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Estimation of Market Resiliency from High-Frequency Micex Shares Trading Data
P. 15-24.
Andreev N. A.
This article presents an engineering approach to estimating market resiliency based on analysis of the dynamics of a liquidity index. The method provides formal criteria for defining a “liquidity shock” on the market and can be used to obtain resiliency-related statistics for further research and estimation of this liquidity aspect. The developed algorithm uses the results of a spline approximation for observational data and allows a theoretical interpretation of the results. The method was applied to real data resulting in estimation of market resiliency for the given period.
Andreev N. A., Lapshin V. A., Naumenko V. et al., Управление риском 2011 Т. 58 № 2 С. 35-53
В рамках методологии Альмгрена и Криса была подготовлена оригинальная методика расчета оптимальной ликвидационной стоимости портфеля с учетом особенностей микроструктуры рынка, организованного в форме книги лимитированных заявок. Для ее реализации была построена модель с учетом глубины рынка, которая привела к решению нелинейной оптимизационной задачи ликвидации портфеля. Главное отличие данного подхода от схожих методик заключается в том, ...
Added: October 24, 2012
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
Naumenko V., Финансовый бизнес 2012 № 3 (158) С. 50-55
The general issues of determining the liquidation value are discussed, such as the choice of market liquidity risk model and the choice of a price benchmark for estimating transaction costs. The layout for the portfolio management process is proposed which is grounded on a previously developed approach to determining the liquidation value of a portfolio. ...
Added: July 3, 2012
Naumenko V., Лизинг. Технологии бизнеса 2013 № 8 С. 7-15
Based on the analysis of the factors and circumstances that must be taken into account in portfolio restructuring, this article justifies using the potential liquidation value as a benchmark for evaluating portfolio performance. ...
Added: October 17, 2013
Khasyanova S. Y., Самсонов М. Е., Проблемы управления 2020 № 3 С. 40-48
The paper is devoted to the development of the mortgage securitization market in Russia. The aim of the study is to assess the average effect of mortgage securitization transactions on the performance of Russian banks that executed such transactions in the period from 2012 to 2018. The Propensity Score Matching methodology, which is applied for ...
Added: July 1, 2020
Andreev N. A., / Высшая школа экономики. Series FE "Financial Economics". 2015. No. WP BRP 45/FE/2015.
We study a worst-case scenario approach to the problem of strategic portfolio selection in presence of transaction costs and trading limits under uncertain stochastic process of market parameters. Unlike classic stochastic programming, the approach is model-free, solution of the arising Bellman-Isaacs equation can be easily found numerically under some general assumptions. All results hold for ...
Added: May 20, 2015
Andreev N. A., Lapshin V. A., Информационные системы и математические методы в экономике (электронный научный журнал) 2012 No. 3 P. 56-61
The paper presents a review of stochastic framework for term structure modeling and shows comparative advantages of commonly used techniques. The main application of the research is coherent modeling of credit and interest rate risk for Euro zone issuers. ...
Added: July 24, 2012
Tsepov G., Известия высших учебных заведений. Правоведение 2016 № 6 С. 74-93
The article deals with the problem of correlation between private and public interests within business corporations. Development of a human society has led to the specialization of labor and pooling of production resources. The funds of the majority are under the control of the elite. Using their position, controlling persons of commercial corporations may derive ...
Added: November 2, 2018
Tsiteladze D., Мининский университет, 2020
The tutorial summarizes modern concepts and approaches in the field innovation management and is designed to study training courses on management of the innovation process. This publication is based on materials lectures and seminars on the subjects of innovation management, management innovative enterprises and management of innovative projects that the author spent a number of ...
Added: December 6, 2020
Sandomirskaia M., Управление большими системами: сборник трудов 2014 № 49 С. 207-234
The model of multistage insider trading between two market agents for one-type risky assets is considered. One of the players (insider) has private information about liquidation value of the asset. At each step of the bidding each player simultaneously proposes bid and ask prices for one share with fixed non-zero spread. The uninformed player uses ...
Added: September 15, 2014
Andreev N. A., Mathematics 2019 Vol. 7 No. 12 P. 1147
We present a robust dynamic programming approach to the general portfolio selection problem in the presence of transaction costs and trading limits. We formulate the problem as a dynamic infinite game against nature and obtain the corresponding Bellman-Isaacs equation. Under~several additional assumptions, we get an alternative form of the equation, which is more feasible for ...
Added: October 30, 2019
Прокудина Е. Б., Банковские услуги 2010 № 10 С. 13-20
Argentina, the second largest country in Latin America, hardly recovered form the recession of the year 2001, faces the crisis again in 2008. First of all, the crisis affected the credit and banking sphere of the country, reducing the volumes of credit and deposit. But during the crisis, Argentina managed to carry out the restructuring ...
Added: October 4, 2012
Pilnik N., Pospelov I. G., Dedova M., Журнал Новой экономической ассоциации 2014 № 4 (24) С. 87-110
On the basis of statistical balances and turnovers subaccounts Russian banking system built description liquidity needs of banks. Initial accounts combined into 35 units (which include loans and deposits by macroeconomic agents) are ranked by the rate of turnover. Based on this classification, there is a group of units that characterize the level of liquidity ...
Added: October 23, 2014
Andreev N. A., В кн. : Сборник статей молодых ученых факультета ВМК МГУ, 2012. : М. : Издательский отдел факультета ВМК МГУ им. М.В. Ломоносова, 2012. С. 7-25.
Оптимальное управление портфелем на рынке акций является одной из основных задач финансовой инженерии. Определяющую роль при ее решении играет модель динамики рынка и влияния игрока на цену актива. В работе приведен обзор микроструктурных моделей влияния на цену на рынке, движимом заявками, отражающих наиболее значимые аспекты при управлении позицией. В работе разбираются основные предположения моделей и ...
Added: July 24, 2012
Rodionov I. I., Bozhya-Volya R. N., Корпоративные финансы 2014 № 3 (31) С. 38-54
The article introduces business liquidity concept as the third (in addition to risk and return metrics) determinant of company performance. The issues discussed include the analysis of key liquidity elements and the influence of agency costs, uncertainty and market incompleteness on financial decisions. We analyze in details the firm liquidity model based on the assumption ...
Added: November 18, 2014
Cherkasova V. A., Черкасова Е. С., Финансовый менеджмент 2011 № 1 С. 62-71
Данная статья посвящена механизму принятия решения о вертикальной интеграции на уровне компании. Раскрываются подходы к анализу сделок вертикальной интеграции, существующие на сегодняшний день. Дается оценка существующим способам анализа, устанавливаются связи между различными факторами, влияющими на общий результат сделок вертикальной интеграции. В статье приведены рекомендации для российского автопрома на основе обзора существующих на сегодняшний день вертикально ...
Added: November 26, 2012
Архиповская А. В., Актуальные проблемы экономики и права 2011 № 1 С. 164-170
The article presents a review of events in the financial market in 2007-2008. The author studies the interconnection between macroeconomic policy conducted by the USA monetary authorities since beginning of 1980-s till now, and the risks which have concentrated in the financial system and resulted in the crisis. The author specifies the mechanisms of the ...
Added: October 9, 2012
Kolesnik N. A., Sheresheva M. Y., , in : 3rd Annual EuroMed Conference of the EuroMed Academy of Business. Conference reading book proceedings. : Nicosia : EuroMed Press, 2010. P. 912-926.
The paper aims to investigate the process of establishing distribution network. The paper takes network paradigm as a main basis of investigation looking at the development of distribution networks in Russian chemical industry. ...
Added: July 26, 2012
Voyko A. V., Финансовая жизнь 2017 № 3 С. 64-67
Currently, the main problem in assessing the financial condition is the fact that the methodology proposed by the authors do not take into account the nature of the activities of energy companies. Currently, the majority of the works of Russian and foreign authors related to financial recovery issues are not investigated the influence of industry-specific ...
Added: January 31, 2018
Gubareva M., Umar Z., Sokolova T. et al., Applied Economics 2022 Vol. 54 No. 18 P. 2067-2076
We investigate how Covid-19 affects the emerging market (EM) bonds by analysing, on a standalone basis, investment grade (IG) and high yield (HY) debt per type of issuer. We document evidence that the option-adjusted spreads (OAS) of the IG and HY financials have recovered to the pre-Covid levels by the end of year 2020, while ...
Added: October 12, 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
Meissner D., Burton N., Galvin P. et al., Journal of Business Research 2021 Vol. 128 P. 762-769
The mirroring hypothesis highlights the correspondence of design characteristics across different architectural levels and in this paper, we consider how mirroring may impact the distribution of national and international innovation activities of firms. We identify incremental and modular innovations (as product architecture reinforcing innovations) along with architectural and radical innovations (as innovations that overturn the ...
Added: February 27, 2020
Teplova T., Rasskazova A. N., МИР (Модернизация. Инновации. Развитие) 2012 Т. 12 № 4 С. 54-61
In this paper as the main feature of innovation in the financial health of a company analyst view the shift to two circuits of key interests of owners of capital (financial stakeholders). Justified by differences key financial systems within the contour ownership interest and the lender three projections: liquidity, the current economic efficiency and growth. ...
Added: March 8, 2013
Dzhagityan E. P., Mukhametov O., Финансы: теория и практика 2023 Т. 27 № 6 С. 79-88
In response to the Global Financial Crisis of 2008–2009, international financial regulators tightened the regime of banking supervision in order to minimize systemic risks, strengthen banking sector resilience and ensure financial stability. Given the increased level of credit risks and the issue of liquidity in the banking sector, as well as the role of banks ...
Added: November 11, 2022