• A
  • A
  • A
  • АБВ
  • АБВ
  • АБВ
  • A
  • A
  • A
  • A
  • A
Обычная версия сайта
  • RU
  • EN
  • HSE University
  • Publications
  • Preprints
  • Применение процессов Хоукса для прогнозирования финансовых рисков
  • 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
July 24, 2026
'Physics Is What the World Is Literally Built On'
Physicist Nina Dzhanayeva, recipient of a Vladimir Potanin Foundation scholarship, focuses her research on nanophotonics. In this interview for the HSE Young Scientists project, she discusses nanowells, scientific intuition, and how physics can help in making frangipane cream puffs.
July 20, 2026
Scientists Create Open Dataset for Studying Concentration
A team of Russian researchers, including scientists from HSE University–St Petersburg, has developed the first open multimodal dataset containing recordings of brain activity, heart function, and video observations to help researchers understand what happens in the human brain during deep concentration. In the future, the dataset could accelerate the development of neural interfaces, rehabilitation technologies, and AI systems. The article has been published in Scientific Data.
July 20, 2026
‘Science Is Universal-It Knows No Borders
Fuad Aleskerov, Tenured Professor and Director of the International Centre of Decision Choice and Analysis at HSE University, together with his colleagues, has developed methods of network analysis in bibliometrics that have made it possible to identify patterns in the appearance and citation of publications in academic journals, as well as their influence on each other. When one or a number of studies are frequently cited by a wide range of journals, this is an indicator that the research is of high quality. By contrast, extensive cross-citation within a limited group of journals increases the likelihood of identifying a network of predatory publications.

 

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

?

Применение процессов Хоукса для прогнозирования финансовых рисков

Издательский дом ВШЭ , 2017. № 02.
Egorova L., Климюк И. Ю.
We consider models of forecasting shocks in stock markets that take into account the endogenous nature of such phenomena on the basis of Hawkes processes. The intensity of the Hawkes processes depends on previous events, that allow modeling the clustering effect. The models were tested on the S&P500 stock index and the USD/RUB currency pair and are capable to predict some financial crashes.
Priority areas: IT and mathematics
Language: Russian
Full text
Keywords: математическое моделирование и прогнозированиеmathematical modelling of economic processesHawkes proccessпроцессы Хоукса
Publication based on the results of:
Analysis, choice and decision making in socio-economic, political and financial spheres: new models, methods and algorithms (2017)
Similar publications
Growth in noncommutative algebras and entropy in derived categories
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
Multilinear nilalgebras and the Jacobian theorem
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
ML-based Fast Simulation of FARICH Responses
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
Natural hazard database from Internet publications: text mining with a large language model
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
Algorithmic overlaps as thermodynamic variables: from local to cluster Monte Carlo dynamics in critical phenomena
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
Using predefined vector systems to speed up neural network multimillion class classification
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
Iterative Ricci-Foster Curvature Flow with GMM-Based Edge Pruning: A Novel Approach to Community Detection
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
Implementing Transport Coding in OMNeT++ for Message Delay Reduction
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
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
Эффективный алгоритм торговли на фондовом рынке: ретроспективный анализ, основанный на данных по S&P-500.
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
Математическое моделирование социально-экономических, демографических, миграционных процессов региона в условиях ВТО
Самара: Изд-во СамНЦ РАН, 2015.
Разработанная в монографии концептуальная схема методики мониторинга и прогнозирования состояния экономики и социальной сферы Оренбургской области может способствовать выработке и реализации эффективных региональных программ по снижению негативных последствий в условиях ВТО, как в экономике региона в целом, так и на рынке труда, в области инвестиционных, демографических и миграционных процессах, в частности. Для научных работников, аспирантов, студентов, государственных служащих, занимающихся социально-экономическими проблемами ...
Added: November 5, 2019
Modeling in economics leads to a fragmentation of science
Makarova V. A., , in: SGEM2014 Conference on Psychology and Psychiatry, Sociology and Healthcare, Education, www.sgemsocial.org, SGEM2014 Conference Proceedings.Vol. 3: Education and Educational research.: Sofia: STEF92 Technology Ltd., 2014. P. 547–555.
In this article the main tendencies of the development of the modern economic methodology are pointed out. The increased role of mathematical modelling in economics results that students receive applied education, far away from fundamental. Nevertheless, modern education requires the development of applied skills on a par with fundamental knowledge in the field of study, ...
Added: January 8, 2015
Комплексное моделирование и прогнозирование развития стран БРИКС в контексте мировой динамики
Sadovnichii V. A., Akaev A., Korotayev A. et al., М.: Издательский Дом "Наука", 2014.
В коллективной монографии представлены результаты моделирования развития стран БРИКС, полученные к настоящему времени в рамках исследований по проекту «Математическое моделирование глобальной и региональной динамики в условиях модернизации системы науки и образования» Программы фундаментальных исследований Президиума РАН «Экономика и социология науки и образования». ...
Added: October 23, 2014
Взаимосвязь динамики отдачи факторов производства и формирования институтов Х- и Y-экономик: теоретическое моделирование
Malkov S. Y., Кирдина С. Г., В кн.: Феномен возрастающей отдачи в экономике и политике: сборник научных трудов.: СПб.: Алетейя, 2013. С. 201–241.
...
Added: October 9, 2014
МЕТОДЫ СОЦИАЛЬНО-ЭКОНОМИЧЕСКОГО ПРОГНОЗИРОВАНИЯ В 2 Т. Т.2 МОДЕЛИ И МЕТОДЫ. Учебник и практикум для академического бакалавриата
Svetunkov S., М.: Юрайт, 2016.
In the book deals with modern methods and models of socio-economic forecasting, the most frequently used in practice. Essential part of economic decisions aimed at obtaining results in the future, so to make the right management decisions need to be reliable socio-economic forecasting, which is impossible without knowledge of methods and models. In connection with ...
Added: July 25, 2014
О разработке программного комплекса численного анализа данных "Data Analysis"
Mikheev A. V., В кн.: Современное образование: содержание, технологии, качество. Материалы XX международной научно-методической конференцииТ. 1.: СПб.: Издательство СПбГЭТУ "ЛЭТИ", 2014. С. 225–226.
Одной из важнейших задач статистического анализа данных, распределенных во времени, является предсказание их дальнейшей динамической реализации, другими словами, расчет наиболее вероятных значений того или иного временного ряда в будущем при наличии знаний о его значениях в прошлом и настоящем. Прогностические средства, реализованные в программе Data Analysis, основаны на сочетании различных методов прогнозирования линейных и ...
Added: April 27, 2014
Экономико-математические методы в прогнозировании результатов деятельности коммерческих организаций
Krakovich V., В кн.: Россия на пути в постиндустриальное общество: прогнозы и реальность: материалы студенческой научной конференции 8 декабря 2011 года - 20 апреля 2012 года.: СПб.: Издательство СПбГУЭФ, 2012. С. 265–265.
В статье приведены основные тезисы доклада на научной конференции студентов СПБГУЭФ в апреле 2012 г. Доклад был посвящен классификации экономико-математических методов и их применимости в целях прогнозирования результатов деятельности автопроизводителей в России. ...
Added: December 15, 2013
  • 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