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Model of Integral Evaluation of the Regional Debt Scenarios Planning

Chernysheva T.Yu. Doctorof Technology, Professor, Yurginsky Institute of Tehcnology (branch) of Tomsk Polytechnical University

Mitsel A.A. Yurginsky Institute of Tehcnology (branch) of Tomsk Polytechnical University

Journal: Regional Economics: Theory and Practice, #4, 2009

A model of integal evaluation of a Russian Federation district debt planning scenarios is contemplated, based on the power structure analysis. The authors performe comparative analysis of the multi-criteria options by groups of two.


Analysis of costs of the enterprise using wavelet-transform

Mitsel'' A.A. National Research Tomsk Polytechnic University, Tomsk, Russian Federation ( maa@asu.tusur.ru )

Shemiakina A.N. alesya.as23@yandex.ru

Journal: Digest Finance, #1, 2014

 In the article the method of the analysis of economic indicators with use wavelet is presented. Using of a discrete wavelet -filtration decomposition of an economic temporary row is made, local features are revealed. On the basis of wavelet transformations and regression analysis the forecast of economic indicators is made. The results are given on the example of expenses JSC "GazpromTransgazTomsk" branches


Analysis of costs of the enterprise using wavelet-transform

Mitsel'' Arthur A. Doctor of Technical Sciences, Professor of the Department of Automated Control Systems, the Tomsk State University of Control Systems and Radio Electronics ( Professor of the Department of the Higher Mathematics and Mathematical Physics, the National Research Tomsk Polytechnic University )

Shemiakina Alesia N. alesya.as23@yandex.ru

Journal: Economic Analysis: Theory and Practice, #46, 2013

In the article the method of the analysis of economic indicators with use wavelet is presented. Using of a discrete wavelet -filtration decomposition of an economic temporary row is made, local features are revealed. On the basis of wavelet transformations and regression analysis the forecast of economic indicators is made. The results are given on the example of expenses JSC "GazpromTransgazTomsk" branches


DEA analysis of the efficiency of the single-industry city's economy

Vazhdaev A.N. Yurga Institute of Technology, Branch of National Research Tomsk Polytechnic University, Yurga, Kemerovo Oblast, Russian Federation ( vazhdaev@tpu.ru )

Mitsel' A.A. Tomsk State University of Control Systems and Radioelectronics (TUSUR), Tomsk, Russian Federation ( maa@asu.tusur.ru )

Journal: Regional Economics: Theory and Practice, #12, 2017

Importance This article discusses the issues of analysis of the effectiveness of various branches of small business economy in a single-industry town.
Objectives The article aims to analyze the effectiveness of various small business sectors' development based on correlation data between the city indicators and the aggregated small business ones.
Methods The Data Envelopment Analysis (DEA) method was used to analyze the performance of different small business sectors on a per-industry basis. The research applies a DEA output-oriented model. To successfully solve the analysis task, the source data has been modified in such a way that the link between input and output is directly proportional, as required in the DEA model.
Results The results obtained made it possible to visualize the changes in the performance of the considered sectors of urban economy during the survey period.
Conclusions and Relevance The analysis suggests that it is possible to apply the DEA method together with the modification of the survey data, both in the primary economic analysis and in the ongoing monitoring of the performance of individual industries. The described method of DEA performance analysis can encourage small businesses to develop an optimal strategy for their own development in the city's economy.


A three-product model to manage inventory with random demand

Mitsel' A.A. National Research Tomsk Polytechnic University, Tomsk, Russian Federation ( maa@asu.tusur.ru )

Stavchuk L.G. National Research Tomsk Polytechnic University, Tomsk, Russian Federation ( lyusbk93@gmail.com )

Journal: Economic Analysis: Theory and Practice, #3, 2017

Importance The article addresses the inventory management system and offers a stochastic model, which implementation implies significant cost saving when building inventory, as required resources are purchased in the amount of their deficit. This enables to reduce costs for storing the unused resources.
Objectives The aim of the study is to develop a three-product inventory management model with random demand and equal frequency of deliveries with minimum working capital.
Methods While building the model, it is assumed that at the initial stage the first product is purchased in full, the rest products are purchased in part, and then they are additionally during the cycle. The volume of delivery is arbitrary; the frequency of delivery of all resources is the same, but demand for the product is a random variable.
Results We built a three-product model for inventory management with random demand and equal frequency of deliveries under the stipulation that resources are replenished in the amount of their deficit. The simulation rests on the data on materials and supplies arrival at TOO SP VG-Plast.
Conclusions The proposed methodology for building a model to manage inventory with random demand helps obtain an analytical model only on condition that no more than three resources are purchased during the cycle. The offered three-product model enables to save up to 40.8% of current assets.


One-factor dynamic model to manage small businesses in a single-industry city

Vazhdaev A.N. Yurga Technological Institute (Branch) of National Research Tomsk Polytechnic University, Yurga, Russian Federation ( vazhdaev@tpu.ru )

Mitsel' A.A. Tomsk State University of Control Systems and Radioelectronics, Tomsk, Russian Federation ( maa@asu.tusur.ru )

Journal: Economic Analysis: Theory and Practice, #5, 2018

Subject The article considers the economic and mathematical models to manage small businesses by impacting certain socio-economic indicators of monotowns. Objectives The aim is to develop a dynamic economic-mathematical model to manage urban socio-economic indicators for the purpose of sustainable development of small businesses.
Methods Applying econometric methods, we identified the most significant micro indicators and mesofactors describing the operations of small businesses and urban settlements, respectively. While solving the problem of optimal control, these indicators were used as parameters of a single-factor dynamic model.
Results The proven existence of significant correlation between individual aggregated micro indicators of a small business and chosen mesofactors of a monotown made it possible to build a dynamic model. The calculations carried out based on the constructed model demonstrated a possibility to control each of the micro indicators of small businesses at the desired rate of change and under given constraints.
Conclusions The said model enables to organize a process of managing small businesses by impacting one of their micro indicators using the monotown's mesofactors. Under this approach, municipalities at any time can choose the most desirable indicator of a small business and, through the impact of socio-economic indices, contribute to the sustainable development of the urban economy.


A combinatorial model of option portfolio

Mitsel' A.А. Tomsk State University of Control Systems and Radio Electronics, Tomsk, Russian Federation ( maa@asu.tusur.ru )

Semenov M.E. National Research Tomsk Polytechnic University, Tomsk, Russian Federation ( sme@tpu.ru )

Fat'yanova M.E. National Research Tomsk Polytechnic University, Tomsk, Russian Federation ( mef1@tpu.ru )

Journal: Financial Analytics: Science and Experience, #25, 2016

Subject The study addresses an approach to building complex portfolios of stock options.
Objectives The aim is to design complex portfolios, namely, bull and bear market collars based on equity options. The objectives are to study the basic procedure for building complex portfolios of equity options; to implement the proposed approach using the MATLAB software.
Methods The optimum plan for call and put options is prepared under the Simplex method (for the non-integer plan) and the Monte-Carlo method (for integer plan) to solve the linear programming problem.
Results We built two complex portfolios based on bull and bear structured collars for falling and rising price of asset. The optimum plan and the objective function value were obtained under the Simplex method and the Monte-Carlo method.
Conclusions and Relevance The Simplex method allows us to find the non-integer optimum plan, therefore, it is necessary to round the obtained result and check all restrictions. To eliminate this deficiency, we applied the Monte-Carlo method. The optimum value of the objective function of the bull collar portfolio under the Monte-Carlo method is 1.63 times more than the corresponding value under the Simplex method. The optimum value of the objective function of the bear collar portfolio under the Simplex method in 1.06 times more than the corresponding value under the Monte-Carlo method.


Managing the risk of probability of default of the Russian Federation subjects

Mitsel' A.A. National Research Tomsk Polytechnic University, Tomsk, Russian Federation ( maa@asu.tusur.ru )

German A.V. National Research Tomsk Polytechnic University, Tomsk, Russian Federation ( Anuto4ra70@yandex.ru )

Journal: Economic Analysis: Theory and Practice, #4, 2016

Importance Currently, to obtain a credit rating is not a problem. However, despite the fact that the cost of the procedure is quite high and not always justified, the authorities need to assess of the expected level of rating prior to paying for the services of rating agencies, and, in the event of low rating, to be able to manage it.
Objectives The aim of the study is to develop a model to manage the risk of the probability of default of subjects of the Russian Federation.
Methods The model is based on the quadratic criteria and the linear control law.
Results The model is designed so that it may be applied not only by subjects having an assigned rating, but also by those subjects of the Russian Federation that do not yet have a rating assigned by one of leading rating agencies (Standard & Poor's, Fitch Ratings and Moody's). This was possible owing to defining single indicators to calculate the risk of probability of default for all subjects of the Russian Federation. The developed algorithm was applied to the Tomsk oblast.
Conclusions The study revealed that to obtain desired probability over predetermined period, it is necessary to increase certain indicators, like direct debt to individual income ratio, State debt to GRP ratio, public debt expense to budget expense ratio, and some others, and to decrease the ratio of contingent liability to own income, the share of own income in budget revenues, budget deficit to own income ratio, and others.


A multi-product model to manage inventory with even frequency of delivery

Mitsel' A.A. National Research Tomsk Polytechnic University, Tomsk State University of Control Systems and Radioelectronics, Tomsk, Russian Federation ( maa@asu.tusur.ru )

Alimkhanova D.A. National Research Tomsk Polytechnic University, Tomsk, Russian Federation ( dada93@mail.ru )

Journal: Economic Analysis: Theory and Practice, #40, 2015

Subject Inventory management in retail business enables to curb expenditure, increase profits and release the working capital. Material procurement under conditions of tight resources continues to be significant, despite abundant literature on the subject. The study focuses on the developing a model enabling to build up inventories and provide more cost savings as compared to the model by the Kulakovs.
     Objectives The objectives are to build a multi-product model to manage inventory with even and discretionary frequency of delivery and minimum working capital, to analyze and compare it with the Kulakovs' model, and to perform the model testing based on real data.
     Methods We assume that at the beginning of the cycle, only the first resource is purchased in full, others only partially, with subsequent additional purchasing during the cycle. The model's basis is accounting equations at the initial point and at additional purchases of required resources.
     Results We have built a multi-product model of inventory management with even and discretionary frequency of delivery. We compare it with the Kulakovs' model and test on real data of TOO SP VG-Plast Company (Semei, Republic of Kazakhstan).
     Conclusions
The offered model allows saving up to 30% of working capital versus the Kulakovs' model. The normalizing coefficient's limit value under our model is 0.368, whereas under the Kulakovs' model, it is 0.5. The test shows that using our model to buy additional resources within the cycle results in up to 50% of saved current assets.


A mathematical model for the evaluation of the RF regions' credit rating

Mitsel' A.A. National Research Tomsk Polytechnic University, Tomsk State University of Control Systems and Radioelectronics, Tomsk, Russian Federation ( maa@asu.tusur.ru )

German A.V. National Research Tomsk Polytechnic University, Tomsk, Russian Federation ( Anuto4ra70@yandex.ru )

Journal: Economic Analysis: Theory and Practice, #6, 2015

Importance The rating agencies calculate credit rating by using the present and past financial histories. These agencies can be either regional or sectoral ones, i.e. they are specialists in a specific geographic region or industry, or they represent the international rating agencies, which include Standard & Poor's, Moody's Investors Service and Fitch Ratings. It is obvious that getting a credit rating is not a problem. However, with sufficiently high and not always reasonable expenses, the government bodies are in need to assess the expected rating level before they will have to pay to agencies for services provided. This article is considering the development of a model, allowing estimating the likely level of credit rating, thus preventing the risk of failure of the assigned rating.
     Objectives The research aims to define input data of a mathematical model, based on which the rating agencies assign ratings; check baseline information in terms of statistical indicators; develop a risk assessment of refinancing model for territorial entities, which already have a rating; consider the use of models for subjects, which do not yet have a rating.
     Methods To build the financial indicator model of the Russian Federation territorial entities, we used the most significant models by means of a factor analysis. To build a model to determine the possible level of credit ratings of the Russian Federation regions, we used a regression analysis.
     Results Within the framework of research, we have solved the following tasks: identified the most important factors that influence an entity's rating. Using the regression analysis, we have constructed a model to determine the possible level of credit ratings of the Russian Federation regions with aid of eight financial performances of the region.
     Conclusions and Relevance We conclude that in today's economy, a ranking evaluation depends not only on financial performances, but also on economic, political, demographic, and other ones. Therefore, while using the model, it is necessary to probe the minimum impact of other factors on the level of rating.


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