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Хеджирование платежных обязательств с транзакционными издержками на полном рынке.
С. 29–29.
Заплава А. В.
Language:
Russian
In book
М.: Московский государственный институт электроники и математики, 2012.
Ионцев М. А., Инновации и инвестиции 2026 № 2 С. 458–462
В статье проводится сравнительный анализ транзакционных издержек и ценовой эффективности централизованных (ЦЦБ) и децентрализованных (ДЦБ) бирж цифровых валют. На основе уникального высокочастотного набора данных, включающего реестры заявок Binance, Kraken, Coinbase и пулы ликвидности Uniswap v2/v3, автор количественно оценивает ключевые составляющие издержек: спреды спроса/предложения, биржевые сборы и комиссии блокчейна. Установлено, что общие транзакционные издержки на ДЦБ ...
Added: September 21, 2026
Kuzminov Y., Kruchinskaia E., Вопросы экономики 2026 № 7 С. 5–27
The year 2026 marks the 250th anniversary of Adam Smith’s “An inquiry into the nature and causes of the wealth of nations”, the work that had laid the foundations of economic science. The three factors of production Smith implicitly introduced — labor, land, and capital — no longer operate in their pure form: the digital ...
Added: July 9, 2026
Klementiev A., Вестник Пермского университета. Юридические науки 2024 № 3(65) С. 419–447
Introduction: there is no unity of approach to the concept of ‘derivative’ as a legal category in doctrine and in legislation. When defining the term ‘derivative financial instrument’, economists and financial experts base their definitions on the non-legal attribute of price derivativeness as well as on maturity of the assets. Purpose: to analyze approaches to ...
Added: October 2, 2024
Hanif W., Andraz J. M., Gubareva M. et al., International Review of Economics and Finance 2024 Vol. 89 P. 1–16
This paper studies the hedge against falling oil prices and the safe haven properties of fourteen major country-specific real estate investment trusts (REITs) indices for the Asian, American, European, and worldwide geographies. Our analyses are performed from both, returns and conditional volatility perspectives. Our sample spans from January 2016 until August 2022, covering the COVID-19 ...
Added: July 31, 2023
Bossman A., Gubareva M., Teplova T., Resources Policy 2023 Vol. 82 Article 103515
This study examines the asymmetric relationships between EU sectoral stocks and oil, oil implied volatility, geopolitical risk, and market sentiment during turbulent times of geopolitical unrest. In a set of parametric and nonparametric quantile-based techniques, we employ daily data on eleven sectors of economic activity in addition to crude oil prices (WTI) and three sentiment-driven ...
Added: June 22, 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
Асмолов К. В., Soloviev A., Международная аналитика 2021 Т. 12 № 2 С. 49–73
The discourse of "strategic autonomy," going rounds in the Republic of Korea in recent years, has yet to undergo deep theoretical conceptualization. This article attempts to fill this gap by examining the South Korean discourse of "middlepowermanship", which sprouted the discourse of "strategic autonomy"; besides, the authors undertake socio-historical analysis of Korean perceptions of concept of ...
Added: January 27, 2022
Selivanovskiy A., Закон 2021 № 10 С. 51–81
In most OTC derivatives contracts, there is a power imbalance between the parties: the financial institution (the strongest party) has the expertise and experience in futures transactions and submits the contract documentation, while its client (the weakest party) often has no relevant experience and is confronted with such financial instruments for the first time. In ...
Added: November 11, 2021
Лопушанский Д. И., Sokolova T., Teplova T., Экономика и математические методы 2021 № 2 С. 106–120
The paper identifies country specific features of hedging strategies for stock indices. We propose the methodology of the optimization hedging parameters (the time of entering and exit, the type of an option strategy) based on the synthesis of technical (TA) and fundamental analysis (FA) indicators. Country differences in the design of the authors’ strategies are ...
Added: October 13, 2021
Денисов И. Е., Lukin A., Россия в глобальной политике 2021 Т. 19 № 4 С. 154–172
В статье рассматривается эволюция российско-китайских отношений на протяжении 20-ти лет после подписания в 2001 г. двустороннего договора о добрососедстве, дружбе и сотрудничестве. Авторы приходят к выводу, что тесное взаимодействие с Китаем на долгие годы, а, возможно, и навсегда, останется для России политической и экономической необходимостью. В то же время новая китайская заинтересованность в России создаёт ...
Added: July 2, 2021
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
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
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
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
Titova Y., Penikas H. I., Gomayun N., Empirical Economics 2020 Vol. 58 No. 2 P. 535–565
The objective of this paper is to examine the relationship between bank characteristics, in particular
value, performance and volatility of bank stock returns, and its exposure to financial derivative contracts.
The study is based on 109 publicly traded European banks over the period from 2005 to 2010. The database
contains both accounting data from Bankscope and manually collected ...
Added: August 5, 2018
Pospelova T. B., В кн.: Коммуникация в современном поликультурном мире: массовая коммуникация и языковая личностьВып. 5.: М.: Pearson Education Limited (российское представительство), 2017. С. 273–290.
The article studies the correlation between emotional and cognitive competences of students during the course of academic writing in English and their influence on writing skills development, particularly, the ability and desire of learners to mitigate their academic stance expression. In the process of academic text production there can arise negative emotions, which block learners’ ...
Added: January 17, 2018
Shishkova T. V., Управление экономическими системами: электронный научный журнал 2015 № 4 (76)
В статье рассмотрен ряд проблем, возникающих при учете операций с производными финансовыми инструментами. Приведены примеры встроенных финансовых инструментов. Рассмотрены достоинства и недостатки использования оценок по справедливой стоимости при учете финансовых инструментов. Предложено разработать четкие количественные критерии признания рынка активным ...
Added: February 27, 2017
Shvets S. K., Известия Санкт-Петербургского государственного экономического университета 2016 № 6(102) С. 29–41
The article deals methodological aspects currency risk management non-financial company in conditions of uncertainty. The proposed economic mechanism of analysis and assessment of currency of RiskMetrics. The developed algorithm for risk assessment based on statistical modeling (Monte-Carlo). Consider a practical example of the calculation of the currency risk of the Group companies and their elimination ...
Added: February 20, 2017
Gorina O. G., Письма в Эмиссия.Оффлайн: электронный научный журнал 2014 № 1 С. 1–2136
The article deals with lexical bundles taken as an example of linguistic notion of hedging. Lexical bundles are units of language that are explored within the frames of corpus research. Corpus analysis tools for lexical bundles research are being examined with a view to implementing the results in foreign language high school students classroom. ...
Added: February 14, 2017
Lakshina V. V., Лапшина К. А., Финансы: теория и практика 2016 Т. 20 № 5 С. 105–114
Hedging is one of the most popular strategies for market risk management. Hedging is aimed at decreasing the volatility, or variability, of portfolio returns. The portfolio usually consists of the spot assets and hedging instruments. The latter can be represented by futures, options and over-the-counter assets such as forwards and swaps. While futures’ hedging is ...
Added: October 5, 2016