• A
  • A
  • A
  • АБВ
  • АБВ
  • АБВ
  • A
  • A
  • A
  • A
  • A
Обычная версия сайта
  • RU
  • EN
  • HSE University
  • Publications
  • Preprints
  • The Effectiveness Of Different Trading Strategies For Price-Takers
  • RU
  • EN
Расширенный поиск
Высшая школа экономики
Национальный исследовательский университет
Priority areas
  • business informatics
  • economics
  • engineering science
  • humanitarian
  • IT and mathematics
  • law
  • management
  • mathematics
  • sociology
  • state and public administration
by year
  • 2027
  • 2026
  • 2025
  • 2024
  • 2023
  • 2022
  • 2021
  • 2020
  • 2019
  • 2018
  • 2017
  • 2016
  • 2015
  • 2014
  • 2013
  • 2012
  • 2011
  • 2010
  • 2009
  • 2008
  • 2007
  • 2006
  • 2005
  • 2004
  • 2003
  • 2002
  • 2001
  • 2000
  • 1999
  • 1998
  • 1997
  • 1996
  • 1995
  • 1994
  • 1993
  • 1992
  • 1991
  • 1990
  • 1989
  • 1988
  • 1987
  • 1986
  • 1985
  • 1984
  • 1983
  • 1982
  • 1981
  • 1980
  • 1979
  • 1978
  • 1977
  • 1976
  • 1975
  • 1974
  • 1973
  • 1972
  • 1971
  • 1970
  • 1969
  • 1968
  • 1967
  • 1966
  • 1965
  • 1964
  • 1963
  • 1958
  • More
Subject
News
October 19, 2026
'Cultural Studies Seeks to Understand What Lies Beneath the Surface of Everyday Things'
Maxim Zhiganov has been exploring different aspects of sound for many years—first in relation to his native Perm and then on a broader, global scale. In this interview for the HSE Young Scientists project, he talks about sound maps, the special issue of the journal Logos, and why it is important to make the familiar less clear and obvious.
October 14, 2026
At HSE University–St Petersburg, Experts Discuss How AI Changes Tourist Routes and Cultural Heritage
Neural networks are no longer simple travel assistants; now they decide what to include on the route and what to skip. Artificial intelligence changes how people perceive a place and shapes the image of tourist centres. At the II International Scientific and Practical Conference ’Information Technologies in the Preservation and Promotion of Cultural Heritage,’ researchers discussed who controls algorithmic solutions and in what ways, and whether authentic traditions get lost in them.
October 12, 2026
Road Injuries Leading Cause of Death Among Men Aged 10 to 39
Worldwide, road injuries are the leading cause of death among males aged 10–39. An international team of researchers reached this conclusion as part of the Global Burden of Disease Study 2023, analysing data from 204 countries between 1990 and 2023. Their findings have been published in The Lancet Public Health, with HSE University Professor Vasily Vlassov listed among the collaborators.

 

Have you spotted a typo?
Highlight it, click Ctrl+Enter and send us a message. Thank you for your help!

Publications
  • Books
  • Articles
  • Chapters of books
  • Working papers
  • Report a publication
  • Research at HSE

?

The Effectiveness Of Different Trading Strategies For Price-Takers

NRU Higher School of Economics , 2014. No. WP BRP 29/FE/2014.
Egorova L.
Simulation models of the stock exchange are developed to explore the dependence between a trader’s ability to predict future price movements and her wealth and probability of bankruptcy, to analyze the consequences of margin trading with different leverage rates and to compare different investment strategies for small traders. We show that in the absence of margin trading the rate of successful predictions should be slightly higher than 50% to guarantee with high probability that the final wealth is greater than the initial and to assure very little probability of bankruptcy, and such a small value explains why so many people try to trade on the stock exchange. However if trader uses margin trading, this rate should be much higher and high rate leads to the risk of excessive losses.
Priority areas: economics
Language: English
Full text
Text on another site
Keywords: биржаsimulationторговые стратегииstock exchangeagent-based systemtrading strategiesагентно-ориентированное моделирование
Publication based on the results of:
Theoretical and numerical study of advanced mathematical models in the social, economic, political and financial fields (2014)
Similar publications
Влияние санкционных шоков на техническую эффективность сельскохозяйственных предприятий: опыт молочного животноводства региона
Nikulina Y., / Высшая школа экономики. Серия EC "Economics". 2026. № 1.
This paper estimates the impact of the international sanctions of 2014 and 2022, as well as the food embargo, on the technical efficiency of agricultural enterprises. The assessment was carried out using panel data from agricultural enterprises specializing in dairy production in the Leningrad Region for the period 2010–2023, employing stochastic frontier analysis. It is ...
Added: October 11, 2026
Subsidy Effects on Productivity and Technical Efficiency of Corporate Dairy Farms in the Russian Federation
Nikulina Y., Jamali Jaghdani T., Götz L. et al., / Series "Working Papers". 2026.
The impact of state subsidies on Russia's post-Soviet dairy output remains controversial; this study provides an empirical analysis of that relationship. Using an unbalanced panel dataset of 123 dairy enterprises in the Leningrad Region spanning the period from 2010 to 2023, we employ stochastic frontier analysis to assess these relationships. The results indicate that subsidies ...
Added: September 30, 2026
Стигмергия и мутуализм в учебных командах: агентная модель STiMUS и её применение в педагогическом дизайне
Patarakin Y., Kutuzov A., Искусственные общества 2026 Т. 21 № 3 Статья 10
This paper presents STiMUS (Stigmergy and Mutualism in Socio-Technical Systems), an agent-based model implemented in NetLogo 7.0. The model formalises two complementary coordination mechanisms in digital project teams. The first is stigmergy: contributor agents select shared artefacts to work on by following traces left by previous editors, without explicit communication. The second is mutualism: artefacts ...
Added: September 30, 2026
Отдача от платформенной занятости на российском рынке труда: «премия» или «штраф»?
Kapeliushnikov R., / Высшая школа экономики. Серия WP3 "Проблемы рынка труда". 2026. № WP3/2026/02.
The paper is the first attempt in the Russian literature to assess returns to platform employment in the Russian labor market. The theory offers no clear predictions regarding its impact on workers’ earnings: there might be both a premium and a penalty. We distinguish three groups of workers: employees; self-employed using internet-platforms; self-employed not using ...
Added: September 28, 2026
The Effect of AMMs on Price Bubble Formation in Cryptocurrency Markets under Proof-of-Work and Proof-of-Stake
Usvitskiy A., Mizyakov V., / Series "SSRN Working Paper Series". 2026.
Added: September 24, 2026
Volatility Forecasting From Econometrics To Artificial Intelligence: A Four-Stage Review Of The Evidence Pipeline From Forecast Accuracy To Portfolio Performance
Nikita I. Lysenok, International Journal of Computer Information Systems and Industrial Management Applications 2026 Vol. 18 No. 18s P. 1406–1430
A volatility forecast becomes useful only after it has passed through four stages: a model produces it, a trading rule consumes it, a portfolio aggregates the result, and an investor evaluates that result against a utility function. Each stage has its own mature evaluation apparatus, and each is studied in isolation. This review traces the ...
Added: August 23, 2026
User Traffic Generation for Networks-on-Chip High-Level Modeling in BookSim-based Toolset
Омаров М. Т., Маликов М. А., Amerikanov A., , in: 2026 International Conference on Industrial Engineering, Applications and Manufacturing (ICIEAM).: IEEE, 2026. P. 791–796.
High-level simulation is a critical stage for optimizing Network-on-Chip (NoC) design, enabling a reduction in time and resources at subsequent development stages. Existing tools often possess limited configuration flexibility and support a narrow set of traffic models, which complicates the evaluation of networks specialized for specific applications. This paper investigates an approach to extending NoC ...
Added: August 22, 2026
Which Model Families Pay? Econometric, Gradient Boosting and Recurrent Neural Network Volatility Forecasts in Active Trading Strategies on the Russian Stock Market
Nikita I. Lysenok, International Journal of Computer Information Systems and Industrial Management Applications 2026 Vol. 18 No. 17s P. 533–549
This paper asks which families of volatility forecasting models create economic value in active trading, and through which integration channel that value is transmitted. Seven models drawn from four families — econometric (GJR-GARCH, HAR-J), gradient boosting (XGBoost, LightGBM), recurrent neural networks (LSTM, GRU) and a hybrid combining HAR-J with boosting — are compared on the ...
Added: August 18, 2026
Экономичная имитационная модель гусеничного движителя
Комиссаров А. И., Вестник Московского государственного технического университета им. Н.Э. Баумана. Серия: Машиностроение 2025 Т. 155 № 4 С. 72–89
The primary requirement for a tracked vehicle simulation model used in the computer-based training simulators for the tracked vehicle and robot control is their operation in real or near-real time. This requirement is most often met by the significantly simplified kinematics and dynamics in the tracked running gear substructure interaction model. The paper describes an ...
Added: August 6, 2026
Моделирование пространственных эффектов в контексте регионального развития
Bukina T. V., В кн.: Кафедра социально-экономической географии: семь десятилетий развития.: Пермь: Пермский государственный национальный исследовательский университет, 2025. Гл. 5 С. 57–79.
Each region is characterized by unique development features that shape the future of its economy. The level of economic development of a region is determined by various conditions, such as the availability of natural resources, the availability of production facilities, the development of institutions and the social sphere, infrastructural security, and many others. Therefore, when ...
Added: August 3, 2026
Institutions, Normative Expectations, and Harassment Bribery: Evidence from a Three-country Experiment
Zhuravleva T., Afanasev K., Engelmann J. et al., / Series "SSRN Working Paper Series". 2026.
Extortionary ("harassment") bribery can persist even when widely condemned, consistent with a coordination problem sustained by beliefs about what others do and what others consider acceptable. We study whether a minimal institutional featurethe presence of a third-party monitor empowered to punish-shifts (i) normative expectations about extortion and compliance and (ii) empirical expectations about their prevalence. ...
Added: July 22, 2026
Cyclical Fluctuations, Financial Frictions, and Productivity Differences across Firms
Mishin A., Guerrieri L., Kim J., / Series 2026-042 "Finance and Economics Discussion Series (FEDS)". 2026.
Within narrowly defined industries, the most productive firms produce far more than the least productive from the same inputs, and this dispersion widens in downturns. We build a tractable representative-agent model in which financial frictions—adverse selection and moral hazard—make firms sort endogenously into lenders, strategic defaulters, and producers. As credit conditions vary, the resulting misallocation ...
Added: June 28, 2026
Устойчивость на текучей основе: долгосрочная устойчивая цена на нефть
Власов С. А., Nevalennyi M., Сафиулин Р. Р. et al., / Банк России. Серия Аналитическая записка "Материалы Банка России". 2026.
В аналитической записке обсуждается долгосрочно устойчивый уровень цены на российскую нефть. Это тот уровень, к которому цена нефти, вероятнее всего, будет тяготеть в долгосрочной перспективе. Потребность в его определении возникает по нескольким причинам. Во-первых, цена на нефть остается одним из ключевых экономических показателей российской экономики, определяющих экспорт, обменный курс рубля, прибыль, доходы и расходы бюджета, ...
Added: June 27, 2026
Учебная модель малой открытой экономики для анализа денежно-кредитной политики (с примерами из практики Банка России
Глазова А. М., Nevalennyi M., Синяков А. А., / Банк России. Серия Препринты Банка России "Серия докладов об экономических исследованиях". 2025. № 154.
The paper proposes a graphical model of a small open economy. The dynamics of the graphical model is then illustrated using impulse responses from the corresponding formal semi-structural model (QPM model). The authors have several goals in preparing this description of the graphical macroeconomic model. The first goal of the paper is to present an adapted ...
Added: June 27, 2026
A Static Capital Buffer is Hard To Beat
Mishin A., Guerrieri L., Canzoneri M. et al., / Series 2026-042 "Finance and Economics Discussion Series (FEDS)". 2026.
Added: June 27, 2026
Hybrid Competition under Fragmented Demand and Limited Consumer Choice
Bogatyrev R., Sandomirskaia M., / NRU Higher School of Economics. Series EC "Economics". 2026. No. 19(1).
This work develops a tractable model of price competition in fragmented markets where consumers consider both local and distant varieties, with cross-regional purchases subject to stochastic costs. Global competition and full localization emerge as polar cases; hybrid competition is not merely intermediate and exhibits distinctive features such as an endogenous price ceiling and non-monotonic entry ...
Added: June 11, 2026
How Universal is the Cool Water Effect? Evidence from the Unlikely Case of Russia
Kravtsova M., Musaev A. U., Welzel C., / Series "SSRN Working Paper Series". 2026.
Elaborating on Welzel et al.'s "Cool Water Theory," our study zooms into the more limited (albeit still varied) framework conditions of Russia's huge territory. Within Russia's confines, we examine how the combination of moderately cool seasons with steady rain (i.e., Cool Water) affects sub-national areas' contemporary societal progress in two modernization indicators: material prosperity in ...
Added: June 3, 2026
Финансовая грамотность и ответственное финансовое поведение российских домохозяйств
Синяков А. А., Зверева В., Шелованова Т. И., / Центральный банк Российской Федерации. Серия 132 / 2024 "Серия докладов об экономических исследованиях". 2024. № 132.
At the end of 2023, Russia updated its Strategy for Improving Financial Literacy and Developing Financial Culture Until 2030. Unlike the previous strategy, the current strategic goals include not only financial literacy but also financial culture. ‘Culture’ is normative and socially preferred behaviour. The updated strategy brings into focus the relationship between financial literacy and responsible financial behaviour. To explore this relationship, the authors rely on data from the All-Russian Survey of Consumer Finance (2020 and 2022).  Socially ...
Added: June 1, 2026
Почему растущие доходы не делают людей счастливее: эмоциональное объяснение парадокса Истерлина (Why Growing Incomes Do Not Make People Happier: an Emotional Explanation of the Easterlin Paradox)
Vorchik A., / SSRN. Серия Social Science Research Network "Social Science Research Network". 2026.
This work is devoted to a theoretical explanation of the Easterlin paradox, according to which long-term economic growth does not make average level of people's happiness increasing. By happiness, we mean the intensity of emotions people experience while comparing their new income with its expected value, or the target income with its original value. In the first case, ...
Added: May 31, 2026
Агентная модель поведения вкладчиков на региональном рынке банковских услуг (вкладов)
Ramenskaya A., Бектемиров Р. Р., Корнейченко Е. Н., В кн.: Имитационное моделирование. Теория и практика (ИММОД 2025).: СПб.: АО "ЦТСС", 2025. С. 463–470.
Banks need to analyze the preferences and behavior of their customers for stability. The high value of the key rate has affected the deposit policy of banks. The purpose of the study is to develop simulation model of customer behavior in the regional bank deposit market. The paper proposes an agent-based simulation model describing the ...
Added: April 20, 2026
Эффективность применения прогнозов волатильности в активных торговых стратегиях институциональных инвесторов на российском рынке акций
Lysenok N., Фундаментальная и прикладная математика 2026 Т. 26 № 3 С. 33–42
This study examines the impact of realized volatility forecasts on the performance of active trading strategies in the Russian equity market. Using a sample of 17 liquid stocks over the period 2014–2026, a hybrid forecasting model is developed that combines HAR-J with gradient boosting; its superiority over the baseline HAR-J specification is confirmed by the ...
Added: April 17, 2026
Covariate-Balanced Weighted Stacked Difference-in-Differences
Ustyuzhanin V., / Series Econometrics "arxiv". 2026.
This paper proposes Covariate-Balanced Weighted Stacked Difference-in-Differences (CBWSDID), a design-based extension of weighted stacked DID for settings in which untreated trends may be conditionally rather than unconditionally parallel. The estimator separates within-subexperiment design adjustment from across-subexperiment aggregation: matching or weighting improves treated-control comparability within each stacked subexperiment, while the corrective stacked weights of Wing et ...
Added: April 3, 2026
Modeling Sunlight in Gazebo for Vision-Based Applications Under Varying Light Conditions
Sultanov R., Safin R., Martinez-Garcia E. et al., , in: Proceedings of the 21st International Conference on Informatics in Control, Automation and Robotics - (Volume 1) ICINCO 2024.: SciTePress, 2024. P. 519–526.
Vision is one of the well-researched sensing abilities of robots. However, applying vision-based algorithms can be challenging when used in different environmental conditions. One such challenge in vision-based localization is dynamic lighting conditions. In this paper, we present a new Gazebo plugin that enables realistic illumination changes depending on a current Sun's position. A plugin's ...
Added: March 17, 2026
Holistic Digital Human Models in Gazebo: A Case Study on Agricultural Workflows
Gamberov T., Safin R., Tsoy T. et al., , in: Proceedings of the Fifth International Conference on Agriculture Digitalization and Organic Production (ADOP 2025), Volume 1. Robotics in Agriculture. (SIST, volume 453).: Springer, 2026. P. 175–187.
The agricultural sector is undergoing a digital transformation due to modern automation, robotics, sensing, and simulation technologies. This research explores a use of digital human models (DHMs) in the Gazebo virtual environment to enhance agricultural workflows, improve human-robot interaction, and ensure safety. We propose a framework that models typical agricultural scenarios, such as field mapping, ...
Added: March 17, 2026
  • About
  • About
  • Key Figures & Facts
  • Sustainability at HSE University
  • Faculties & Departments
  • International Partnerships
  • Faculty & Staff
  • HSE Buildings
  • HSE University for Persons with Disabilities
  • Public Enquiries
  • Studies
  • Admissions
  • Programme Catalogue
  • Undergraduate
  • Graduate
  • Exchange Programmes
  • Summer University
  • Summer Schools
  • Semester in Moscow
  • Business Internship
  • Research
  • International Laboratories
  • Research Centres
  • Research Projects
  • Monitoring Studies
  • Conferences & Seminars
  • Academic Jobs
  • Yasin (April) International Academic Conference on Economic and Social Development
  • Media & Resources
  • Publications by staff
  • HSE Journals
  • Publishing House
  • iq.hse.ru: commentary by HSE experts
  • Library
  • Economic & Social Data Archive
  • Video
  • HSE Repository of Socio-Economic Information
  • HSE1993–2026
  • Contacts
  • Copyright
  • Privacy Policy
  • Site Map
Edit