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Evidence of Microstructure Variables’ Nonlinear Dynamics from Noised High-Frequency Data
P. 13–23.
Andreev N. A., Lapshin V. A.
Research of nonlinear dynamics of finance series has been widely discussed in literature since the 1980s with chaos theory as the theoretical background. Chaos methods have been applied to the S&P 500 stock index, stock returns from the UK and American markets, and portfolio returns. This work reviews modern methods as indicators of nonlinear stochastic behavior and also shows some empirical results for MICEX stock market high-frequency microstructure variables such as stock price
and return, price change, spread and relative spread. It also implements recently developed recurrence quantification analysis approaches to visualize patterns and dependency in microstructure data.
Chernyshov D., В кн.: XXIX Межвузовская научно-техническая конференция студентов, аспирантов и молодых специалистов им. Е.В. Арменского. Москва, 22–28 апреля 2025 года.: М.: МИЭМ НИУ ВШЭ, 2025.
Работа посвящена исследованию обобщённого отображения Чирикова, описывающего динамику плоского ротатора под действием периодического возбуждения. Получены аналитические и численные результаты, демонстрирующие стохастический характер поведения системы при бинарном режиме управления ротатором. Новым результатом является обнаружение дополнительной серии резонансов (антирезонансов) и установление границы устойчивого поведения нелинейных отображений при сложных методах управления динамикой нелинейной системы. ...
Added: May 19, 2026
Lola I. S., Andreev K., Дубкова А. Д. et al., ИСИЭЗ НИУ ВШЭ, 2024.
Аналитический доклад подготовлен Центром конъюнктурных исследований Института статистических исследований и экономики знаний (ЦКИ ИСИЭЗ) НИУ ВШЭ по данным статистического наблюдения за потребительскими ценами на отдельные виды товаров, работ и услуг, а также на основе результатов конъюнктурных опросов относительно динамики цен (тарифов) на услуги, проводимых Федеральной службой государственной статистики (Росстатом).
В первом разделе на основе Индекса потребительских ...
Added: October 2, 2024
Gorodnova A., Tsar'kov A. S., Городнов А. В., Н. Новгород: Издательство НИСОЦ, 2023.
The monograph examines the problems of strategic development of Russia and the constituent entities of the Russian Federation from the point of view of the influence of “controlled chaos”. Particular attention is paid to aspects of national security: demographic and migration, food and digital, which make it possible to stop the technologies of “controlled chaos”. ...
Added: March 22, 2024
Ozcan S., Saritas O., Foresight 2023 Vol. 25 No. 6 P. 821–843
Purpose
This study aims to develop the first Theory of Technological Response and Progress in Chaos (TRPC) and examine the case of technological development during the COVID-19 pandemic. The research objectives of this study were to: identify the key technologies that act as a response mechanism during the chaos event, specifically in the case of COVID-19; ...
Added: November 27, 2023
Gurov S., Teplova T., International Journal of Emerging Markets 2025 Vol. 20 No. 6 P. 2223–2242
Purpose
The study examines the relationship between news intensity, media sentiment and market microstructure invariance-implied measures of trading activity and liquidity of Chinese property developer stocks during the 2020–2022 Chinese property sector crisis.
Design/methodology/approach
The authors adopt the extension of the news article invariance hypothesis, which is a generalization of the market microstructure invariance conjecture, from January 2020 ...
Added: September 8, 2023
Gurov S., Экономический журнал Высшей школы экономики 2023 Т. 27 № 1 С. 78–102
В настоящей статье оцениваются масштабы влияния ожидаемой и сюрпризной низкой ликвидности российских акций, торгуемых на Московской бирже, на их ex ante и симультанные избыточные доходности. Следуя количественным предсказаниям гипотезы микроструктурной инвариантности, мы оцениваем ожидаемую величину денежных затрат на исполнение «ставки» на российском рынке акций. Данная оценка используется для расчета меры неликвидности, определяемой в рамках гипотезы ...
Added: March 26, 2023
Teplova T., Gurov S., Applied Economics 2022 Vol. 54 No. 51 P. 5943–5955
We perform a comprehensive study of different illiquidity effects in the relatively illiquid Russian stock market. Over the period 2010–2020, we apply cross-sectional and time-series regressions using two low-frequency illiquidity proxies: the Amihud ratio and the invariance-implied ratio. The evidence suggests that implicit trading costs influence only the returns of small-capitalization stocks or low size ...
Added: April 26, 2022
Teplova T., Gurov S., Annals of Operations Research 2025 Vol. 352 P. 441–469
Using high-frequency transaction-level data for liquid Russian stocks, we empirically reveal a joint nonlinear relationship between the average trade size, log-return variance per transaction, trading volume, and the asset price level described by the Intraday Trading Invariance hypothesis. The relationship is also confirmed during stock market crashes. We show that the invariance principle explains a ...
Added: April 26, 2022
Springer Nature Switzerland AG, 2019.
Gathering the proceedings of the 11th CHAOS2018 International Conference, this book highlights recent developments in nonlinear, dynamical and complex systems. The conference was intended to provide an essential forum for Scientists and Engineers to exchange ideas, methods, and techniques in the field of Nonlinear Dynamics, Chaos, Fractals and their applications in General Science and the ...
Added: October 29, 2021
Malykh S., Bakhanova Y., Kazakov A. et al., Chaos 2020 Vol. 30 Article 113126
We study the origin of homoclinic chaos in the classical 3D model proposed by O. Rössler in 1976. Of our particular interest are the convoluted bifurcations of the Shilnikov saddle-foci and how their synergy determines the global unfolding of the model, along with transformations of its chaotic attractors. We apply two computational methods proposed, 1D ...
Added: March 8, 2021
N. A. Andreev, Journal of Mathematical Sciences 2020 Vol. 248 No. 1 P. 116–122
This paper studies the form of the instantaneous impact cost function in a financial market with transaction costs via an axiomatic approach. We show that several kinds of convexity of the cost function are equivalent to the corresponding properties of the price impact functions. The results clarify the implicit assumptions made when selecting a particular ...
Added: July 25, 2020
Galanova A., Галанов В. А., Научные исследования и разработки. Экономика фирмы 2019 № 1 (26) С. 32–35
The pricing of goods on the market is influenced by the spontaneously emerging supply and demand. However, the spontaneity of pricing is based on internal laws, primarily on the law of value, which implies that the prices of goods are ultimately governed by the proportions of the distribution of hired labor among the branches of ...
Added: July 2, 2020
Lambert N., Ostrovsky M., Panov M., Econometrica 2018 Vol. 86 No. 4 P. 1119–1157
We study trading behavior and the properties of prices in informationally complex markets.
Our model is based on the single-period version of the linear-normal framework of Kyle (1985).
We allow for essentially arbitrary correlations among the random variables involved in the model:
the value of the traded asset, the signals of strategic traders and competitive market makers, and
the ...
Added: June 1, 2020
Dmitriev A., М., Ижевск: Институт компьютерных исследований, 2016.
Настоящая монография посвящена анализу нелинейной дифференциальной динамики одномерных, двумерных и трехмерных социально-экономических систем. Представлены результаты качественного анализа динамических моделей экономического равновесия и экономического роста, популяционных моделей экономики и неравновесной динамической модели фондового рынка. Предложены параметрические условия устойчивости экономических систем, которые могут быть полезны в управлении экономическими системами.
Книга адресована широкому кругу специалистов, работающих в области эволюционной ...
Added: February 16, 2017
Boulatov A., Bernhardt D., Annals of Finance 2015 P. 297–318
We analyze a static Kyle (Continuous auctions and insider trading. Princeton University, Princeton, 1983) model in which a risk-neutral informed trader can use arbitrary (linear or non-linear) deterministic strategies, and a finite number of market makers can use arbitrary pricing rules. We establish a strong sense in which the linear Kyle equilibrium is robust: the ...
Added: October 7, 2015
Pilnik N., Савицкий В. А., М.: ВЦ РАН, 2015.
Описаны четыре модели межвременного равновесия с различными наборами агентов из числа собственника-потребителя, фирмы-производителя, банка. Модели выстроены в логический ряд и демонстрируют технику добавления в модель новых инструментов при сохранении базовых свойств в следующей модели. Получено полное аналитическое описание динамического равновесия при любых начальных условиях. ...
Added: July 10, 2015
Andreev N. A., / NRU Higher School of Economics. Series WP BRP "Economics/EC". 2014. No. WP BRP 38/FE/2014.
We research the properties of implicit transaction costs function for general-shaped limit order book. Equivalent conditions for linearity of the function are presented in terms of market liquidity. We also present a suitable functional form of implicit costs for MICEX order-driven market based on high-frequency trading data. The proposed form meets the de nition of costs ...
Added: October 21, 2014
Alexeeva T., Майоров Е. В., Научно-технические ведомости Санкт-Петербургского государственного политехнического университета. Экономические науки 2014 № 2(192) С. 200–205
This article discusses examples of nonlinear models of economic dynamics and possibilities of their research
by numerical procedures in MATLAB. Demonstrated specific effects of these models, in particular, the
possibility of forming a chaotic behavior ...
Added: May 18, 2014