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Эффективность торговых стратегий мелких трейдеров
Проблемы управления. 2014. № 5. С. 34–41.
Simulation models of stock exchange are developed to explore the dependence between trader’s ability to predict future price change and her wealth and probability of bankruptcy. The paper shows that for the case of cautious behavior (i.e. absence of margin trading) the rate of successful predictions should be just slightly higher than 0,5 and such small value explains why so many people try to trade on the stock exchange.
Publication based on the results of:
Teregulov T., Loubenets E. R., / Series Quantum Physics "arXiv". 2026. No. 2609.31472.
We develop a new three-party quantum secret-sharing (QSS) protocol based on a three-qubit W state. This protocol encodes the secret-sequence bits using X gates and employs randomly selected Hadamard operations and measurement bases to generate information and security-test rounds. We evaluate the efficiency of the proposed protocol and analyze its security against an internal adversary ...
Added: September 28, 2026
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
Shabanov N., Kuricheva O., Kurbatova J. et al., / Series Working Papers SSRN "Department of Economics Ca’ Foscari University of Venice". 2026.
The carbon balance of an ecosystem is the difference between Gross Primary Productivity (GPP) and Ecosystem Respiration (Reco) as expressed by Net Ecosystem Exchange (NEE). While remote sensing retrievals of GPP have reached maturity, Reco estimation remains underexplored and ultimately cast bias on NEE. Here we present an end-to-end multi-scale analysis of the mechanism of ...
Added: August 21, 2026
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
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
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
СПб.: АО "ЦТСС", 2025.
В научном издании представлены труды Двенадцатой всероссийской научно-практической конференции по имитационному моделированию и его применению в науке и промышленности «Имитационное моделирование. Теория и практика» (ИММОД-2025) по следующим направлениям: - теоретические основы и методология имитационного и комплексного моделирования; - методы исследования и оценки качества моделей, валидация и верификации моделей; - методы и системы распределенного моделирования; - ...
Added: April 17, 2026
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
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
Lysenok N., Фундаментальная и прикладная математика 2025 Т. 25 № 4 С. 90–107
The aim of the study is to assess to what extent modern machine learning methods can improve the accuracy of forecasting the volatility of Russian stocks and whether such improvements lead to real advantages when applied in investment strategies. The work combines a review of theoretical approaches to volatility analysis with empirical research based on ...
Added: January 16, 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
ИПУ РАН, 2024.
В научном электронном издании представлены труды Семнадцатой международной научнотехнической конференции «Управление развитием крупномасштабных систем (MLSD’2024)» по следующим направлениям: • Проблемы управления развитием крупномасштабных систем, включая ТНК, Госхолдинги Госкорпорации. • Методы и инструментальные средства управления инвестиционными проектами и программами. • Управление развитием цифровой экономики. Проектные офисы и ситуационные и прогнозноаналитические центры, институты развития крупномасштабных систем. • ...
Added: December 28, 2024
Ramenskaya A., Фот Н. П., Яркова О. Н., В кн.: Имитационное моделирование. Теория и практика (ИММОД-2023). Сборник трудов одиннадцатой всероссийской научно-практической конференции по имитационному моделированию и его применению в науке и промышленности. Казань, 2023.: Каз.: Издательство АН РТ, 2023. С. 691–697.
Added: September 11, 2024
Ramenskaya A., Яркова О. Н., Цифровая экономика 2022 № 2(18) С. 72–81
To form a strategy for managing the lending process and credit risk, analysts of a credit organization need to have tools for modeling the lending process, which allows not only to assess the effectiveness of the lending process in the current situation, but also to assess risks in a changing economic environment. The purpose of this study is to ...
Added: September 9, 2024
Beklaryan A., Бекларян Л. А., Akopov A. S., Бизнес-информатика 2023 Т. 17 № 3 С. 70–86
This article presents a new simulation model of an intelligent transportation system (ITS) for the “smart city” with adaptive traffic light control. The proposed transportation model, implemented in the AnyLogic, allows us to study the behavior of interacting agents: vehicles (V) and pedestrians (P) within the framework of a multi-agent ITS of the “Manhattan Lattice” ...
Added: May 25, 2024
Нечитайло В. А., Penikas H. I., Model Assisted Statistics and Applications 2021 Vol. 16 No. 4 P. 261–272
COVID-19 pandemic challenges the sustainability of the modern financial system. International central bankers claim that banks are solid. They have accumulated significant capital buffers. Those buffers should be further more augmented by 2027 in line with Basel III reforms. However, disregarding such a consecutive rise in the banking capital adequacy requirements, the US financial authorities ...
Added: April 9, 2024
Petrov A., Sergey Zheglov, Akhremenko A. S., , in: 16th International Conference Management of large-scale system development (MLSD).: IEEE, 2023. Ch. 1 P. 1–5.
The paper studies protest campaigns consisting of both days with protest activity and days without activity. A dynamical agent-based model has been constructed. Numerical experiments showed that repression reduces the surviving probability of the campaign, but moderate repression may increase the turnout for the campaigns that survive. ...
Added: March 7, 2024
Журавлев Е. И., Vartanov S., Интерэкспо Гео-Сибирь 2016 Т. 2 № 3 С. 102–107
Sustainable safety of coal mining requires continuous monitoring of stress-strain state of rock mass for the advance warning of mine personnel on hazardous fast-running dynamic phe-nomena. Introduction of forecasting systems for dynamic phenomena in coal mines enables a mine operator to have graphical and prompt information on safety of different areas within a mine field. ...
Added: January 31, 2024
Serova E., Шкляев Д. О., Сумятина В. О., Судостроение 2024 № 1(872) С. 61–68
Intelligent business transformation — one of the main directions of qualitative development within modern economy. The analysis of the problems associated with the progressing of the theory and practice of maritime logistics in the oil industry, especially in the last decade, is carried out taking into account the application of a systems approach and modern ...
Added: December 1, 2023
Serova E., Шкляев Д. О., В кн.: Седьмая международная научно-практическая конференция «Имитационное и комплексное моделирование морской техники и морских транспортных систем» (ИКМ МТМТС-2023). Труды конференции.: СПб.: ИПК «НП-Принт», 2023. С. 197–208.
Added: October 4, 2023