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Markov Chains in Modelling of the Russian Financial Market
P. 233-251.
Bautin G. A., Kalyagin V. A.
We use a Markov chains models for the analysis of Russian stock market. First problem studied in the paper is the multiperiod portfolio optimization. We show that known approaches applied for the Russian stock market produce the phenomena of non stability and propose a new methods in order to smooth it. The second problem addressed in the paper is a structural changes on the Russian stock market after the financial crisis of 2008.We propose a hidden Markov chains model to analyse a structural changes and apply it for the Russian stock market.
Language:
English
In book
Issue 70. , Dordrecht, L., Heidelberg, NY : Springer, 2012
Bezhaeva Z., Oseledets V. I., Functional Analysis and Its Applications 2010 Vol. 44 No. 2 P. 83-91
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Blank M., , in : IX Moscow International Conference on Operations Research (ORM2018) Moscow, October 22–27, 2018. : [б.и.], 2018. P. 325-328.
The aim of this work is to analyze a circle of questions related to the notion of
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Asaturov K. G., Journal of Applied Economic Sciences 2016 Vol. XI No. 8(46) P. 1624-1642
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Blank M., , in : IX Moscow International Conference on Operations Research (ORM2018) Moscow, October 22–27, 2018. : [б.и.], 2018. P. 269-272.
The celebrated Nagel–Schreckenberg model allows to study a reasonably
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Губков Е. А., Дмитриева Ю. В., Козюлина Ю. С. et al., В кн. : Фондовый рынок: современное состояние, инструменты и тенденции развития. Одиннадцатая межвузовская научная конференция, Москва, 16 апреля 2014 г.: Сб. науч. трудов. : М. : Бизнес Элайнмент, 2014.
Цель данной работы – на основе анализа поведения акций российских компаний, выплачивающих высокие дивиденды, определить возможности для формирования прибыльных инвестиционных вложений. Для исследования выбраны акции 19 ликвидных компаний, как наиболее привлекательные с точки зрения высокой дивидендной доходности. Были построены зависимости доходности акции в сравнении с доходностью индекса ММВБ за последние три года (отдельно за 2010, ...
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Properties of Erdos measure and the invariant Erdos measure for the golden ratio and all values of the Bernoulli parameter are studies. It is proved that a shift on the two-sided Fibonacci compact set with invariant Erdos measure is isomorphic to the integral automorphism for a Bernoulli shift with countable alphabet. ...
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There is one of the investment strategies on a stock market called a choice of securities including
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МО РФ, 2013
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Added: February 25, 2013
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Kashtanov V., Kondrashova E. V., Надежность 2012 No. 1 (40) P. 68-83
The present paper analyses characteristics of an input flow controlled by Marcov chain. At the base of construction of the given flow rests the model of semi-Markov process. The paper has stated and proved the teorem about stationarity of an input flow controlled by Markov chain. In addition to that the theorem proved that in ...
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We consider the diffusion process and its approximation by Markov chain with nonlinear unbounded trends. The usual parametrix method is not applicable because these models have unbounded trends. We describe a procedure that allows to exclude nonlinear unbounded trend and move to stochastic differential equation with bounded drift and diffusion coefficients. A similar procedure is ...
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Minsk : [б.и.], 2022
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Added: October 27, 2022
Teplova T., Mikova E., , in : World Finance & Banking Symposium. : Singapore : World Finance & Banking Symposium, 2014.
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