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Эргодичность временного ряда обобщенного показателя ликвидности
С. 33–41.
Publication based on the results of:
In book
М.: Издательский отдел факультета ВМК МГУ им. М.В. Ломоносова, 2011.
Чан Ф. Т., Староверова О. В., Kosov M., Аудиторские ведомости 2025 № 2 С. 129–134
This article is devoted to the study of factors affecting enterprise cash flow management. Methods of analysis and synthesis of peer-reviewed scientific sources on this issue are applied. As a result of the research, two groups of factors have been identified and systematized: objective factors (state economic policy, customer influence) and subjective factors (competence of ...
Added: September 22, 2025
Rusetskaya O., Гусарова Е. А., Вестник факультета управления СПбГЭУ 2023 № 16 С. 78–90
The article presents a rating, as well as a classification according to the level of competitiveness of the largest 10 Russian and 10 Chinese food industry enterprises based on the calculation of profitability of sales, sales dynamics and liquidity in 2020–2022. A comparative analysis of the relevant indicators has been performed. ...
Added: March 1, 2025
A. Y. Golubin, THEORY PROBAB. APPL. Society for Industrial and Applied Mathematics 2025 Vol. 70 No. 1 P. 151–158
The paper suggests a new condition, specifically a two-set decomposition of a Markov
chain, guaranteeing the existence of a unique stationary distribution of the Markov chain with a general
state space. This condition turns out to be sufficient for ergodicity of the Markov chain under
the Harris recurrent condition. A comparison of the suggested condition with the known ...
Added: February 18, 2025
Sizykh D., Tregub K., Belyakov B. et al., , in: 2024 17th International Conference on Management of Large-Scale System Development (MLSD).: IEEE, 2024. P. 1–5.
Currently, a large number of studies are being conducted to improve the accuracy of the developed forecasting methods for the stock market. At the same time, multivariate models based on machine learning methods are increasingly used. Since liquidity indicators have a significant impact on asset pricing, taking them into account can improve the accuracy of ...
Added: January 15, 2025
Gubareva M., Sokolova T., Umar Z. et al., Quarterly Review of Economics and Finance 2024 Vol. 94 P. 88–92
This paper presents the empirical liquidity study of Islamic fixed-income securities during 2020–2021. Using bid-ask and Z-spread metrics we demonstrate that the apogee of both, liquidity and credit stresses in international sukuk market is reached in early April 2020. Contrasting results for non-Islamic fixed-income instruments, we show that sukuk credit spreads recover to pre-Covid levels ...
Added: March 23, 2024
Dynnikov I., Hubert P., Skripchenko A., International Mathematics Research Notices 2023 Vol. 2023 No. 8 P. 6461–6503
At the beginning of the 80s, H. Masur and W. Veech started the study of generic properties of interval exchange transformations (IETs) proving that almost every such transformation is uniquely ergodic. About the same time, S. Novikov’s school and French mathematicians independently discovered very intriguing phenomena for classes of measured foliations on surfaces and respective ...
Added: December 28, 2023
Teplova T., Gubareva M., Nikolai Kudriavtsev, Eurasian Economic Review 2023 Vol. 13 P. 753–802
We perform a neural network analysis of the impact of Russian retail investors´ sentiment on the stock price behavior of well-known American companies. We study American stocks in a situation of a time-segmentation of the stock market. A special feature of our analysis is the separate time trading mode, when trading is active at the ...
Added: December 10, 2023
Potapov A., Финансовый журнал 2023 Т. 15 № 5 С. 94–116
Внедрение системы маржирования на рынках производных финансовых инструментов положительно сказывается на ликвидности рынка и эффективности рыночного ценообразования. При этом при оценке маржинальных требований не учитываются в полной мере диверсификация и хеджирование портфеля. Поэтому для соответствия регуляторным требованиям биржа устанавливает завышенный размер маржи.
В исследовании Daskalaki, Skiadopoulos (2016 г.) было доказано, что завышение маржинальных требований снижает положительный ...
Added: November 3, 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
Khasyanova S. Y., Вопросы статистики 2022 Т. 29 № 5 С. 96–109
The purpose of this study is to investigate how the Covid-19 pandemic affected the stability of Russian banks .To achieve this goal, an economic and statistical analysis of the risk and liquidity indicators of the Russian banking sector for the period 2008-2020 was performed. The analysis was based on the methodology for assessing the financial ...
Added: November 24, 2022
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
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
Veretennikov A., Veretennikova M., Известия РАН. Серия математическая 2022 Т. 86 № 1 С. 98–133
We continue the work of improving the rate of convergence of ergodic homogeneous Markov chains. The setting is more general than in previous papers: we are able to get rid of the assumption about a common dominating measure and consider the case of inhomogeneous Markov chains as well as more general state spaces. We give examples ...
Added: March 14, 2022
Suvorkov P., В кн.: Демография и этнокультурная география: тенденции развития в современном мире.: Псков: Издательство Псковского государственного университета, 2021. С. 16–23.
The article discusses a number of non-trivial research aspects that arise in the process of developing models of ethnodemographic forecasting. The purpose of the article is to study the properties of weak ergodicity to substantiate express assessments of the reproductive potential of ethnic groups. ...
Added: November 29, 2021
Karminsky A. M., Khromova E., Kudrov R., , in: Eurasian Business and Economics Perspectives. Eurasian Studies in Business and EconomicsVol. 19.: Springer Publishing Company, 2021. Ch. 9 P. 139–161.
The work is devoted to credit risk modeling of international banks by constructing ordered logistic models of credit ratings assigned by the agencies: Moody’s, Standard & Poor’s, and Fitch ratings. It was demonstrated that mapping the credit ratings into a base scale helps to decrease the possible subjectivity of CRAs and increases models’ forecasting power. ...
Added: November 1, 2021
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
Иванов В., Банковское дело 2020 № 12 С. 19–32
The article, which is part of a comprehensive study, presents the author's detailed analytical classifier of unreliability of Bank statements and operations; systematizes the main directions of hiding banking problems with customer payments, outflow of funds, and liquidity; overstating the liquidity and repayment of the loan portfolio; demonstrating fictitious activity; the impact of the growth ...
Added: September 13, 2021
Shchegolev A., Управление большими системами: сборник трудов 2021 № 90 С. 36–48
The paper studies an improved estimate for the rate of convergence for nonlinear homogeneous discrete-time Markov chains. These processes are nonlinear in terms of the distribution law. Hence, the transition kernels are dependent on the current probability distributions of the process apart from being dependent on the current state. Such processes often act as limits ...
Added: April 21, 2021
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
Иванов В., Банковское дело 2020 № 10 С. 24–34
For the first time, the article systematizes different approaches to the classification of the fictitious transactions and reporting by the main participants in the banking process within the framework of a single study. Based on many years of experience and analysis, a universal comprehensive analytical classification of fictitious transactions and Bank statements is proposed, which ...
Added: June 18, 2020
Астраханцева И. А., Кутузова А. С., Astrakhantsev R., Научные труды Вольного экономического общества России 2019 Т. 218 № 4 С. 481–488
The Article is focused on a problem of forecasting demand for cash money in ATMs of a commercial Bank. The solution of the forecasting problem let us optimize the processes of liquidity management, cash management and ATM service by the collection service. The method of machine learning - neural network-is used to obtain the forecast ...
Added: January 16, 2020