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Of all publications in the section: 3 879
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Working paper
Aleskerov F. T., Keskinbaev A., Penikas H. I. Financial Economics. FE. Высшая школа экономики, 2012. No. 04.
The Basel Committee introduced countercyclical capital buffers in order to mitigate the effects of bank capital procyclicality, which is to say the decrease in the capital adequacy of banks in economic downturns. The ratio of loans to GDP was taken as the proxy for the economic cycle signaling variable. Nevertheless, Repullo and Saurina (2011) have proven that the credit-to-GDP ratio is not as accurate at predicting the stage of economic cycle as the GDP growth rate. They proposed a theoretical framework for capital buffer calculations based on GDP growth rate dynamics. We extend the countercyclical capital buffer analysis in two directions. First, empirical criteria to implement Repullo and Saurina’s model are proposed and justified. Second, the countercyclical capital buffer parameter, is then differentiated according to clusters of countries that display homogeneous patterns of macroeconomic variables dynamics. Lastly, the countercyclical capital buffers based on the Basel Committee’s approach and on the Repullo and Saurina model are then compared.
Added: Jul 9, 2012
Working paper
Bessmertnaya O. Basic research program. WP BRP. National Research University Higher School of Economics, 2017. No. 158/HUM/2017.
The paper discusses constructing various versions of Muslim identity by politically opposite actors, the government and Muslim activists, involved in ‘placing’ Muslims in modernizing late-imperial Russia. The problem is approached through the extreme case of M.-B. Hadjetlaché (ca 1870-1929), a baptized Jew reinventing himself as Circassian and Muslim and as such working as a State agent against Muslim opposition and vice versa. His strategies of deceit and reasons to trust him in different cultural and political milieus reveal reciprocal and often shared Orientalisms of the ‘regimes of truth’ defining the processes under study.
Added: Nov 15, 2017
Working paper
Pikalova A. G., Mazurin A. SEARCH Working Paper. WP4. Университет Барселоны, 2013. No. WP4/14.
Added: Mar 29, 2013
Working paper
Rozanova N. M., Avdasheva S. B. EERC Working Paper Series. Economics Education and Research Consortium, 1999. No. 99/01.
Added: Jan 14, 2015
Working paper
Markovskaya E., Anoshkina E. Social Science Research Network. Social Science Research Network. SSRN, 2016
Authors analyze the differences between the influence of the foreign direct investments on the economic growth in the developed and developing countries. For the model of the GDP on the foreign direct investments for the developed countries the following data are used: observations for the 10 countries during 1983-2013. For the model of the GDP on the foreign direct investments for the developing countries the following data are used: observations for the 11 countries during 1994-2013. Investigators conclude that the influence of the foreign direct investments on the economic growth definitely has the positive effect in both cases. However, the degree of this influence depends on the type of the country. The developing countries get the smaller effect from the foreign direct investments because of the non-transparent institutional environment and negative influence of other non-economic factors. These findings provide an opportunity to judge that in developed countries, institutional and economic environment and, most of all, human capital allow you to get the full effect of FDI, that is, as capital accumulation and spill-over effects. In developing countries, there should be thresholds to reduce effects of FDI, such as insufficient human capital and poor economic and institutional environment. Thus, the impact of FDI on economic growth is certainly positive, however the level of this effect depends on country characteristics. That is, the hypothesis that FDI affects developing countries less than developed, due to the existence of thresholds in the form of unhealthy institutional and economic environment were confirmed.
Added: Dec 26, 2016
Working paper
Peter Shnurkov, Daniil Novikov. Working papers by Cornell University. Cornell University, 2018
The paper proposes a new stochastic intervention control model conducted in various commodity and stock markets. The essence of the phenomenon of intervention is described in accordance with current economic theory. A review of papers on intervention research has been made. A general construction of the stochastic intervention model was developed as a Markov process with discrete time, controlled at the time it hits the boundary of a given subset of a set of states. Thus, the problem of optimal control of interventions is reduced to a theoretical problem of control by the specified process or the problem of tuning. A general solution of the tuning problem for a model with discrete time is obtained. It is proved that the optimal control in such a problem is deterministic and is determined by the global maximum point of the function of two discrete variables, for which an explicit analytical representation is obtained. It is noted that the solution of the stochastic tuning problem can be used as a basis for solving control problems of various technical systems in which there is a need to maintain some main parameter in a given set of its values.
Added: Dec 3, 2018
Working paper
Rovinsky M. arxiv.org. math. Cornell University, 2016
Let K be a field and G be a group of its automorphisms. If K is algebraic over the subfield KG fixed by G then, according to Hilbert's Theorem 90, any smooth (i.e. with open stabilizers) K-semilinear representation of the group G is isomorphic to a direct sum of copies of K. If K is not algebraic over KG then there exist non-semisimple smooth semilinear representations of G over K, so Hilbert's Theorem 90 does not hold. Let now G be the group of all permutations of an infinite set S acting naturally on the field k(S) freely generated over a subfield k by the set S. The goal of this note is to present three examples of G-invariant subfields K\subseteq k(S) such that the smooth K-semilinear representations of G of {\sl finite length} admit an explicit description, close to Hilbert's Theorem 90. Namely, (i) if K=k(S) then any smooth K-semilinear representation of G of finite length is isomorphic to a direct sum of copies of K, (ii) if K\subset k(S) is the subfield of rational homogeneous functions of degree 0 then any smooth K-semilinear representation of G of finite length splits into a direct sum of one-dimensional K-semilinear representations of G, (iii) if K\subset k(S) is the subfield generated over k by x-y for all x,y\in S then there is a unique isomorphism class of indecomposable smooth K-semilinear representations of G of each given finite length.  
Added: Nov 16, 2015
Working paper
Nedelko A., Лупова О. А., Gorin A. et al. PSYCHOLOGY. WP BRP. Издательский дом НИУ ВШЭ, 2017. No. 77.
In this paper, a novel application of the event-related potential (ERP) method is proposed. The authors applied an N400 evoked potential for brand perception analysis, particularly for brand associations. Traditionally, N400 has been used as a marker of semantic incongruence of a word to a context. The N400 activity is manifested in a more negative deflection of ERP response to incongruent stimuli. We recorded N400 in response to congruent and incongruent sentence endings in marketing and non-marketing contexts, respectively. In the main experimental condition, congruent and incongruent brand associations (nouns) presented before brand names were selected from real marketing campaigns building brand communities. In the control semantic memory N400 condition, the incongruent sentence endings evoked significant fronto- centrally distributed N400 brain response at 300–500 ms. The N400 response in the brand association condition was delayed for 250 ms compared to incongruent words in the context of short sentences and appeared in the central brain area. In this study, we showed for the first time the possibility of applying the N400 method to identify the strength of brand associations using ecologically valid stimuli.   
Added: Nov 30, 2017
Working paper
Rodionova L., Kopnova E. Basic research program. WP BRP. National Research University Higher School of Economics, 2017. No. 166/EC/2017.
This paper investigates the issue of food security as the basis for stable economic development using the example of North Africa. A statistical analysis of economic and financial factors in relation to the determinants of food security was carried out using a panel cointegrating model based on official international statistics of the Food and Agriculture Organization (FAO) and the World Bank for 1991-2014. According to the results, population growth and the intensification of agricultural production, foreign trade and foreign direct investment play a crucial role in food security. The study revealed the relationship between food security and the development of the banking and financial systems in the region, and their degree of globalization. The strategy of a long-term investment policy pursued by the World Bank and FAO to combat hunger and poverty was justified. The methodology proposed can be used to monitor and evaluate the effectiveness of policies to maintain food security in the regions of Africa.
Added: Jul 3, 2017
Working paper
Sergey S. Ketkov, Oleg A. Prokopyev, Evgenii P. Burashnikov. arxiv.org. Computer Science. Cornell University, 2019. No. 1910.08744.
In this study we consider the shortest path problem, where the arc costs are subject to distributional uncertainty. Basically, the decision-maker attempts to minimize her worst-case expected regret over an ambiguity set (or a family) of candidate distributions that are consistent with the decision-maker’s initial information. The ambiguity set is formed by all distributions that satisfy prescribed linear first-order moment constraints with respect to subsets of arcs and individual probability constraints with respect to particular arcs. Our distributional constraints can be constructed in a unified manner from real-life data observations. In particular, the decision-maker may collect some new distributional information and thereby improve her solutions in the subsequent decision epochs. Under some additional assumptions the resulting distributionally robust shortest path problem (DRSPP) admits equivalent robust and mixedinteger programming (MIP) reformulations. The robust reformulation is shown to be strongly NP-hard, whereas the problem without the first-order moment constraints is proved to be polynomially solvable. We perform numerical experiments to illustrate the advantages of the proposed approach; we also demonstrate that the MIP reformulation of DRSPP can be solved reasonably fast using off-the-shelf solvers.
Added: Oct 23, 2019
Working paper
Yury Dranev, Sofya Fomkina. Financial Economics. FE. Высшая школа экономики, 2012. No. 12/FE/2012.
  The choice of an appropriate model for the estimation of the cost of equity in emerging markets is still a very challenging problem. Market inefficiency, limited opportunities for diversification, as well as liquidity issues inspire researches to look for risk characteristics beyond the traditional framework of the classical capital asset pricing model. Various models have been developed over the past several decades proposing new ways of risk assessment. However, the empirical evidence of these models requires careful consideration. Most asset pricing models were developed in terms of either a symmetric mean-variance or a folded mean-semivariance framework. These models have several drawbacks in capturing investors’ attitudes to stock price movements. We provide a brief description of the recently proposed entropic risk characteristics which assign greater weight to the downside movements of asset prices and smaller weight to the upside movements. The goal of this study is to determine which model has better explanatory power for returns in the Russian capital market. We compare the performance of risk measures in the Russian stock market on a dataset of 63 stocks for the period from 2003 to 2012. Empirical results show certain advantages of entropic risk characteristics over other risk measures in explaining returns on Russian equities.
Added: Feb 28, 2013
Working paper
Kochetkov Y. math. arxive. Cornell University, 2018. No. 1803.00811.
We present an easy proof of Polya's theorem on random walks: with the probability one a random walk on the two-dimensional lattice returns to the starting point.
Added: Mar 6, 2018
Working paper
Skorobogatov A. Высшая школа экономики, 2012

The principal result of this research is that the valuable skills have a negative and significant effect on alcohol abuse. We found that a higher professional level is consistent with a stronger negative relationship between earnings and alcohol-related behaviors and problems. The explanation of the result is proposed in that the pecuniary losses imposed on an individual by alcohol-related physical inability are positively conditioned by the valuable skills.

Added: Oct 8, 2012
Working paper
Batsyn M.V., Kalyagin V.A., Tulyakov D. Институт прикладной математики им. М.В. Келдыша Российской академии наук, 2015. No. 91.
The Protein Structure Alignment Problem (PSAP) consists in finding the best alignment of two proteins defined by their primary structures. It finds the most similar substructure of two proteins. This problem is polynomially reducible to the Maximum Clique Problem (MCP) for the protein alignment graph. In this paper we present an efficient algorithm for the PSAP based on our recent ILS&MCS algorithm (Batsyn et al., 2014) for the MCP. To reduce the alignment problem to the MCP we follow the DAST method introduced by Malod-Dognin et al. (2010). Our main contributions include: applying the ILS heuristic to obtain a lower bound and make preprocessing of an alignment graph to reduce its size; efficient implementation of the algorithm for large but sparse alignment graphs including memory preallocation and bit representation of adjacency matrix. The computational results are provided for the popular Skolnick test set of 40 proteins and show that the suggested algorithm is more efficient than one of the fastest PSAP solvers - the ACF algorithm by Malod- Dognin et al. (2010).
Added: Oct 24, 2016
Working paper
Shmatko N. A., Katchanov Y. L. arxiv.org. math. Cornell University, 2013. No. v.1.
The paper puts forth an axiomatic description of the complexity of an object of sociological investigation. The proposed axioms allow us to determine complexity within the framework of mathematical sociology such as the variational principle, which is formed relative to the state of the object of sociological investigation. On the basis of this principle we can conclude the equation of state, which coincides with the stationary forward Kolmogorov equation. Based on the results of an empirical study of Russian doctorate holders, a scientific capital value was determined for each respondent by calculating an empirical distribution function for each respondent’s active properties. The goal of this study is to develop a phenomenological theory of Scientific Capital in the form of a hierarchy of variational principles. On the micro level, the principle of the maximum enables us to examine the numerous meanings of Scientific Capital based on the measurement of the actual (i.e., factually realized) distribution of active properties of a scientific field’s agent among the multitude of possible distributions. On the macro level, the principle of the minimum energy functional describes the distribution of Scientific Capital among the agents of a scientific field.
Added: Jun 13, 2013
Working paper
Aleskerov F. T., Karpov A. V. Public Choice Research Centre University of Turku Working Papers. University of Turku, 2011. No. 42.
We propose a new method of the Single Transferable Vote (STV) and give a unified way to describe classic procedures (Gregory Method, Inclusive Gregory Method and Weighted Inclusive Gregory Method) as an iterative procedure. A modification for quota definition is proposed which improves theoretical properties of the procedures. The method is justified by a new set of axioms. It is shown that this procedure extends the Weighted Inclusive Gregory Method with the modified definition of quota and random equiprobable selection of winning coalition on each iteration. The results are extended to the methods allowing fractional number of votes.
Added: Mar 5, 2013
Working paper
Lyusin D., Ovsyannikova V. V. Psychology. PSY. Высшая школа экономики, 2014. No. WP BRP 16/PSY/2014.
A new measure for emotion recognition abilities, the Videotest of Emotion Recognition, is described. Two aspects in emotion recognition are distinguished, accuracy of recognition of emotion types that constitute the emotional state of the observed person and sensitivity to the intensity of the observed emotions. The Videotest of Emotion Recognition allows obtaining the accuracy and sensitivity indices that reflect these two aspects of emotion recognition. Psychometric analysis showed satisfactory reliability and validity of the indices
Added: Feb 13, 2014
Working paper
Andreev E. M., Shkolnikov V. MPIDR Technical Report. Max Planck Institute for Demographic Research, 2012. No. 2012-002.

A general algorithm for the decomposition of differences between two values of an aggregate demographic measure of age and other dimensions is realized as Excel/VBA. It assumes that the aggregate measure is computed from similar matrices of discrete demographic data for two populations under comparison. The algorithm estimates the effects of replacement for each elementary cell of one matrix by the respective cell of another matrix. The replacement runs from young to old ages.

Added: Dec 14, 2012
Working paper
Gutnik L. Cornell University Library, 2013. No. 1307.1125.
We present here continued fraction for Zeta(3) parametrized by some family of points (F,G) on projective line. This family of points can be obtained if from full projective line would be removed some no more than countable nowhereмножество dense exeptional set of finite points. countable nowhere dense set, which contains the above exeptional set of finite points, is specified also.
Added: Jan 8, 2014
Working paper
Corazzini L., Galavotti S., Valbonesi P. Dipartimento di Economia Research Paper Series. No. 30/WP/2017. Ca Foscari University of Venice, 2017
We experimentally study bidding behavior in sequential first-price procurement auctions where bidders’ capacity constraints are private information. Treatment differs in the ex-ante probability distribution of sellers’ capacities and in the (exogenous) probability that the second auction is actually implemented. Our results show that: (i) bidding behavior in the second auction conforms with sequential rationality; (ii) while first auction’s bids negatively depend on capacity, bidders seem unable to recognize this link when, at the end of the first auction, they state their beliefs on the opponent’s capacity. To rationalize this inconsistency between bids and beliefs, we conjecture that bidding in the first auction is also affected by a hidden, behavioral type – related to the strategic sophistication of bidders – that obfuscates the link between capacity and bids. Building on this intuition, we show that a simple level-k model may help explain the inconsistency.
Added: Jul 20, 2018
Working paper
Zimin A., Gladkov N. math. arxive. Cornell University, 2018
We construct an explicit solution for the multimarginal transportation problem on the unit cube [0,1]3 with the cost function xyz and one-dimensional uniform projections. We show that the primal problem is concentrated on a set with non-constant local dimension and admits many solutions, whereas the solution to the corresponding dual problem is unique (up to addition of constants).
Added: Oct 10, 2018