Состоялось внеочередное заседание общемосковского научного семинара "МАТЕМАТИЧЕСКИЕ МЕТОДЫ АНАЛИЗА РЕШЕНИЙ В ЭКОНОМИКЕ, БИЗНЕСЕ И ПОЛИТИКЕ".

Докладчик: SMIRNOV A. D.

Аннотация доклада:

Constructed a model of financial markets transition from laminar to turbulent regime. Such a transition manifests itself in emergence and evolution of financial bubbles that ultimately burst in subsequent crises. The bubble emergence is analyzed in a stochastic context of “large asset price deviations” from their fundamental value. Irrational herding of financial investors, in particular, bears responsibility for asset prices divergence which in the model takes place at the critical point of liquidity issuance. Bursting of a bubble is viewed as a result of market interactions that produce qualitative changes to the aggregate system behavior. Formally it represented as singularity of a Bernoullian differential equation and studied via percolation process in the financial market. Investigation of a system’s behavior near the point of singularity seems to be of vital importance since it provides essential clues to our understanding of “how markets fail”.

Working language: English

Файл презентации:   Presentation

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Руководители семинара: д.т.н., проф. Алескеров Фуад Тагиевич, д.т.н., проф. Подиновский Владислав Владимирович, д.т.н., проф. Миркин Борис Григорьевич.

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