Макрофинансы: модель пузыря и кризиса
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.
Let G be a connected semisimple algebraic group over an algebraically closed field k. In 1965 R. Steinberg proved that if G is simply connected, then in G there exists a closed irreducible cross-section of the set of closures of regular conjugacy classes. We prove that in arbitrary G such a cross-section exists if and only if the universal covering isogeny of G is bijective; this answers Grothendieck's question. In particular, for char(k)=0, the converse to Steinberg's theorem holds. The existence of a cross-section in G implies, at least for char(k)=0, that the algebra k[G]^G of class functions on G is generated by rk(G) elements. We describe, for arbitrary G, a minimal generating set of k[G]^G and that of the representation ring of G and answer two Grothendieck's questions on constructing generating sets of k[G]^G. We prove the existence of a rational (i.e., local) section of the quotient morphism for arbitrary G and the existence of a rational cross-section in G; this answers the other Grothendieck's question.
This book introduces a 'Big History' perspective to understand the acceleration of social, technological and economic trends towards a near-term singularity, marking a radical turning point in the evolution of our planet. It traces the emergence of accelerating innovation rates through global history and highlights major historical transformations throughout the evolution of life, humans, and civilization. The authors pursue an interdisciplinary approach, also drawing on concepts from physics and evolutionary biology, to offer potential models of the underlying mechanisms driving this acceleration, along with potential clues on how it might progress. The contributions gathered here are divided into five parts, the first of which studies historical mega-trends in relation to a variety of aspects including technology, population, energy, and information. The second part is dedicated to a variety of models that can help understand the potential mechanisms, and support extrapolation. In turn, the third part explores various potential future scenarios, along with the paths and decisions that are required. The fourth part presents philosophical perspectives on the potential deeper meaning and implications of the trend towards singularity, while the fifth and last part discusses the implications of the Search for Extraterrestrial Intelligence (SETI). Given its scope, the book will appeal to scholars from various disciplines interested in historical trends, technological change and evolutionary processes.
Using mathematical modeling, we consider the phenomenon of singularity in the biological and social history. It is shown that hyperbolic trends in biological and social evolution can be explained by transitional processes that accompany the expansion of ecological niches due to periodically occurring revolutionary innovations. During these periods, strong positive feedbacks are actualized, leading to hyperbolic growth. However, this growth is then inhibited, and the system goes into a new qualitative state. Then, there is a relatively slow development of the updated system with a gradual accumulation of quantitative characteristics and a new innovative breakthrough. This cycle then repeats multiple times. In this regard, the system’s hyperbolic growth trends indicate the transitivity of its current state, while the time of singularity in this hyperbolic trend indicates the end of the transition process.
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.