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Оценка релаксации финансовых рынков по статистическим данным
С. 82–83.
Andreev N. A., Lapshin V. A.
Relaxation time is one of the most significant aspects of market liquidity. We study estimates of relaxation time of the limit order market after a shock triggered by sudden movement of price, large trade or news. We also provide formal definition of a shock on order-driven market.
In book
Ч. VII: Управление и прикладная математика. Т. 1. , М., Долгопрудный: МФТИ, 2010.
Shipilov F., Barnyakov A., Bobrovnikov V. et al., EPJ Web of Conferences 2024 Vol. 295 Article 09043
Particle identification at the Super Charm-Tau factory experiment will be provided by a Focusing Aerogel Ring Imaging CHerenkov detector (FARICH). The specifics of detector location make proper cooling difficult, therefore a significant number of ambient background hits are captured. They must be mitigated to reduce the data flow and improve particle velocity resolution. In this ...
Added: June 23, 2024
Shipilov F., Barnyakov A., Bobrovnikov V. et al., Physics of Atomic Nuclei 2023 Vol. 86 No. 5 P. 864–868
Particle identification at the Super Charm-Tau factory experiment will be provided by a Focusing Aerogel Ring Imaging CHerenkov detector (FARICH). Silicon photomultipliers used for the Cherenkov light detection generate a lot of noise hits that must be mitigated to reduce both the data flow and negative effects on particle velocity resolution. In this work we ...
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
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
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
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
Bezuglyi E. V., Vasenko A. S., Bratus’ E. N., Superconductor Science and Technology 2017 Vol. 30 No. 025011 P. 1–8
A specific property of a planar tunnel junction with thin-film diffusive plates and long enough leads, typical for most of practical situations, is essential enhancement of its transmission coefficient compared to the bare transparency of the tunnel barrier [1,2]. In voltage-biased junctions, this creates favorable conditions for strong nonequilibrium of quasiparticles in the junction plates ...
Added: November 22, 2016
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
Iskakov B. M., Baigisova K. B., Bondarenko G., Russian Metallurgy (Metally) 2015 No. 5 P. 400–406
The vacancy migration energy in fcc metals is calculated using a modified embeddedatom method and with allowance for the relaxation of the atoms nearest to a vacancy. The calculated energies are close to the experimentally determined vacancy migration energies. Taking into account the relaxation of the atoms nearest to a vacancy makes it possible to ...
Added: September 15, 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
Andreev N. A., Lapshin V. A., , in: Financial Econometrics and Empirical Market Microstructure.: NY: Springer, 2015. P. 13–23.
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 ...
Added: October 20, 2014
NY: Springer, 2015.
Added: December 10, 2013
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