Artur Nagapetyan - Academia.edu (original) (raw)
Papers by Artur Nagapetyan
Mediterranean journal of social sciences, Dec 25, 2015
Scientists are looking for a single model of the financial markets. This model must take into acc... more Scientists are looking for a single model of the financial markets. This model must take into account the whole complex of the identified factors and effects, including the achievements of behavioral economics. The scientific novelty of the proposals in this paper is combination the financial prerequisites of the neoclassical school and the achievements of the behavioral finance researchers in a single model. We propose to introduce the concept of the relative value of one percent of the possible positive earnings and the relative value of one percent of the possible negative income. This allows using the mechanism of implicit arbitrage. We also offer a way for the empirical evaluation of the parameters that we offer to make. The results can serve as a basis for the design and evaluation of financial instruments to identify and overcome the preconditions of pricing deformations in the context of modern portfolio theory and autonomous self-regulation of the financial market.
The author suggests approaches to modeling volatility of returns of financial assets, different f... more The author suggests approaches to modeling volatility of returns of financial assets, different from the existing higher level of accuracy when out-of-sample prediction (with the formal proof on the basis of procedure-the Model Confidence Set) by taking into account the dynamics of diversification of market potential, able to describe the transformation mechanism of clustering of volatility of returns on micro-level clustering of volatility of returns on the macro level, the example of the Russian financial market. Comparison of different approaches to modeling diveraification potential based on the model families MEWMA, OGARCH, DCC and realized covariation it was found that the best quality of forecasting volatility of financial assets yield in most cases is provided by using the DCC model to calculate the index of diversification potential. This is true for stocks, stock indices and random financial portfolios. It is better to calculate diversification potential based on the OGARCH model to predict the volatility of the profitability of Markovitzefficient financial portfolios. The results obtained can be used by private investors and financial institutions to predict the volatility of financial asset returns. Financial regulators can use the diversification potential index as an indicator of macroeconomic risks in general.
Applied Econometrics, 2019
The approaches to modeling stocks volatility, stock indices volatility and financial portfolios v... more The approaches to modeling stocks volatility, stock indices volatility and financial portfolios volatility which differ from the existing ones by taking into account the dynamics of the Market Diversification Potential Index, are proposed. The presence of a significant effect of the Market Diversification Potential Index on the volatility of stocks, stock indices, and financial portfolios was demonstrated. A model has been developed for predicting the volatility of returns on stocks, stock indices, and financial portfolios, which takes into account the impact of the dynamics of the Market Diversification Potential Index and allows us to significantly increase the forecast qualities of existing models. The results of using a non-sampling forecasting technique for one period when working with financial assets demonstrated realized stock and stock index volatility, simulating realized volatility of random financial portfolios and modeling Markowitz effective financial portfolios.
Азиатско-Тихоокеанский регион. Экономика, политика, право, 2020
Besides the low level of infrastructural development, the lower level of wages in comparison with... more Besides the low level of infrastructural development, the lower level of wages in comparison with other regions is a major cause of labor force outflow. Is there any interregional interconnection between the levels of wages? On the one hand, there is a possibility for a positive spatial correlation. Thus, increase of wages in the neighboring region will result in the stimuli for workers to move into this region which, in its turn, will lead to the insufficiency of workers in the region under review and, consequently, will encourage the local companies to increase the wages. On the other hand, a positive spatial correlation may not exist or be insignificant, for example, in case of the obstacles for interregional migration of labor force.
Теория и практика общественного развития, 2023
Теория и практика общественного развития, 2022
Теория и практика общественного развития, 2023
Current article's research question is posed as follows: Are the dynamics of unilateral assets of... more Current article's research question is posed as follows: Are the dynamics of unilateral assets of coefficients' sensitivity to market changes and its asymmetry significant factors in the context of interpreting stocks return volatility based on the volatility clustering phenomenon? The authors develop the definition of clustering stocks return volatility according to the description of the interrelations among this phenomenon, Efficient Market Hypotheses and the existing pricing models of financial assets. The relative inability of the market to ensure full and coordinated implementation of accumulated information in asset price is a precondition for the emergence of the clustering of stocks return volatility at the micro-level. Directions for improving assessment of financial assets volatility are demonstrated, and approaches to arbitrage strategies formation for increasing the efficiency of market information are suggested.
The paper proposes an approach to determine the optimal number of medical specialists in the regi... more The paper proposes an approach to determine the optimal number of medical specialists in the region. According to the author's theoretical model, in order to maximize public welfare, the marginal contribution of the last physician recruited to the growth of the public utility function should be equal to the marginal cost of attracting him and providing conditions for his work. To empirically assess the contribution of physicians to the number of lives saved, the CVD mortality rate is modeled using the instrumental variable method. On average, a 1% increase in the number of cardiologists is associated with a 0.6% decrease in cardiovascular mortality. At the level of provision with cardiologists in the amount of 1 per 100 thousand people, their marginal contribution to the number of lives saved is not less than 129 per 100 thousand people, with a further decrease by 5 people with the increase in the level of provision by 1 unit. The use of the obtained results will increase the va...
Теория и практика общественного развития
Теория и практика общественного развития
Теория и практика общественного развития
Proceedings of the First International Volga Region Conference on Economics, Humanities and Sports (FICEHS 2019), 2019
The author suggests approaches to modeling volatility of returns of financial assets, different f... more The author suggests approaches to modeling volatility of returns of financial assets, different from the existing higher level of accuracy when out-of-sample prediction (with the formal proof on the basis of procedure-the Model Confidence Set) by taking into account the dynamics of diversification of market potential, able to describe the transformation mechanism of clustering of volatility of returns on micro-level clustering of volatility of returns on the macro level, the example of the Russian financial market. Comparison of different approaches to modeling diveraification potential based on the model families MEWMA, OGARCH, DCC and realized covariation it was found that the best quality of forecasting volatility of financial assets yield in most cases is provided by using the DCC model to calculate the index of diversification potential. This is true for stocks, stock indices and random financial portfolios. It is better to calculate diversification potential based on the OGARCH model to predict the volatility of the profitability of Markovitzefficient financial portfolios. The results obtained can be used by private investors and financial institutions to predict the volatility of financial asset returns. Financial regulators can use the diversification potential index as an indicator of macroeconomic risks in general.
Теория и практика общественного развития, 2021
Global investment imbalance is suggested to be one of three main global economic problems. The pu... more Global investment imbalance is suggested to be one of three main global economic problems. The purpose of this paper is to analyze possible solutions of global investment imbalance with methods of behavioral economy. The existing models of financial valuation tools that proved to be effective in the developed economies cannot be used effectively for the developing ones. The emphasis of the study is on BRICS countries as a special agent of emerging economies' interests. By means of an analytical model and panel data, the paper is to modify financial assessment tools with a regard for developing countries' specific features. The main contribution of this paper is to deepen the concept of pricing deformation, which is characterized in that the behavioral abnormalities are considered as the basis of deformations. The results are to reveal how to employ risk return trade-off concept on investing in rapidly developing countries.
Proceedings of the International Conference on Trends of Technologies and Innovations in Economic and Social Studies 2017, 2017
Current article's research question is posed as follows: Are the dynamics of unilateral assets of... more Current article's research question is posed as follows: Are the dynamics of unilateral assets of coefficients' sensitivity to market changes and its asymmetry significant factors in the context of interpreting stocks return volatility based on the volatility clustering phenomenon? The authors develop the definition of clustering stocks return volatility according to the description of the interrelations among this phenomenon, Efficient Market Hypotheses and the existing pricing models of financial assets. The relative inability of the market to ensure full and coordinated implementation of accumulated information in asset price is a precondition for the emergence of the clustering of stocks return volatility at the micro-level. Directions for improving assessment of financial assets volatility are demonstrated, and approaches to arbitrage strategies formation for increasing the efficiency of market information are suggested.
Applied Econometrics, 2019
The approaches to modeling stocks volatility, stock indices volatility and financial portfolios v... more The approaches to modeling stocks volatility, stock indices volatility and financial portfolios volatility which differ from the existing ones by taking into account the dynamics of the Market Diversification Potential Index, are proposed. The presence of a significant effect of the Market Diversification Potential Index on the volatility of stocks, stock indices, and financial portfolios was demonstrated. A model has been developed for predicting the volatility of returns on stocks, stock indices, and financial portfolios, which takes into account the impact of the dynamics of the Market Diversification Potential Index and allows us to significantly increase the forecast qualities of existing models. The results of using a non-sampling forecasting technique for one period when working with financial assets demonstrated realized stock and stock index volatility, simulating realized volatility of random financial portfolios and modeling Markowitz effective financial portfolios.
International Review of Management and Marketing, 2016
Global investment imbalance is suggested to be one of three main global economic problems. The pu... more Global investment imbalance is suggested to be one of three main global economic problems. The purpose of this paper is to analyse possible solutions of global investment imbalance with methods of behavioral economy. The existing models of financial valuation tools that proved to be effective in the developed economies cannot be used effectively for the developing ones. The emphasis of the study is on BRICS countries as a special agent of emerging economies’ interests. By means of an analytical model and panel data, the paper is to modify financial assessment tools with a regard for developing countries’ specific features. The main contribution of this paper is to deepen the concept of pricing deformation, which is characterized in that the behavioral abnormalities are considered as the basis of deformations. The results are to reveal how to employ risk return trade-off concept on investing in rapidly developing countries. Keywords: BRICS, foreign direct investment, financial assess...
Азиатско-Тихоокеанский регион: экономика, политика, право, 2020
Важной причиной оттока трудоспособного населения, помимо низкого уровня развитости инфраструктуры... more Важной причиной оттока трудоспособного населения, помимо низкого уровня развитости инфраструктуры, является сравнительно более низкий уровень заработных плат по сравнению с другими регионами. Существует ли меж-региональная взаимосвязанность между величинами заработных плат? C одной стороны, возможно наличие положительной пространственной корреляции. Так, повышение оплаты труда в соседнем регионе приведет к тому, что у рабочих появятся стимулы к переезду в этот регион, что, в свою очередь, может привести к дефициту рабочих в рассматриваемом регионе, что, в свою очередь, создаст стимулы для местных компаний повысить оплату труда. С другой стороны, положительная пространственная корреляция может и не наблюдаться или быть незначимой, например, в случае наличия тех или иных барьеров, препятствующих переезду из одного региона в другой. В статье был произведен пространственно-авторегрессионный анализ взаимосвязанности региональных заработных плат в отраслевом разрезе, позволяющий ответить ...
Mediterranean journal of social sciences, Dec 25, 2015
Scientists are looking for a single model of the financial markets. This model must take into acc... more Scientists are looking for a single model of the financial markets. This model must take into account the whole complex of the identified factors and effects, including the achievements of behavioral economics. The scientific novelty of the proposals in this paper is combination the financial prerequisites of the neoclassical school and the achievements of the behavioral finance researchers in a single model. We propose to introduce the concept of the relative value of one percent of the possible positive earnings and the relative value of one percent of the possible negative income. This allows using the mechanism of implicit arbitrage. We also offer a way for the empirical evaluation of the parameters that we offer to make. The results can serve as a basis for the design and evaluation of financial instruments to identify and overcome the preconditions of pricing deformations in the context of modern portfolio theory and autonomous self-regulation of the financial market.
The author suggests approaches to modeling volatility of returns of financial assets, different f... more The author suggests approaches to modeling volatility of returns of financial assets, different from the existing higher level of accuracy when out-of-sample prediction (with the formal proof on the basis of procedure-the Model Confidence Set) by taking into account the dynamics of diversification of market potential, able to describe the transformation mechanism of clustering of volatility of returns on micro-level clustering of volatility of returns on the macro level, the example of the Russian financial market. Comparison of different approaches to modeling diveraification potential based on the model families MEWMA, OGARCH, DCC and realized covariation it was found that the best quality of forecasting volatility of financial assets yield in most cases is provided by using the DCC model to calculate the index of diversification potential. This is true for stocks, stock indices and random financial portfolios. It is better to calculate diversification potential based on the OGARCH model to predict the volatility of the profitability of Markovitzefficient financial portfolios. The results obtained can be used by private investors and financial institutions to predict the volatility of financial asset returns. Financial regulators can use the diversification potential index as an indicator of macroeconomic risks in general.
Applied Econometrics, 2019
The approaches to modeling stocks volatility, stock indices volatility and financial portfolios v... more The approaches to modeling stocks volatility, stock indices volatility and financial portfolios volatility which differ from the existing ones by taking into account the dynamics of the Market Diversification Potential Index, are proposed. The presence of a significant effect of the Market Diversification Potential Index on the volatility of stocks, stock indices, and financial portfolios was demonstrated. A model has been developed for predicting the volatility of returns on stocks, stock indices, and financial portfolios, which takes into account the impact of the dynamics of the Market Diversification Potential Index and allows us to significantly increase the forecast qualities of existing models. The results of using a non-sampling forecasting technique for one period when working with financial assets demonstrated realized stock and stock index volatility, simulating realized volatility of random financial portfolios and modeling Markowitz effective financial portfolios.
Азиатско-Тихоокеанский регион. Экономика, политика, право, 2020
Besides the low level of infrastructural development, the lower level of wages in comparison with... more Besides the low level of infrastructural development, the lower level of wages in comparison with other regions is a major cause of labor force outflow. Is there any interregional interconnection between the levels of wages? On the one hand, there is a possibility for a positive spatial correlation. Thus, increase of wages in the neighboring region will result in the stimuli for workers to move into this region which, in its turn, will lead to the insufficiency of workers in the region under review and, consequently, will encourage the local companies to increase the wages. On the other hand, a positive spatial correlation may not exist or be insignificant, for example, in case of the obstacles for interregional migration of labor force.
Теория и практика общественного развития, 2023
Теория и практика общественного развития, 2022
Теория и практика общественного развития, 2023
Current article's research question is posed as follows: Are the dynamics of unilateral assets of... more Current article's research question is posed as follows: Are the dynamics of unilateral assets of coefficients' sensitivity to market changes and its asymmetry significant factors in the context of interpreting stocks return volatility based on the volatility clustering phenomenon? The authors develop the definition of clustering stocks return volatility according to the description of the interrelations among this phenomenon, Efficient Market Hypotheses and the existing pricing models of financial assets. The relative inability of the market to ensure full and coordinated implementation of accumulated information in asset price is a precondition for the emergence of the clustering of stocks return volatility at the micro-level. Directions for improving assessment of financial assets volatility are demonstrated, and approaches to arbitrage strategies formation for increasing the efficiency of market information are suggested.
The paper proposes an approach to determine the optimal number of medical specialists in the regi... more The paper proposes an approach to determine the optimal number of medical specialists in the region. According to the author's theoretical model, in order to maximize public welfare, the marginal contribution of the last physician recruited to the growth of the public utility function should be equal to the marginal cost of attracting him and providing conditions for his work. To empirically assess the contribution of physicians to the number of lives saved, the CVD mortality rate is modeled using the instrumental variable method. On average, a 1% increase in the number of cardiologists is associated with a 0.6% decrease in cardiovascular mortality. At the level of provision with cardiologists in the amount of 1 per 100 thousand people, their marginal contribution to the number of lives saved is not less than 129 per 100 thousand people, with a further decrease by 5 people with the increase in the level of provision by 1 unit. The use of the obtained results will increase the va...
Теория и практика общественного развития
Теория и практика общественного развития
Теория и практика общественного развития
Proceedings of the First International Volga Region Conference on Economics, Humanities and Sports (FICEHS 2019), 2019
The author suggests approaches to modeling volatility of returns of financial assets, different f... more The author suggests approaches to modeling volatility of returns of financial assets, different from the existing higher level of accuracy when out-of-sample prediction (with the formal proof on the basis of procedure-the Model Confidence Set) by taking into account the dynamics of diversification of market potential, able to describe the transformation mechanism of clustering of volatility of returns on micro-level clustering of volatility of returns on the macro level, the example of the Russian financial market. Comparison of different approaches to modeling diveraification potential based on the model families MEWMA, OGARCH, DCC and realized covariation it was found that the best quality of forecasting volatility of financial assets yield in most cases is provided by using the DCC model to calculate the index of diversification potential. This is true for stocks, stock indices and random financial portfolios. It is better to calculate diversification potential based on the OGARCH model to predict the volatility of the profitability of Markovitzefficient financial portfolios. The results obtained can be used by private investors and financial institutions to predict the volatility of financial asset returns. Financial regulators can use the diversification potential index as an indicator of macroeconomic risks in general.
Теория и практика общественного развития, 2021
Global investment imbalance is suggested to be one of three main global economic problems. The pu... more Global investment imbalance is suggested to be one of three main global economic problems. The purpose of this paper is to analyze possible solutions of global investment imbalance with methods of behavioral economy. The existing models of financial valuation tools that proved to be effective in the developed economies cannot be used effectively for the developing ones. The emphasis of the study is on BRICS countries as a special agent of emerging economies' interests. By means of an analytical model and panel data, the paper is to modify financial assessment tools with a regard for developing countries' specific features. The main contribution of this paper is to deepen the concept of pricing deformation, which is characterized in that the behavioral abnormalities are considered as the basis of deformations. The results are to reveal how to employ risk return trade-off concept on investing in rapidly developing countries.
Proceedings of the International Conference on Trends of Technologies and Innovations in Economic and Social Studies 2017, 2017
Current article's research question is posed as follows: Are the dynamics of unilateral assets of... more Current article's research question is posed as follows: Are the dynamics of unilateral assets of coefficients' sensitivity to market changes and its asymmetry significant factors in the context of interpreting stocks return volatility based on the volatility clustering phenomenon? The authors develop the definition of clustering stocks return volatility according to the description of the interrelations among this phenomenon, Efficient Market Hypotheses and the existing pricing models of financial assets. The relative inability of the market to ensure full and coordinated implementation of accumulated information in asset price is a precondition for the emergence of the clustering of stocks return volatility at the micro-level. Directions for improving assessment of financial assets volatility are demonstrated, and approaches to arbitrage strategies formation for increasing the efficiency of market information are suggested.
Applied Econometrics, 2019
The approaches to modeling stocks volatility, stock indices volatility and financial portfolios v... more The approaches to modeling stocks volatility, stock indices volatility and financial portfolios volatility which differ from the existing ones by taking into account the dynamics of the Market Diversification Potential Index, are proposed. The presence of a significant effect of the Market Diversification Potential Index on the volatility of stocks, stock indices, and financial portfolios was demonstrated. A model has been developed for predicting the volatility of returns on stocks, stock indices, and financial portfolios, which takes into account the impact of the dynamics of the Market Diversification Potential Index and allows us to significantly increase the forecast qualities of existing models. The results of using a non-sampling forecasting technique for one period when working with financial assets demonstrated realized stock and stock index volatility, simulating realized volatility of random financial portfolios and modeling Markowitz effective financial portfolios.
International Review of Management and Marketing, 2016
Global investment imbalance is suggested to be one of three main global economic problems. The pu... more Global investment imbalance is suggested to be one of three main global economic problems. The purpose of this paper is to analyse possible solutions of global investment imbalance with methods of behavioral economy. The existing models of financial valuation tools that proved to be effective in the developed economies cannot be used effectively for the developing ones. The emphasis of the study is on BRICS countries as a special agent of emerging economies’ interests. By means of an analytical model and panel data, the paper is to modify financial assessment tools with a regard for developing countries’ specific features. The main contribution of this paper is to deepen the concept of pricing deformation, which is characterized in that the behavioral abnormalities are considered as the basis of deformations. The results are to reveal how to employ risk return trade-off concept on investing in rapidly developing countries. Keywords: BRICS, foreign direct investment, financial assess...
Азиатско-Тихоокеанский регион: экономика, политика, право, 2020
Важной причиной оттока трудоспособного населения, помимо низкого уровня развитости инфраструктуры... more Важной причиной оттока трудоспособного населения, помимо низкого уровня развитости инфраструктуры, является сравнительно более низкий уровень заработных плат по сравнению с другими регионами. Существует ли меж-региональная взаимосвязанность между величинами заработных плат? C одной стороны, возможно наличие положительной пространственной корреляции. Так, повышение оплаты труда в соседнем регионе приведет к тому, что у рабочих появятся стимулы к переезду в этот регион, что, в свою очередь, может привести к дефициту рабочих в рассматриваемом регионе, что, в свою очередь, создаст стимулы для местных компаний повысить оплату труда. С другой стороны, положительная пространственная корреляция может и не наблюдаться или быть незначимой, например, в случае наличия тех или иных барьеров, препятствующих переезду из одного региона в другой. В статье был произведен пространственно-авторегрессионный анализ взаимосвязанности региональных заработных плат в отраслевом разрезе, позволяющий ответить ...