Исследование конфликтности и детерминант точности прогнозов в рекомендациях российских финансовых аналитиков
In this paper, we empirically test the dependence of the Russian stock market on the world stock market, world oil prices and Russian political and economic news during the period 2001–2010. We find that oil prices are not significant after 2006, and the Japan stock index is significant over the whole period, since it is the nearest market index in terms of closing time to the Russian stock index. We find that political news like the Yukos arrests or news on the Georgian war have a short-term impact, since there are many other shocks. These factors confirm the structural instability of the Russian financial market.
Measuring indirect importance of various attributes is a very common task in marketing analysis for which researchers use correlation and regression techniques. We have listed and illustrated some common problems with widely used latent importance measures. A more theoretically sound approach - the Shapley Value decomposition - was applied to a rich data set of US internet stores. The use of store-level data instead of respondent-level data allowed us to reveal the factors, which are powerful in explaining, why some stores have higher rates of willingness to make repeat purchases than the others. By confronting the indirect importance and performance measures for three different internet stores, we have revealed strengths, weaknesses, attributes that the company should bring customers' attention to and attributes that do not require immediate improvement.
The conflict measures induced by the conjunctive and disjunctive combining rules are studied in this paper in the framework of evidence theory. The coherence of conflict measures with combining rules is introduced and studied. In addition, the structure of conjunctive and disjunctive conflict measures is studied in the paper. In particular, it is shown that the metric and entropy components can be distinguished in such measures. Moreover, these components are changed differently after combining of the bodies of evidence.
The aim of this article is to prove the evidence of cross sectional momentum effect in Russian stock market within the variety of momentum strategy design elements and disclosure of the momentum effect nature.
We use a Markov chains models for the analysis of Russian stock market. First problem studied in the paper is the multiperiod portfolio optimization. We show that known approaches applied for the Russian stock market produce the phenomena of non stability and propose a new methods in order to smooth it. The second problem addressed in the paper is a structural changes on the Russian stock market after the financial crisis of 2008.We propose a hidden Markov chains model to analyse a structural changes and apply it for the Russian stock market.
Measuring indirect importance of various attributes is a very common task in marketing analysis for which researchers use correlation and regression techniques. We have listed and illustrated some common problems with widely used latent importance measures. A more theoretically sound approach – the Shapley Value decomposition – was applied to a rich data set of US internet stores. The use of store-level data instead of respondent-level data allowed us to reveal the factors, which are powerful in explaining, why some stores have higher rates of willingness to make repeat purchases than the others. By confronting the indirect importance and performance measures for three different internet stores, we have revealed strengths, weaknesses, attributes that the company should bring customers’ attention to and attributes improvement of which is not of a high priority.
This book constitutes the refereed proceedings of the 5th International Conference on Belief Functions, BELIEF 2018, held in Compiègne, France, in September 2018.The 33 revised regular papers presented in this book were carefully selected and reviewed from 73 submissions. The papers were solicited on theoretical aspects (including for example statistical inference, mathematical foundations, continuous belief functions) as well as on applications in various areas including classification, statistics, data fusion, network analysis and intelligent vehicles.
In this paper we consider choice problems under the assumption that the preferences of the decision maker are expressed in the form of a parametric partial weak order without assuming the existence of any value function. We investigate both the sensitivity (stability) of each non-dominated solution with respect to the changes of parameters of this order, and the sensitivity of the set of non-dominated solutions as a whole to similar changes. We show that this type of sensitivity analysis can be performed by employing techniques of linear programming.
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.