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Securities portfolio selection using the risk margin

Maleeva E.A. National Research Tomsk Polytechnic University (TPU), Tomsk, Russian Federation ( eam21@tpu.ru )

Bel'sner O.A. National Research Tomsk Polytechnic University (TPU), Tomsk, Russian Federation ( belsner@tpu.ru )

Kritskii O.L. National Research Tomsk Polytechnic University (TPU), Tomsk, Russian Federation ( olegkol@tpu.ru )

Journal: Finance and Credit, #12, 2018

Subject The article considers the issues of securities portfolio building, using the risk margin value, or Value-at-Risk (VaR) measure.
Objectives The article aims to study the impact of risk margin on the amount of total capital and the optimal portfolio allocation. It is necessary to update the classical approach of Markowitz and adapt it to the current requirements in the banking and financial spheres.
Methods For the study, we used the Benati–Rizzi methodology and the mixed-integer linear programming algorithm.
Results We offer our own portfolio selection model taking into account the risk margin value. The article shows the portfolios selected according to the classical algorithm of Markowitz and taking into account the VaR constraints, as well as the results of comparison of the yield and value of two portfolios composed of the shares included in the MICEX 10 Index. The article also shows the results of calculating the risk and yield of passive portfolio investments.
Conclusions and Relevance The presented model of portfolio selection taking into account the margin risk value helps reduce initial investments, weaken the influence of stock market slump on the portfolio value, and increase the investment ex post return at the risk level comparable to the classical methodology of Markowitz. The use of the Benati-Rizzi method is convenient for creating a wide range of investment portfolios for unsophisticated investors with different risk aversion attitude.


Identifying informed traders in intraday futures and underlying-assets trading

Kritskii O.L. Tomsk Polytechnic University, Tomsk, Russian Federation ( olegkol@tpu.ru )

Glik L.A. Tomsk Polytechnic University, Tomsk, Russian Federation ( olegkol@tpu.ru )

Journal: Economic Analysis: Theory and Practice, #17, 2014

We propose a mathematical procedure to identify informed traders in ultra-high frequency trading in various world stock markets. We applied calculation to EUR/USD and GBP/USD currency pairs and futures, to the Russian Trade System share index (RTS) and futures on it, to the RTSVX volatility index and gold and silver spot prices. We found that there was no significant influence of the major market players on the pricing process within the period of Dec. 16-20, 2013, concerning the most of the selected assets.


Defining the activities of informed traders in stock markets

Glik L.A. Tomsk Polytechnic University, Tomsk, Russian Federation ( olegkol@tpu.ru )

Kritskii O.L. Tomsk Polytechnic University, Tomsk, Russian Federation ( olegkol@tpu.ru )

Journal: Financial Analytics: Science and Experience, #10, 2015

Importance The research of the impact of informed traders (major management companies, brokers, banks, and non-governmental pension funds) on trading dynamics in the stock markets is necessary for detecting low levels of liquidity trading, to determine price motion patterns and to verify the compliance with the principles of fair and honest trade.
     Objectives The paper deals with the research of market agents' behavior to assess the participation of informed traders in trade transactions.
     Methods To build a mathematical model, we applied vector autoregression, recorded for single-point increments of quotation futures and an underlying asset on it. The paper formulated the generalized criterion, which enables to determine whether there is an information-based trading in the stock market, because an impact on the price of big players should exceed an impact that is generated by private, or "noise" investors. Additionally, we used the theory of stability of vector autoregression processes. The study suggests the procedure aimed at detecting informed traders' transactions in intraday trading with risky assets and their futures trading in stock markets. The article provides calculations for USD/RUB forex currency pair and the Brent crude oil.
     Results The paper identifies the activity of big knowledgeable traders within the intraday trading in the Russian stock exchanges. Since the MICEX's FORTS section is focused on professional investors, it is easier to determine their presence in futures trading in comparison with the purchase and sale of other financial instruments.
     Conclusions and Relevance Five- and ten-minute price quotations were not much instrumental while we were performing a numerical analysis. However, the informed trading activity in the developing Russian market is easier to identify, when a more comprehensive range of financial instruments is used.


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