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Моделирование валютных рынков на основе процессов с длинной памятью
Высшая школа экономики
,
2004.
№ 03.
Перцовский О. Е.
In this paper we describe the long memory property of time series, the models suitable for analysing such processes and methods of their estimation. We introduce a new ARFIMA–FIGARCH/FIAPARCH models to allow existence of long memory in return series and its
volatility simultaneously and extend them with different types of the distributions of innovations and some additional explaining variables. The possible reasons of presence of such phenomena as the long memory are presented as well as the inferences on the efficient market hypothesis. This modelling is applied to a number of exchange rates and the obtained results demonstrate the adequacy of the developed models for the description of the financial time series.
Research target:
Economics and Management
Mathematics
Sociology (including Demography and Anthropology
Language:
Russian
Mylonas Y., L.: Routledge, 2026.
This book presents a critical examination of how cultural forms, ranging from cinema and TV to literature, address class within the overarching context of a crisis conjuncture, specifically the period following the 2008 financial crash. It demonstrates how culture serves as a crucial site for capturing the contemporary "structure of feeling", publicly mediating the period's ...
Added: April 30, 2026
Ovcharenko M., / Series arXiv "math". 2026.
We introduce an explicit class of tempered Laurent polynomials in the sense of Villegas and Doran--Kerr in n⩽4 variables including all Landau--Ginzburg models for smooth Fano threefolds with very ample anticanonical class. We check that it contains Landau--Ginzburg models for various Fano fourfolds which are complete intersections in smooth toric varieties and Grassmannians of planes, ...
Added: April 30, 2026
Красноярск: Издательство Красноярского государственного аграрного университета, 2025.
The articles of the conference participants on current issues of logistics and supply
chain management are presented. The theoretical and methodological aspects of the development of logistics systems at enterprises and in the agro-industrial complex are described, the issues of the application of virtual technologies, management of territorial
logistics systems, cross-cultural and innovative management are covered. The ...
Added: April 29, 2026
Sergeyev V., Dybskaya V., Логистика 2025 № 4 С. 11–16
The content of the blockchain concept (technology) in relation to supply chain management and logistics is disclosed. The evolution of blockchain technology is shown: advanced blockchain, complex and advanced solutions using blockchain. The main areas of application and characteristics of the problems of the blockchain application in the USP are considered. The key risks and ...
Added: April 29, 2026
Olkhovik V., Финансовый журнал 2026 Т. 18 № 2 С. 46–63
В статье представлен комплексный анализ направлений совершенствования управления доходами бюджетной системы Российской Федерации на примере администрирования поступлений от административных штрафов. Основное внимание уделено унификации процедур и внедрению цифровых инструментов, включая развитие уникального идентификатора начисления (УИН) и использование современных информационно-технологических платформ. Показано влияние указанных решений на прозрачность, прослеживаемость и автоматизацию процессов начисления, оплаты и учета штрафов. ...
Added: April 29, 2026
Simonova O. A., Метаморфозис 2026 Vol. 10 No. 3 P. 103–116
This article presents a paper delivered at the 5th International Sociological Association Forum held in July 2025 in Rabat, Morocco, during the session “The Affective and Emotional Dimensions of Alienation: Modern Societies, Agents, Structures, and Processes” of Research Committee No. 36 “Theory and Research on Alienation”. The article examines emotional labor as a sociological object ...
Added: April 28, 2026
Dybskaya V., Sergeyev V., Дыбская В. В., РИСК: Ресурсы, информация, снабжение, конкуренция 2025 № 2 С. 11–17
The origins and importance of supply chain management (SCM) in the modern economy are analyzed. It is shown that the USP is a continuation and development of the concept of integrated business logistics. The evolution of logistics from the 1960s to the 2000s is presented. The main functionality of the ADC for business organizations is ...
Added: April 28, 2026
Khusainov F. I., Вестник транспорта 2026 № 5 С. 2–14
Аннотация. В статье представлен экономико-статистический обзор работы грузового железнодорожного транспорта России в 2025 году. Рассматривается динамика погрузки, грузооборота и структуры перевозок по основным номенклатурам грузов (уголь, нефть, металлы, стройматериалы, зерно, контейнеры). Особое внимание уделено ухудшению качественных показателей использования подвижного состава (рост оборота вагона, снижение доли времени в движении), а также разнонаправленной динамике регулируемого и рыночного ...
Added: April 28, 2026
Zlotnik Alexander, / Series arXiv "math". 2026. No. 2602.03481v1.
We deal with the global in time weak solutions to the 1D compressible Navier-Stokes system of equations for large discontinuous initial data and nonhomogeneous boundary conditions of three standard types. We prove the Lipschitz-type continuous dependence of the solution $(\eta,u,\theta)$, in a norm slightly stronger than $L^{2,\infty}(Q)\times L^2(Q)\times L^2(Q)$, on the initial data $(\eta^0,u^0,e^0)$ in a ...
Added: April 18, 2026
Ustyuzhanin V., / Series Econometrics "arxiv". 2026.
This paper proposes Covariate-Balanced Weighted Stacked Difference-in-Differences (CBWSDID), a design-based extension of weighted stacked DID for settings in which untreated trends may be conditionally rather than unconditionally parallel. The estimator separates within-subexperiment design adjustment from across-subexperiment aggregation: matching or weighting improves treated-control comparability within each stacked subexperiment, while the corrective stacked weights of Wing et ...
Added: April 3, 2026
Medvedev V., / Series arXiv "math". 2026.
We investigate the interplay between the dimension of the space of static potentials and the geometric and topological structure of the underlying static three-manifold. A partial classification of boundaryless static manifolds is obtained in terms of this dimension. We also treat the case of static manifolds with boundary. In particular, we prove that if a ...
Added: April 3, 2026
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
Vorchik A., / Social Science Research Network. Серия SSRN Working Paper Series "SSRN Working Paper Series". 2026.
This article is devoted to the phenomenon of intrinsic motivation, to understand which two models are proposed. We study how positive/negative intrinsic motivation to work (experienced utility) affects worker's individual labour supply (model I) and the amount of effort they exert (model II). In model I, we use intrinsic motivation to explain the positive/negative slope ...
Added: March 15, 2026
Kolesnikov A., / Series arXiv "math". 2025.
We study Blaschke--Santal{ó}-type inequalities for N>=2 sets (functions) and a special class of cost functions. In particular, we prove new results about reduction of the maximization problem for the Blaschke--Santal{ó}-type functional to homogeneous case (functional inequalities on the sphere) and extend the symmetrization argument to the case of N>2 sets.
We also discuss links to the ...
Added: February 13, 2026
Vorchik A., Мамышев М. А., / Series Social Science Research Network "Social Science Research Network". 2025.
In this paper, we develop a formal mathematical model aimed to explain the Dunning-Kruger effect that beginners systematically overestimate their own competence in various fields of knowledge and activity. We argue that the Dunning-Kruger effect arises from the emotional nature of confidence combined with unknown unknowns that it simply can not take into account due ...
Added: February 11, 2026
Musaev A. U., Vorchik A., / Series Social Science Research Network "Social Science Research Network". 2026.
This paper attempts to model the evolutionary theory of modernization and democratization. The model reflects the key provisions of R. Inglehart and C. Welzel's theory and provides a microfoundation for the adaptation of subjective values to the objective importances of the survival factors and the structure of the labour markets from the perspective of evolutionary ...
Added: February 10, 2026
Antsygina A., Teteryatnikova M., Tremewan J. C. et al., / Series "SSRN Working Paper Series". 2025.
Many competitive environments allow for a third party to be indirectly involved by supporting one or both sides in the conflict. Such support can come from trade partners, colleagues, or allies, who can in turn benefit from a supported party's success. We use theory and an experiment to investigate how support relationships develop endogenously in ...
Added: January 31, 2026
Akhmedova A., / Series "SSRN Working Paper Series". 2026.
The study explores a psychological phenomenon of inaction inertia-avoiding action after missing a more favourable opportunity. Unlike action inertia (e.g.,sunk costs effect), inaction inertia has been less studied, particularly in economic contexts. Considering the reference dependent nature of the phenomenon, I build on the work of Kőszegi and Rabin (2006) to examine how past experiences ...
Added: January 23, 2026
Kuchumova (Paramonova) Y. A., Ozhegova A., Зорина К. С., / Series SSRN "Available at SSRN 6108727". 2026.
Simplified tax regimes with explicit eligibility thresholds are a common tool which reduces tax burden but distorts firms’ behavior, creating local bunching just below the threshold. However, we show that when firms have access to business splitting their responses extend far beyond the local margin. Our model demonstrates that splitting reduces local bunching but amplifies ...
Added: January 21, 2026
Kuchumova (Paramonova) Y. A., Кумачева С. Ш., / Series SSRN "Available at SSRN 5312100". 2025.
In recent years, an emerging body of empirical research has shown that tax audits, in addition to recovering unpaid taxes (direct effect), increase future tax compliance (indirect or dynamic effect). This literature also suggests that updating expectations induced by audit experience plays an important role in explaining this indirect effect. However, exactly how taxpayers form ...
Added: January 21, 2026
Kuchumova (Paramonova) Y. A., / Series SSRN "Available at SSRN 5277500". 2025.
While the emerging empirical literature shows that collateral tax sanctions (CTSs) - such as driver’s license suspensions or passport denials - appear to be effective instruments to enforce tax debt collection, there are still few theoretical arguments to explain why. In this paper, I model enforcement of tax debt collection and provide a new rationale for why it could ...
Added: January 21, 2026
Dobrynskaya V. V., Tomtosov A., Речмедина С., / NRU HSE. Series WP BRP 60/FE/2017 "SERIES: FINANCIAL ECONOMICS". 2025.
We study the application of factor investing in the market for real estate (REITs). The analysis of traditional factor strategies, such as momentum, value, size and profitability, reveals their unstable and atypical behavior in comparison to the equity market, however, there is a strong momentum effect in the factor strategies. We propose a new dynamic ...
Added: January 21, 2026
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
Ponomarenko A. A., Деньги и кредит (Российская Федерация) 2023 Т. 82 № 3 С. 35–47
Мы рассматриваем изменение в стандартном механизме международных расчетов при переходе к расчетам в национальной валюте. Под расчетами в национальных валютах мы понимаем функционирование двустороннего валютного рынка без использования банковской системы третьей страны. Эту функцию не стоит путать с выбором валюты торговых контрактов, резервной валюты и тем более валюты внутренних банковских продуктов. В случае эффективного функционирования ...
Added: November 27, 2023