The purpose of the Сentre's research is the development of modern methods and models of data analysis, including the use of artificial intelligence, through empirical research on the objects of financial markets.
The article of Kurochkin S., Rodina V. is accepted for publication in the "Economics and Mathematical Methods" journal
The article "Optimal Solution for Immunizing Arbitrarily Scheduled Multiple Liabilities" (In Rus.) of Kurochkin S., Rodina V. is accepted for publication in the "Economics and Mathematical Methods" journal.
Abstract. Immunization, a control tool for interest rate dependent changes in the value of an asset portfolio given a similar dependency for a target liability portfolio, is central to portfolio management. A vast body of academic literature describes various immunization models either for the case of a single liability payout or assuming a specific change in the yield curve or both. This paper is the first to propose an immunization solution for the case of multiple liability payouts assuming arbitrary changes in the yield curve. For the case of multiple liability payouts, we generalize M-Absolute, which is a risk measure proposed by Nawalkha и Chambers (1996), and estimate the proximity of payment streams with EMD (the Wasserstein distance) which is a well-known tool in machine learning. In line with Fong and Vasicek (1984), it is shown that portfolio’s interest rate risk is constrained to a product of two factors with one factor, EMD between asset and liability streams, being only dependent on the portfolio structure and the other factor, the sup-norm of the function of interest rate shocks, being solely determined by changes in the yield curve. We also show the unimprovability of the estimate and obtain, in an explicit form, a computational procedure for the optimal immunizing portfolio. The results are practically applicable as exemplified by the immunization of an annuity-type security with a portfolio of government bonds.
The article by Teplova T.V. et al. is published in Plos One (Q1) journal
The following paper is published: Teplova T., Tomtosov A., Sokolova T. (2022). A retail investor in a cobweb of social networks. Plos One, 17(12), e0276924 https://doi.org/10.1371/journal.pone.0276924
On May, 24th the First International Conference on Market Sentiment and Investment in Emerging Markets (MSIEM-2022) was organized by CFR&DA
At the conference, the papers were presented by staff of CFR&DA prof. Teplova T.V., Sokolova T.V., Faizulin M.S., Gurov S.V., a post-graduate student of FES Kurmashov A., as well as by leading foreign researchers prof. Munir Q. (Institute of Business Administration, Karachi, Pakistan), prof. Khan A.B. (Institute of Business Administration, Karachi, Pakistan), prof. Hammad W. (Faculty of Economics and Finance, University of Bahrain, Bahrain), prof. Kock C.S. (Faculty of Business and Economics and Accounting, Malaysia), prof. Emrouznejad A. (University of Surrey, UK), prof. Munir R. (Macquarie Business School, Australia).
The paper 'The impact of the Russia-Ukraine conflict on the connectedness of financial markets' by Umar Z., Polat O., Choi S.-Y., Teplova T. is published in Finance Research Letters
The following paper is published: Umar Z., Polat O., Choi S.-Y., Teplova T. (2022). The impact of the Russia-Ukraine conflict on the connectedness of financial markets, Finance Research Letters, 48, 102976. https://doi.org/10.1016/j.frl.2022.102976
The paper 'Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression' by Umar Z., Bossman A., Choi S.-Y., Teplova T. is published in Finance Research Letters
The following paper is published: Umar Z., Bossman A., Choi S.-Y., Teplova T. (2022). Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression. Finance Research Letters. https://doi.org/10.1016/j.frl.2022.102991
The paper 'A robust credibility DEA model with fuzzy perturbation degree: An application to hospitals performance' by Omrani H., Alizadeh A., Emrounejad A., Teplova T. is published in Expert Systems with Applications
The following paper is published: Omrani H., Alizadeh A., Emrounejad A., Teplova T. (2022). A robust credibility DEA model with fuzzy perturbation degree: An application to hospitals performance. Expert Systems with Applications, Vol.189, 116021. DOI: 10.1016/j.eswa.2021.116021
The paper 'Nonlinear intraday trading invariance in the Russian stock market' by Teplova T. and Gurov S. is published in Annals of Operations Research
The following paper is published: Teplova T., Gurov S. (2022). Nonlinear intraday trading invariance in the Russian stock market. Annals of Operations Research. doi: 10.1007/s10479-022-04683-7
The paper "Complex Interplay of Eastern Bloc SMEs Trade Credit Determinants: Changes due to the Global Financial Crisis" is published in Complexity
Teplova T., Sokolova T., Galenskaya K., Gubareva M. (2022). Complex Interplay of Eastern Bloc SMEs Trade Credit Determinants: Changes due to the Global Financial Crisis. Complexity, 2022, 9608649. 13 pages.
The full text in open access is publushed:
First International Conference on Market Sentiment and Investment in Emerging Markets (MSIEM-2022)
Organized by: National Research University, Higher School of Economics (HSE), Russia and Centre for Financial Research & Data Analytics (CFR&DA).
Address: 11 Pokrovsky Bulvar, Moscow 109028 Russia
This Conference is organized within the framework of the basic research program at HSE university.
Abstract submission (1 to 2 Pages): 15 March 2022.
Notice for acceptance: 16 March 2022.
Full Paper submission: 30 March 2022
Registration (Free for all presenters and participants): Until 14 April 2022.
Conference Program booklet: 15 April 2022.
Conference date: 24 May 2022, 9 AM to 5 PM (Moscow time) Virtual/Online
Our plans for 2021 on publications are successfully performed.
The first forthcoming publication for 2022 is:
Omrani H., Alizadeh A., Emrouznejad A., Teplova T. (2022). A Robust Credibility DEA Model with Fuzzy Perturbation Degree: An Application to Hospitals Performance. Expert Systems with Applications. Vol. 189. Article 116021.