Working paper
Финансовые пузыри как дивергенция цен активов
Proposed a model of financial bubbles and crises based upon the methodology of complex systems analysis. The irrationality of financial investors, as it was well known, had been empirically explained by «the greater fool theory». This process, in modern terms, was represented as the autocatalytic process leading to a system's singularity. It was shown how the procedures (slice and dice) of a CDO synthesis generated the excess growth of the securitized assets value. The latter being coupled with the high le-verage might produce the total collapse of a financial system. On a macrolevel the behaviour the of a system was modeled by a differential equation depending on three parameters. Such an outcome was explained on the system's microlevel as a process of financial percolation which was modeled, quite surprisingly, by the same equation of a Bernoulli type. Invariant constants of percolation were used to estimate different parameters of a model. The model application to the study of 2007-2010 credit crunch has given rise to the impressively coherent results in terms of probabilities and the return time periods of critical events that took place on the global financial markets.
Proposed a model of financial bubbles and crises based upon the methodology of complex systems analysis. It was shown how the procedures (slice and dice) of a CDO synthesis generated the excess growth of the securitized assets value. The latter being coupled with the high leverage might produce the total collapse of a financial system. On a macrolevel of a system its behaviour was modeled by a differential equation depending on three parameters. The irrationality of financial investors, as it was well known, had been empirically explained by «the greater fool theory». This process, in modern terms, was represented as the autocatalytic process leading to a system's singularity. Such an outcome was explained on the system's microlevel as a process of financial percolation which was modeled, quite surprisingly, by the same equation of a Bernoulli type. Invariant constants of percolation were used to estimate different parameters of a model. The model application to the study of 2007-2010 credit crunch has given rise to the impressively coherent results in terms of probabilities and the return time periods of critical events that took place on the global financial markets.
In the paper some prominent features of a modern financial system are studied using the model of leverage dynamics. Asset securitization is considered as a major factor increasing aggregate debt and hence systems uncertainty and instability. A simple macrofinancial model includes a logistic equation of leverage dynamics that reveals origins of a financial bubble, thus corresponding closely to the Minsky financial instability hypothesis. Using ROA, ROE, and the interest rate as parameters, the model provides wide spectrum of leverage and default probability trajectories for the short and long run.
Smoking is a problem, bringing signifi cant social and economic costs to Russiansociety. However, ratifi cation of the World health organization Framework conventionon tobacco control makes it possible to improve Russian legislation accordingto the international standards. So, I describe some measures that should be taken bythe Russian authorities in the nearest future, and I examine their effi ciency. By studyingthe international evidence I analyze the impact of the smoke-free areas, advertisementand sponsorship bans, tax increases, etc. on the prevalence of smoking, cigaretteconsumption and some other indicators. I also investigate the obstacles confrontingthe Russian authorities when they introduce new policy measures and the public attitudetowards these measures. I conclude that there is a number of easy-to-implementanti-smoking activities that need no fi nancial resources but only a political will.
One of the most important indicators of company's success is the increase of its value. The article investigates traditional methods of company's value assessment and the evidence that the application of these methods is incorrect in the new stage of economy. So it is necessary to create a new method of valuation based on the new main sources of company's success that is its intellectual capital.
This proceedings publication is a compilation of selected contributions from the “Third International Conference on the Dynamics of Information Systems” which took place at the University of Florida, Gainesville, February 16–18, 2011. The purpose of this conference was to bring together scientists and engineers from industry, government, and academia in order to exchange new discoveries and results in a broad range of topics relevant to the theory and practice of dynamics of information systems. Dynamics of Information Systems: Mathematical Foundation presents state-of-the art research and is intended for graduate students and researchers interested in some of the most recent discoveries in information theory and dynamical systems. Scientists in other disciplines may also benefit from the applications of new developments to their own area of study.
A form for an unbiased estimate of the coefficient of determination of a linear regression model is obtained. It is calculated by using a sample from a multivariate normal distribution. This estimate is proposed as an alternative criterion for a choice of regression factors.