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Применение модели графа доходностей для анализа фондового рынка
Вестник Нижегородского университета им. Н.И. Лобачевского. Серия: Экономика и финансы. 2013. Т. 1. № 6. С. 285–289.
Vizgunov A. N., Трифонов Ю. В.
The paper presents an analysis of the stocks traded on MICEX from 2007 to 2011. In order to analyze the data, we construct a market graph model. The vertices of the graph represent stocks; the edges represent strong similarity between considered stocks returns. We suggest using the following way to calculate the similarity measure: we calculate the number of the periods when two considered stocks have the positive return simultaneously. Our results show that the market graph model with the suggested similarity measure can be used to describe the stock market dynamics in an effi- cient and concise manner.
Ponomarenko A., / Series Computer Science "arxiv.org". 2025.
This paper addresses the challenge of merging hierarchical navigable small world (HNSW) graphs, a critical operation for distributed systems, incremental indexing, and database compaction. We propose three algorithms for this task: Naive Graph Merge (NGM), Intra Graph Traversal Merge (IGTM), and Cross Graph Traversal Merge (CGTM). These algorithms differ in their approach to vertex selection ...
Added: July 30, 2026
ЦЫГАНКОВА Е. П., Koldanov P., В кн.: Математическое и компьютерное моделирование в экономике, страховании и управлении рисками: сборник статей. Выпуск 10. Материалы XIV Научно-практической конференции. Саратов, 20–22 ноября 2025 г.Вып. 10.: Саратов: Саратовский университет, 2025.
The task of analyzing the dynamics of the market graph is to determine whether the observed changes in the market graph are systematic or if such changes can be explained by random fluctuations in correlation estimates on the market. The work proposes a test for detecting market graph dynamics and a procedure for constructing a ...
Added: July 20, 2026
Piontkovski D., / Series arXiv "math". 2026.
A noncommutative projective variety is defined, following Artin and Zhang, by a graded coherent algebra 𝐴. The category of coherent sheaves is then the quotient qgr(𝐴) of the category of finitely presented graded modules by the subcategory of torsion modules. We consider the categorical and polynomial entropies of the Serre twist, that is, of the ...
Added: June 23, 2026
Piontkovski D., / Series arXiv "math". 2025.
If a symmetric multilinear algebra is weakly nil, then it is Engel. This result may be regarded as an infinite-dimensional analogue of the well-known Jacobian theorem, which states that if a polynomial mapping has a polynomial inverse, then its Jacobian matrix is invertible. This refines a theorem of Gerstenhaber and partially answers a question posed ...
Added: June 23, 2026
Shipilov F., Barnyakov A., Ivanov A. et al., / Series Physics "arxiv.org". 2026.
A fast simulation of the detector response is a vital task in high-energy physics (HEP). Traditional Monte-Carlo methods form the backbone of modern particle physics simulation software but are computationally expensive. We present a machine-learning-based approach to fast simulation of the Focusing Aerogel Ring Imaging Cherenkov (FARICH) detector response. Given a particle track and momentum, ...
Added: May 19, 2026
Derkacheva A., Sakirkina M., Kraev G. et al., /. 2026.
Comprehensive data on natural hazards and their consequences are crucial for effective for risk assessment, adaptation planning, and emergency response. However, many countries face challenges with fragmented, inconsistent, and inaccessible data, particularly regarding local-scale events. To address this data gap in Russia, we developed an end-to-end processing pipeline that scrapes news from various online sources, ...
Added: April 28, 2026
Pilé I., Deng Y., Shchur L., / Series arXiv "math". 2026. No. 2604.10254.
We investigate the spatial overlap of successive spin configurations in Markov chain Monte Carlo simulations using the local Metropolis algorithm and the Svendsen-Wang and Wolff cluster algorithms. We examine the dynamics of these algorithms for two models in different universality classes: the Ising model and the Potts model with three components. The overlap of two ...
Added: April 20, 2026
Gabdullin N., Androsov I., / Series Computer Science "arxiv.org". 2026.
Label prediction in neural networks (NNs) has O(n) complexity proportional to the number of classes. This holds true for classification using fully connected layers and cosine similarity with some set of class prototypes. In this paper we show that if NN latent space (LS) geometry is known and possesses specific properties, label prediction complexity can ...
Added: April 2, 2026
Berzon N. I., Якушова О. В., Финансы и бизнес 2025 Т. 21 № 4 С. 27–37
Российский фондовый рынок в последние годы переживает масштабную
трансформацию, обусловленную не только макроэкономическими и политическими
изменениями, но и активным притоком розничных инвесторов. Особенно
интенсивный рост наблюдается с 2020 г., что отражает растущую вовлеченность
населения в инвестиционную деятельность. ...
Added: March 10, 2026
Sizykh N., Sizykh D., , in: 2025 18th International Conference on Management of Large-Scale System Development (MLSD).: IEEE, 2025. P. 1–4.
This paper examines methods for analyzing structural changes in investment portfolios and proposes new approaches for assessing turnover and the effectiveness of their rebalancing. The study aims to systematize and adapt statistical indicators of structural shifts for analyzing the dynamics of securities portfolios, as well as to develop methodologies for assessing the proportion of changes ...
Added: February 1, 2026
Sorokin K., Beketov M., Онучин А. et al., / arxiv.org. Серия cs.SI "Social and Information Networks ". 2025.
Community detection in complex networks is a fundamental problem, open to new approaches in various scientific settings. We introduce a novel community detection method, based on Ricci flow on graphs. Our technique iteratively updates edge weights (their metric lengths) according to their (combinatorial) Foster version of Ricci curvature computed from effective resistance distance between the ...
Added: January 15, 2026
Petrovanov I., Sergeev A., / Series Computer Science "arxiv.org". 2025. No. 2512.18332.
Transport coding reduces message delay in packet-switched networks by introducing controlled redundancy at the transport layer: original packets are encoded into coded packets, and the message is reconstructed after the first successful deliveries, effectively shifting latency from the maximum packet delay to the -th order statistic. We present a concise, reproducible discrete-event implementation of transport coding in OMNeT++, including ...
Added: December 24, 2025
Rechmedina S., Haniev A., Suhih V., Вестник Московского университета. Серия 6: Экономика 2025 Т. 60 № 3 С. 40–62
Periods of high market volatility put investors in a situation where conventional decision- making methods are less reliable. To improve returns, market participants need to understand which factors play a big role in portfolio formation. This article analyzes the determinants of Russian stock returns during the Covid-19 and the rise in geopolitical tension in 2022. ...
Added: December 11, 2025
Makeeva N., Наволоцкая П. А., Iskyandyarov R. et al., Вопросы экономики 2026 № 6 С. 135–154
This paper analyzes the informational value and predictive power of retail investor sentiment, formed by news flows and social media publications, for the dynamics of the Russian stock market. The aim of the study is to assess the informational value and predictive power of sentiment indicators, calculated using the FinBERT model, for key stock market ...
Added: December 2, 2025
Hessian-based lightweight neural network for brain vessel segmentation on a minimal training dataset
Меньшиков И. А., Бернадотт А. К., Elvimov N. S., / Series arXie "Statistical mechanics". 2025.
Accurate segmentation of blood vessels in brain magnetic resonance angiography (MRA) is essential for successful surgical procedures, such as aneurysm repair or bypass surgery. Currently, annotation is primarily performed through manual segmentation or classical methods, such as the Frangi filter, which often lack sufficient accuracy. Neural networks have emerged as powerful tools for medical image ...
Added: December 1, 2025
Rubchinskiy A., Chubarova D., / Series WP7 "Математические методы анализа решений в экономике, бизнесе и политике". 2025. No. WP7/2025/01.
The article examines one of the most famous examples of socio-economic systems, characterized by significant uncertainty – the S&P-500 stock market, where shares of 500 largest US companies are traded. No assumptions are made about the probabilistic characteristics of the stock market. A flexible algorithm for daily trading has been developed, based on both known fixed data ...
Added: November 9, 2025
Koldanov A. P., Koldanov P., Semenov D., Журнал Новой экономической ассоциации 2025 № 1(66) С. 54–74
The problem of connections’ analysis between the stock returns is considered. The connections are measured by traditional Pearson correlation as well as rank Kendall correlation. Different measures of uncertainty conclusions on connections in the stock markets based on separation of the conclusions by significant and admissible are proposed. The proposed measures of uncertainty include the ...
Added: December 3, 2024
Fayzulin M., Финансовый журнал 2024 Т. 16 № 4 С. 95–113
In this paper, the sentiment of private investors and the divergence of opinions of users of online investment platforms are analyzed as factors in the emergence of herd behavior on the stock market in different clusters. This clusters are formed on the basis of stock exchange information on shares of Russian issuers. The relevance of ...
Added: August 28, 2024
Nazarova V., Churakova I., Suvorova M., The Journal of the New Economic Association 2024 No. 2 (63) P. 117–143
This research investigates the Russian stock market response to COVID-19 pandemic and compares how the reactions to it varied among the industries. The event study and Wavelet coherence were applied to answer the research question. It was discovered that the Russian stock market in general had a strong negative reaction to the COVID-19 outbreak. However ...
Added: July 1, 2024
Ruzhanskaya L., Voytenkov V., Urazbaeva A. et al., Journal of Corporate Finance Research 2022 Vol. 16 No. 2 P. 44–55
In the face of complex sanctions, Russian companies are looking for new mechanisms to ensure sustainability. An over - crowded corporate news backdrop could be the source for a significant decline in a company’s market value or growth. Given the importance of information disclosure and corporate news for investors’ expectations, we estimate the effect that ...
Added: December 29, 2023
Nazarova V., Лещев С. И., Финансовый журнал 2023 Т. 15 № 1 С. 58–73
In this paper, the momentum effect is viewed as a price anomaly whereby portfolios of assets of the same return class exhibit a systematic outperformance in profit generation relative to a given benchmark (e.g., a market index). The study contributes to a better understanding of the momentum effect in the Russian stock market. Using data ...
Added: March 7, 2023
Teplova T., Tomtosov A., Sokolova T., Plos One 2022 Vol. 17 No. 12 Article e0276924
In this study, using AI, we empirically examine the irrational behaviour, specifically attentiondriven trading and emotion-driven trading such as consensus trading, of retail investors in an emerging stock market. We used a neural network to assess the tone of messages on social media platforms and proposed a novel Hype indicator that integrates metrics of investor ...
Added: January 16, 2023
Nazarova V., Анисина Д. В., Вестник Московского университета. Серия 6: Экономика 2021 № 21(3) С. 240–270
An initial public offer (IPO) involves new financial opportunities for the issuing company such as: gaining access to capital markets, expanding the investor base, increasing the company's market value. In most primary placements, there is an underestimation of companies entering the market, which may be due to the influence of both external and internal factors. ...
Added: November 4, 2021
Dmitri Trifonov, / Series WP BRP "Basic research program". 2020. No. 230/EC/2020.
This paper provides comprehensive empirical evidence on political connections of Russian corporations based on a sample of companies for the period 2011 – 2015, divided into subsamples before and after the events in Ukraine. Specifically, the study (1) evaluates how common political connections are for Russian corporate environment, and (2) investigates the impact of political ...
Added: March 24, 2021