Book chapter
Estimation of Market Resiliency from High-Frequency Micex Shares Trading Data
This article presents an engineering approach to estimating market resiliency based on analysis of the dynamics of a liquidity index. The method provides formal criteria for defining a “liquidity shock” on the market and can be used to obtain resiliency-related statistics for further research and estimation of this liquidity aspect. The developed algorithm uses the results of a spline approximation for observational data and allows a theoretical interpretation of the results. The method was applied to real data resulting in estimation of market resiliency for the given period.
In book
The problem of optimal portfolio liquidation under transaction costs has been widely researched recently, thus producing several approaches to problem formulation and solving. Obtained results can be used for decision making during portfolio selection or automatic trading at high-frequency electronic markets. This work gives a review of modern studies in this field, comparing models and tracking their evolution. The paper also presents results of applying the most recent findings in this field to real MICEX shares high-frequency data and gives an interpretation of the results.
Argentina, the second largest country in Latin America, hardly recovered form the recession of the year 2001, faces the crisis again in 2008. First of all, the crisis affected the credit and banking sphere of the country, reducing the volumes of credit and deposit. But during the crisis, Argentina managed to carry out the restructuring of the financial system. The Global financial and economic crisis has shown the importance of the investors' confidence.
The article gives an overview of influence of stock market discrimination on market value of companies in China. There are two types of shares on Chinese stock market: class A shares, which are available for domestic investors, and class B shares, which are available for foreign investors. Such market structure is not a unique Chinese market's feature. It is also used in such countries as Finland, Singapore, Switzerland, Thailand, etc. What differs Chinese market from markets with similar structure is the fact that class B shares are traded with substantial discount to class A shares. Such a situation is explained by such factors informational asymmetry between domestic and foreign investors; different liquidity of different classes of shares; diversification effect, connected with investment in Chinese stock market; size of companies; ratio of amounts of shares of different classes; stock exchange where company's shares are traded.
The paper presents a review of stochastic framework for term structure modeling and shows comparative advantages of commonly used techniques. The main application of the research is coherent modeling of credit and interest rate risk for Euro zone issuers.
The paper aims to investigate the process of establishing distribution network. The paper takes network paradigm as a main basis of investigation looking at the development of distribution networks in Russian chemical industry.
In modern world enterprises need to be agile in their operation and structure to react to changes quickly. One of the open questions here is how to develop the enterprise, or, to be more precise, if enterprise needs to be developed, and if yes, in which way. In this research we are focusing on the case when enterprise stakeholders understand the need of enterprise development, have ideas for that, and they need decision support method to understand if enterprise restructuring is likely to be successful and cost effective. Another covered topic is how to choose the best option for restructuring from variety provided. In this paper we describe the developed decision support method which combines DEMO methodology and transaction costs theory for quantitative costs estimation. To make this method applicable and reproducible we proposed few enhancements to DEMO notation.
In this paper we investigate how asymmetric information and informed trading influences liquidity and how liquidity influences asset pricing on the Russian stock market in 1998-2011. We use a battery of existing liquidity proxies as well as our own modification of Lesmond et al. (1999) measure and capture informed trading through positive daily return autocorrelation. We find that asymmetric information worsens liquidity, whereas no supportive evidence of adverse impact of informed trading can be discovered, which could be partly due to a weak proxy. Furthermore, liquidity, along with market risk, seems to be the major driver of asset pricing on the Russian stock market. This result, however, is not robust to specifying liquidity as characteristic rather than factor.