Публикации

введение в материалы симпозиума

A random flight on a plane with non-isotropic displacements at the moments of direction changes is considered. In the case of exponentially distributed flight lengths a Gaussian limit theorem is proved for the position of a particle in the scheme of series when jump lengths and non-isotropic displacements tend to zero. If the flight lengths have a folded Cauchy distribution the limiting distribution of the particle position is a convolution of the circular bivariate Cauchy distribution with a Gaussian law.

В статье рассматриваются различные варианты изменчивости цены акции на разных временных горизонтах. Выявлено, что чем меньше временной горизонт, тем выше характер изменчивости цены акции. И, наоборот, с увеличением временного горизонта изменчивость цены акции приобретает закономерный характер.

This paper examines “fat tails puzzle” in the financial markets. Ignoring the rate of convergence in Central Limit Theorem (CLT) provides the “fat tail” uncertainty. In this paper, we provide a review of the empirical results obtained “fat tails puzzle” using innovative method of Yuri Gabovich based on the rate of convergence in CLT to the normal distribution, which is called G-bounds. Constructed G-bounds evaluate risk in the financial markets more carefully than models based on Gaussian distributions. This statement was tested on the 24 financial markets exploring their stock indexes. Besides, this has tested Weak-Form Market Efficiency for investigated markets. As a result, we found out the negative correlation between the weak effectiveness of the stock market and the thickness of the left tail of the profitability density function. Therefore, the closer the risk of losses on the stock market to the corresponding risk of loss for a normal distribution, the higher the probability that the market is weak effective. For non-effective markets, the probability of large losses is much higher than for a weak effective.

Цель статьи — выяснить с помощью декомпозиции различий в заработных платах Оаксаки—Блайндера, дискриминируются ли иностранные работники на российском рынке труда. Оценка величины дискриминации производится на основе информации по заявкам на квоты от российских работодателей, предоставляемой Федеральной службой по труду и занятости РФ, и данных РМЭЗ ВШЭ за 2009—2013 годы. Полученные результаты говорят о наличии значительной дискриминации иностранных работников. За рассматриваемый период средняя заработная плата россий- ских работников с производительностью мигрантов превысила среднюю зарплату мигрантов в среднем на 40%, причем наибольший вклад в дискриминационный разрыв вносит отрасль, в которой заняты мигранты. Также авторы выдвигают и обосновывают гипотезу, что более низкие зарплаты иностранных работников не снижают заработную плату россиян, занятых на смежных позициях.

Germany was the first country in Europe that auctioned off spectrum in the valuable 700 MHz band for mobile telecommunication usage. The German regulator decided to sell this spectrum together with spectrum in the 900 MHz and 1800 MHz legacy bands. With only the three incumbent operators bidding in the auction and a relatively transparent auction design, it was possible to get a very clear impression of the actual bidding behaviour. We show that in the beginning of the auction, bidders were actively searching for a way to allocate the available spectrum that all bidders could agree to at low prices. Bidders were teaching each other what they should bid and were providing carrots and sticks. When the excess demand was concentrated in one band only, bidders started to compete head on leading to a war of attrition. This competition only stopped when bidders started to raise prices in bands that were already cleared. We interpret this bidding behaviour in terms of bidders expressing allocative externalities and conclude that the ability to do so may be regarded as a positive aspect of the transparent design.

In sport tournaments, the rules are presumably structured in a way that any participant cannot benefit by losing instead of winning. We show that tournament systems, consisting of multiple round-robin and knockout tournaments with noncumulative prizes, which are ubiquitous around the world, are generically incentive incompatible. We use our model to discuss potential remedies and applications.

A new fast direct algorithm for implementing a finite element method (FEM) of order on rectangles as applied to boundary value problems for Poisson-type equations is described that extends a well-known algorithm for the case of difference schemes or bilinear finite elements (n = 1). Its core consists of fast direct and inverse algorithms for expansion in terms of eigenvectors of one-dimensional eigenvalue problems for an nth-order FEM based on the fast discrete Fourier transform. The amount of arithmetic operations is logarithmically optimal in the theory and is rather attractive in practice. The algorithm admits numerous further applications (including the multidimensional case).

The Basel Committee on Banking Supervision (BCBS) standards are generally accepted by 46 countries in the world (28 jurisdictions). However, these countries differ in terms of details of standards’ implementation, i.e. national discretions take place. In 2012 the Basel Committee launched Regulatory Compliance Assessment Program (RCAP) to assure that all member states operate according to rules at least not softer than the original ones. Standards’ unification across countries results in need for less developed countries to adopt standards faster and in a more stringent form. One may foresee financial instability exacerbation as an outcome of such policy.

That is why paper objective is to demonstrate that standards’ implementation (RCAP) score is an implicit product of country’s macroeconomic and financial system development. For example, higher share of foreign banks and higher unemployment are strongly associated with countries that have regulation significantly different from the Basel original ones (having low compliance scores finally). This is exactly why standards should be differentiated by countries. Key message of the paper is that to promote financial stability regulator should target natural heterogeneity of risk management and risk regulation instead of that appealing artificial homogeneity (of which RCAP is one the examples).