Оптимизация алгоритмических торговых систем фондового рынка
Importance The article considers the features of terrorist attacks, which have an impact on stock indices.It analyzes 117 terrorist attacks committed in different countries within 1988–2016. Objectives The research assesses how terrorist attacks influence stock index trends. It will enable market agents make better decisions and avoid excessive losses, reduce negative reaction of the market in general, and helpthe national financial system minimize the adverse consequences of terrorist attacks. Methods We employ historical-logical, graphical, statistical methods and a comparative analysis to describean impact of different aspects of terrorist attacks on the dynamics of stock indices. We also systematize analytical information in this area. Results The findings show that the impact of terrorist attacks on stock index dynamics depends on various factors, i.e. the number of victims, level of country’s economic development, day of terrorist attack, etc. We found out that the market trend before a terrorist attack had a significant influence on stock index movement after the attack.Terrorist attacks influence industries in a different way. Conclusions and Relevance Terrorist attacks mostly have a dramatic impact on the dynamics of stock indices. However, the influence is often insignificant and impermanent. Therefore, investors should refrain from ill-judged financial decisions to avoid losses. The findings may be useful for investors, market makers and other market participants.
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.
The imposition of sanctions by foreign countries against Russia since 2014 and their prolongation for the following several years resulted in significant changes in Russian economics. In the first instance, economic sanctions were aimed towards the weakening of companies by banning exports and imports of certain goods, closeout or suspension of joint venture projects, as well as limiting the provision of financing. However, one can postulate that these sanctions influenced the companies to different extents. This research offers an analysis of the changes in share prices of Russian public companies of the MICEX index in response to sanctions against Russia in 2014–2016. The research methodology is based on the event study approach, which allows estimation of a short-term response of the shares’ prices to information release. The results of this paper confirm that imposition and prolongation of sanctions resulted in a significant fall in share prices. With an average daily return on shares of the Russian stock market companies of 0.1%, a fall in return of 0.17% points per day as a result of the imposition of sanctions by the USA is economically significant. Apart from that, the sanctions influenced financially dependent companies to a greater extent. Contrary to theoretical assumptions of a greater influence of sanctions imposed by the countries with which a more close economic cooperation had been established, it transpired that the imposition of sanctions by the USA resulted in the greatest fall in prices for shares. Also, an important result indicated in this paper is the fact that imposition of targeted sanctions against certain companies has not entailed a greater impact of the sanctions on such companies. This is indicative of the ineffectiveness of targeted sanctions imposed on Russia. The influence of the government share in ownership of companies and the differences of response of the shares’ prices depending on the company industry sector have not been confirmed.
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.