probability distributions with fixed integer expectation vectors as a convex combination of distributions with not more than three-point supports and with the same expectation vectors.