Market Risk and Financial Markets Modeling
The current financial crisis has revealed serious flaws in models, measures and, potentially, theories, that failed to provide forward-looking expectations for upcoming losses originated from market risks. The Proceedings of the Perm Winter School 2011 pr
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Didier Sornette • Sergey Ivliev • Hilary Woodard Editors
Market Risk and Financial Markets Modeling
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Editors Prof. Didier Sornette D-MTEC ETH Zürich Zurich, Switzerland
Ph.D. Hilary Woodard D-MTEC ETH Zürich Zurich, Switzerland
Asst. Prof. Sergey Ivliev Prognoz Risk Lab Perm State University Perm, Russia
ISBN 978-3-642-27930-0 e-ISBN 978-3-642-27931-7 DOI 10.1007/978-3-642-27931-7 Springer Heidelberg Dordrecht London New York Library of Congress Control Number: 2012930390 © Springer-Verlag Berlin Heidelberg 2012 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
Contents
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Contents
Introduction Financial Market and Systemic Risks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Didier Sornette, Susanne von der Becke On the Development of Master in Finance & IT Program in a Perm State National Research University . . . . . . . . . . . . . . . . . . . . . . . Dmitry Andrianov, Natalya Frolova, Sergey Ivliev
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Questions of Top Management to Risk Management . . . . . . . . . . . . . . . . . . 11 Sergey Chernov
Market Risk and Financial Markets Modeling Estimation of Market Resiliency from High-Frequency Micex Shares Trading Data . . . . . . . . . . . . . . . . . . . . . . . . . 15 Nikolay Andreev Market Liquidity Measurement and Econometric Modeling . . . . . . . . . . . . 25 Viacheslav Arbuzov, Maria Frolova Modeling of Russian Equity Market Microstructure (MICEX:HYDR Case) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37 Tatyana Efremova, Sergey Ivliev Asset Pricing in a Fractional Market Under Transaction Costs . . . . . . . . . . 47 Vladimir Gisin, Andrey Markov Influence of Behavioral Finance on the Share Market . . . . . . . . . . . . . . . . . . 57 Vadim Gribnikov, Dmitry Shevchenko Hedging with Futures: Multivariante Dynamic Conditional Correlation GARCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63 Aleksey Kolokolov A Note on the Dynamics of Hedge-Fund-Alpha Determinants . . . . . . . . . . . 73 Olga Kolokolova
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Equilibrium on the Interest Rate Market Analysis . . . . . .
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