Alexander Didenko

Финансовый университет при Правительстве Российской Федерации



Editorial (Review of Business and Economic Studies)

Importance of information value issues in finance and economics can hardly be overestimated. Information is reflected (or not) in market prices; price itself could be used to predict major turmoils in economy; information use (or misuse) determines asset managers performance (or underperformance); market participants use information about cen...

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Экономика и бизнес

Исследования

около 1 года назад


Модель волатильности обменного курса валют (RUR/USD), построенная на основе фрактальных характеристик финансового ряда

В работе рассматривается регрессионная модель волатильности российского валют- ного рынка (RUR/USD). Используется декомпозиция волатильности на компоненты, характеризующие фрактальную структуру финансового ряда. С помощью регрессион- ного анализа подтверждается квазицикличность одной из компонент. Обсуждаются возможности прогноза динамики вола...

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Экономика и бизнес

Статьи

около 1 года назад


Application of Ensemble Learning for Views Generation in Meucci Portfolio Optimization Framework

Modern Portfolio Theory assumes that decisions are made by individual agents. In reality most investors are involved in group decision-making. In this research we propose to realize group decision-making process by application of Ensemble Learning algorithm, in particular Random Forest. Predicting accurate asset returns is very important in the ...

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Экономика и бизнес

Статьи

около 1 года назад


Multicriterial Assessment of RES- and Energy-Efficiency Promoting Policy Mixes for Russian Federation

We focus on assessing RES- and energy-efficiency promoting policy mixes for Russia from multicriteria perspective with emphasis on GHG emission reduction. We start from two surveys: the first one studies country’s energy saving and RES potential to determine possible range of outcomes for policy mixes in question; the second one reviews corpus...

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Экономика и бизнес

Статьи

около 1 года назад


Productivity Spillovers in the Russian Federation: The Case of Chemical Market

Over the last decades, much attention has been drawn to the question of productivity variation across countries. The differences in cross-country productivity could be explained by both foreign and domestic 􏰏􏰖􏰖􏰒􏰚􏰜􏰙􏰏􏰒􏰖􏰃􏰄􏰅􏰖􏰄􏰒􏰔􏰗􏰎􏰔􏰄􏰙􏰒􏰄􏰎􏰐􏰙􏰏􏰛􏰜􏰙􏰎􏰄􏰙􏰍􏰎􏰄􏰏􏰖􏰳􏰑􏰎􏰖􏰘􏰎􏰄􏰒􏰓􏰄􏰙􏰍􏰎􏰄􏰓􏰒􏰔􏰛􏰎􏰔􏰠􏰄􏰙􏰍􏰎􏰄􏰏􏰖􏰙􏰎􏰔􏰖􏰜􏰙􏰏􏰒􏰖􏰜􏰟􏰄􏰙􏰔􏰜􏰖􏰐􏰓􏰎􏰔􏰄􏰒􏰓􏰄􏰙􏰎􏰘􏰍􏰖􏰒􏰟􏰒􏰕􏰞􏰄􏰐􏰍􏰒􏰑􏰟􏰗􏰄 be considered. Foreign dire...

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Экономика и бизнес

Статьи

около 1 года назад


Innovations as factor of absorptive capacity of FDI spillovers across regions of Russian Federation

We study how innovations affect increase of regional total factor productivity (TFP) as a result of 􏰝􏰔􏰒􏰗􏰑􏰘􏰙􏰏􏰚􏰏􏰙􏰞􏰄􏰐􏰝􏰏􏰟􏰟􏰒􏰚􏰎􏰔􏰐􏰄􏰓􏰔􏰒􏰛􏰄􏰓􏰒􏰔􏰎􏰏􏰕􏰖􏰄􏰗􏰏􏰔􏰎􏰘􏰙􏰄􏰏􏰖􏰚􏰎􏰐􏰙􏰛􏰎􏰖􏰙􏰄􏰱􏰦􏰊􏰅􏰲􏰠􏰄􏰜􏰖􏰗􏰄􏰘􏰒􏰖􏰮􏰔􏰛􏰄􏰙􏰍􏰎􏰄􏰝􏰔􏰎􏰐􏰎􏰖􏰘􏰎􏰄􏰒􏰓􏰄􏰝􏰍􏰎􏰖􏰒􏰛􏰎􏰖􏰒􏰖􏰄􏰏􏰖􏰄􏰈􏰑􏰐􏰐􏰏􏰜􏰖􏰄 data. TFP is modeled using data envelopment analysis (DEA) with the human capital, energy and capital as inputs, and the gross regional...

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Экономика и бизнес

Статьи

около 1 года назад


Forecasting Coherent Volatility Breakouts

The paper develops an algorithm for making long-term (up to three months ahead) predictions of volatility reversals based on long memory properties of financial time series. The approach for computing fractal dimension using sequence of the minimal covers with decreasing scale (proposed in [1]) is used to decompose volatility into two 00 dynam...

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Экономика и бизнес

Статьи

около 1 года назад


Для лиц старше 18 лет