Диссертация (Реструктуризация крупных портфелей ценных бумаг в условиях низкой ликвидности рынка), страница 2
Описание файла
Файл "Диссертация" внутри архива находится в папке "Реструктуризация крупных портфелей ценных бумаг в условиях низкой ликвидности рынка". PDF-файл из архива "Реструктуризация крупных портфелей ценных бумаг в условиях низкой ликвидности рынка", который расположен в категории "". Всё это находится в предмете "экономика" из Аспирантура и докторантура, которые можно найти в файловом архиве НИУ ВШЭ. Не смотря на прямую связь этого архива с НИУ ВШЭ, его также можно найти и в других разделах. , а ещё этот архив представляет собой кандидатскую диссертацию, поэтому ещё представлен в разделе всех диссертаций на соискание учёной степени кандидата экономических наук.
Просмотр PDF-файла онлайн
Текст 2 страницы из PDF
6'((,**('*>(*''-)4,6*1998 ('*. !'* ,*-*-*>,'-=$..'**Long Term Capital Management (LTCM),(,-,*(([89]. #*-*,LTCM)>>. 1('*-*-(deep markets) *.->*,''-**(-(*(,-,*,.>,*)()),) >,(.). -19,'.->, CAPM),( -!**>*>,>*()(,(*()* >-.6',13)14:[58]; 2)*(([129, 25, 75]; 3)*-*?-',*((()(adverse selection),-)two-sided auction),(,((,-* ** -,*,=5[50]. 6>*13',14,15,**('*-**,,–(.'> > *,'* >>-(*->>» [3].>,(,(') .*>(),,*,(*«+15('*>* -(continuous'-,+-)[52, 73].
6,-(call auction),,*-,>?-(((>).!'*,(,-',*1)> >(),.20(-**,(),(.),*,-)-./*-*'>.#,-( *,*((*(minimum price increment),(tick). #*>*>. 3>*-*-,((,(?*.' *,)-'*-.#*'>,'' **(->)>,'*,.-(, *>,'(>)(.$,(*. .*'(.*(,>**,>. -> ),*21>>')(.*',*'*,*'',-(.*>3'()*-,.,'-.",->('?(?(*'(').*,())','>(-' *'-'.6>>.>-', *('*'')*),)*'*.*) >*? '-'-,.''?*(),**(16(16(,(margin call).22**,'(.*'-)Amaranth Advisors LLC [130],2006 ('6,5) >( *.(*'.1*'.*>*+ '[61]. 7( ,(75-90%(?.*'kets),'«' (thin mar*-> [50].
5*'»* >('>,,>* -*(( *-**)((#?' **(,,*--42*(-'[108],);4,9')***) >,,)2008 (Societe Generale [5],'=$.*).',,(*(,*?),**>'*.,23'-)')(((',*(*)('()')' **-'.1.2.6*-)*,>(*' -.( ,,«* -».6( ,,17,)(>.,(->,>).(.1((liquidity of firms)'-'(('*.->,*(,)*(funding liquidity risk). 5)('*,>>,*-(market/asset/product liquidity risk).17,( ,,*tary conditions),,()((*-)>?.24'(overall mone>.(,'*')*****,('*?,,–-,-*,(–(.-. ;>>(',((( (.'(.**'',')'',>,: «'-». #-(,,G-10((CGFS) 7')(BIS) [111]. +*,,((>(*)*(((,.6),>»-+ +*' -,':«>», ««».'>:-,*.7'( ,*7[40],,*(25-*,((,-.6*('.-*,((,(.',*.','>,-'.6 >*->'*' *(,'-,,(.,'*->** -(' (.!,'>'*,>>' '>(,.),(.
- ?(,?**-(,))*( ,:*-*,.6>(*,,(,>(liquidity suppliers)(liquidity demanders).' * -,,26>-*>(,(.).*,' '?'( . .'>*'),,,,''->* ,(-.-'''',*''. -*>**,-)*('(''( )*> -*'>,'*.(. ,*,*,. #*-'-''(',.6)'**,'>('. '>(*>(.>(-((>),'.–(, *>**)(27(*18([77].>*'(market structures)).
1>((,)'*,[77]. 6(,,('('.( ,**-*,,),19> ))7* >*-(execution systems).*:* -,(order-driven markets)'->(quote-driven, dealer markets),[77], [3]..(brokered markets)'>',.-'** -,> >*. 3'>'((.*(,*,'('>. . [71, 110] 7*,,'( ,*->/>,«(»,''>'('-[75].18')196>'))>)>'[3].))> )> ;:",(->>(28. [67, 66]). - **,'[4].,*,( '' )'.'*(' (**'*,( * (.#)*!- ,*,*.,?'>. ;((-'(,-((.#'',>,(. ,,'*>-,*(***-.->,**'(). -(*>*,(*'-*(*).((price discovery process),>?,*>**)>,,>,-(inventory)(**--.-* -29(,).((>''(('>>(->)>-*')>(),-.# ((,,(,,' *,'(,*). 620*,(-,>. *,,(((,-,(,(-',,-**.'( >' *(-.6*(*>,*-)*(./?')(*,*-'. 6,',*).7>( ,,(20,,,( ,'«5-([99].30* *((*» (sequential equilibrium),?***:)'(',?('?(*-[30].(),*[100],*(,(order flow))#)[30]-.('21)*,),()')-'-.()(*-(>.*)**('*(,,>-*-( ,)*>..,','.7( ,) ->-(,''-* ,> >->)>)>,))."-.6qt***>21(>((.
+***-.>( >,t( -), .t-1 --,*«qt#731»' .(.%->>( :pt = E[υ t qt ] = µ t −1 + λqt, )))λ. !(**'*",-*,(1)".>-.-(,(-, ((,-.:*''*:(,*)(,,--. .-.*,[73, 63, 80, 97],, *'),-?-)*-',*-*,-.***,-*,'>().6>)' *,. #(,*;(+-[75],.(inventory motive),)),32(*,;[72]., (* '( ')''',(* -,((( ,9 (" *>'-[83].,,-*(*). -(>*')*. ;*>>(.,?(,(->-)*((***,(,-.(!(CME))('(''>''*'.****'?)',****,>,-',>( ,'( ( ,'*->**.
7',,,*( ,'*(EUREX)>(, 3(-*.-**,33?,-* *'#>,>*(*,')**-,*(.,-)(-**()1.3,-..*>(,*')*','.(*(#*.**>*>. 9(*-,*.3'*(,. ,*,(,–*>. + '--.'(*',**34.*->,--.'*,'( '[100]'''*-(,->,'*BIS [111]*?>>.6>,,,'*'*(•):«» (**.*,,'-'>, *-(***);?(•*(,();(•'**7>(6*,()(>?>-),(.2. " *>,:(1.*-).,,[40]>(.35-(3.**,()->,).*4.(?,,>(?>*>-).',[100]>–*(*?> '7,'.6,('-',.6>,,->[40]. #*-'>,'G-10((,((CGFS) 7)'>,(BIS) [111]. 6>'''-',.*(>[40],*-*(**7,**,* *(22,,',3622*,*>(electronic communications networks – ECN),,,((,*>*'.(/>*(*>('(*'.6* -(*'(*(*-*,-.,,.-'**,(?*,,«*»*»,-'.(**-*-)),(« (*()*(, *-,*((23'".*1.3.1 ««.»(tightness)24»*,(.>,**',*.«>»*-(bid-ask spread),.23«!.,$>̻424$ '>[3, 77]-2006 (((,,(>('«'…,',,.» [9].40[3]-«37», <:» NYSE14( >NYSE) *,*1 ))(*([15] – « *».*(quoted spread), . .•-**;*•**',--,',-;))•*(realised spread),(effective spread),(*.,*,'**,*.6((*,(*'>>.-,>-( *)*()-) ).
-,(*'**,*>'*(.(,-'.>,* -? -',*,(*))(*-.«)»38,(*,.6**--',,'*,)) -.6-'«25»))))(bid-ask bounce)"(implicit efficient spread),-[122]. -*' *(,-.' )>' ((*,*: 1)**'** >'-*,*-(.-*,>(. !,> *,,*->,.*(«-»)*,(25>-(asymmetric informationcosts). " ',-,, 3))(*--'(order-processing costs), 2)(inventory-carrying costs)*. [83, 90]),–«( )» [3].*(39()'((*.*,--.',*. 6*>--* '.-9 ([83]. -')***>*,*«,>«* >*'>,). 3((:'>?,'.( (( )(,[124].
-)(,( '-(?*,» (breadth). 7«(*-.» (tightness)( ,»>*,',>'(). 6.(,.#*',*. /+.40! ,+-1.3.2;(depth) '(**.*((' (?,. ;*?:*,*'*-*>,?*[111].(?(*' *book). ),(price im-),((,((().*' *-(limit order(market impactpact)*-??,>*( ,*." *'*,('* -,*). # ((*(-'.*,(( ,*)(-'*.#**( -, **( ,(-?-''6,(--.,*(*41'.(26*((((().,(,*,,ex ante((().(quoted half-spread)) *(?,?ex ante,*-','**. ,*'*,,'?''(,?(.-*-'(('). 6**''',*(*"*-(,,,*(*-(,'#-**.- ?((??->,ex post(-.->26(-.,',*./+.+*,','.42**1.3.3"(resiliency) '*, *>*,'),**(,(>,''-'.>»27,(*>( >,*9«'«(informed traders),).-(fair value)'>,>)28(.
!>'>((> ;(> .-–>-(value traders).(>*»*'>('»[77],)-*.(->,(,*.«(.(),,'-'27*28',>. . [11](.,,( . [77]).«>>43) *»,' *' *',-*.6>-(con->trarian traders),.>*,>>'**-,,*(,>,-* ,-*-.#**,().',)(,>' -,)'>. !>)-(-(*,>,))',(((***>*>((**-,.:-( » *«(*(-.
/, *''*'>.*(A),-,* >'(.3«'*(« *( »,-)»'*.44,,#*',./+,*.+1.3.4(immediacy) '***?()*.*(.>.-(''(*, ++ 7)**(*.>>«» (matching). 3,*>*( . 3,,#-,.',. /(.*-+,*+-(-.1.3.5.**" . 1:45,- ?*'- ?*'%Paskt11*Paskt+11«"»';*1*Pbid10: Bank for International Settlements. Market Liquidity: Research Findings and Selected Policy Implications.
Report of a Study Group established by the Committee on the GlobalFinancial System of the central banks of the Group of Ten countries, 1999, . 41.*&. 1 -&.') /)$%2$%7 "* ,*+$%& *.*,**((' " . 1),, Pask ,, Pbid (" . 1),6*.*(*,'»-,*-'*#*« ',.$*(()'*-*)* >,,(''-.,(CGFS) 7,)(BIS) [111],*,46,** ,>*'',*»(*-*, ' -», (,«')).-* >5«(,,(>.'>.-*,,)>[111],*'', . .*'*'''*'*','*,*,*>-((--).7(,,('. #*-."'*-'. - >',( ,-*.-**-.(*>(,'+?','*'',(*-',''(–)-'.*–-((='*)( ( .6([116],( '-((-47>*«-»'))('''*-.*'*((,'*-*'('*,>->'>()(.(((* >' *(limitorder book).',('3*',((),>>***)(,( *'*' *' *,.* -,[2].!1.4-"-:(**>>(-(()((,,() >.**)(>***,(*) >, ).((-,)'))->()'48,''')*-'**'*.7*.6*(,).*))*)**-**)>-.*',-*',>',>(( ,**' *>,,.)(*(,'*' *-'((costs of doing business) [120].)),' *->).")',) >,(,>' )>>*.'')( >),>).49-->>)?*:(−−( >;*;−;−( '-(tradefacilitators);'−−(';;(−(direct market access);'*−*(),.%,,(.!((),***,(>*>29).,(,***>>(()-( ))29*,,.!('-,)()'?(-,-*( '*>).50-30',**(, .
.-(>1*.,(,,-)(.*>,( -)(),*((-(.-)?*(:?(,(?(average daily volume),?(total shares outstanding),','(free float).5?)*:('(retail trades),– block trades)(– large block trades).*>-.,,*> ((,*([77].,.**>((()-.30-#),(,* .51>*,),?>,).*-'().>-4,>>,>,.,10 000'*('))>>*10 000>*-*'100>9'(*).(( ,>,?,?* -*?31,>.%(((3(,((-',?'.[77],( ,?,)(,(-(NYSE(-(.6,.()-,?(()-*(',((. .),).(>,(316((-,(->)(?52(.''*'>(.((,*,)),(-*-.()***>>'32'?.;(**)'*>-)'.->'(('>,)>) (> (frag*,mented liquidity)>',(.6**-*,33('',*(>'*.)*-,(*.,.(')>.!,',*>*'-322001 (,),((>NMS)*33'().)=$,,*) (,( ,>(''.
,( ,,' =$(2007 ((=$ (Regulation National Market System – Reg[8].'') *((">)>53)('*-')' **(('*-(?),'',(»,.)>,'* >>(,('(,( '* >'(*(>'>-*). !>),,'**>' **(,' (-.(*,,((((.(,(-*** -*(,(-))((>95].[94,)(,*>>,>(>' -–()*-*).*,-,«#.), . .-. -*?,54*' *?*. 6(*>.$>(,(*>*'(>,*--). 3-)*#>,-'.,(())>(( ,(,'(**>>' ))>,*-'>>()-./*(,(*, ,-)'*.7[125].>,,(*6(*'*'* (,?(),*( ),(*',.6',(('(, .
.)55(. 1.1-). 6((**-*–( (>,( **)*(*.'?*-*,(,*,**,->->(7( ,'))'-( '>)((,),(?(-*>).(,),**->((>**>(-),(*,*."('*,*,)((*,-***.(?' ****('-*'())).*,(.*56,>'#*'' *>,(,'.)*-**' *(*,','-'.-*-**-( .)>-,'>-'().*>,)),*,((*,( >,.*,,>-((block dealers),>,-((block brokers)34.('>(price concession),([58].*>berg, Bridge(*'-> ***'*)(order indications),'' (, Bloom-.).
-),, «*» (hanging over the market),34('--' (warehouses),Deutsche Bank).'>57')(', Goldman Sachs-,*,*'( -(front-running)35.((2**>*'.'(,-*'(best execution),-*>-('[109, 133].( ,*- («>'((»,','*,(-).#>)(**,((dark pools of liquidity),(crossing networks)'«(upstairs markets), (»''(matching)**,auctions).'(callPOSIT***>-> *(). -((6'((,( '35',('*',-*(trading venues)".,*,'.58,*(smart>>,>order routing)*.*«((liquidity fragmentation),*'(( ,***>',-,>,*««**/(»*-,,>' -» [6].(, '–* >-.7( ,)*(()>(*mission strategy)>*(*>'*(--*(order sub-,(> «»(''-"(-)*36').( .(''-'>*',,,(,'*(,– In-.*>-(direct market(.6'*(sell-side)access)3737*ECN (.36).**( > -' (ATS),stinet, Archipelago, Island-(' ,'-((''»*?)->((*( .59( ,.(( ,(-*(*, benchmark)*(performance)).6((((>-,38>(gaming)*(ex-ante)((,))*(,.-(,*.38(- («)* (>*»,(,*,,.60>'),>-#2."#2.1-> ),'-*,.6*'*), '('' (commonalities in liquidity39).
:(*',*,((,()'>-*>,, ". "[78]. 9>*.#. 9*,'.(*.#(',*),40*'$.*'.9'.9[47],[85],*).6-)->,,(.-*,,'.6+1997 (>',, #. 93940**), ". "9,"',(*$.'('1998 (61-*'[47],[47].*.')-(.9 -*.*. 9>[78]*.9>. 9,*,*.[85]''.*[78],*'*' 30>,'''-(Dow Jones Industrial Average). 6* 1994 ((')**.')?'*>*'''. -?.,)-. 9>.,, ". "$.'[41]* *[85]'*' (cross-sectional)',*>(NYSE) * 1992'>-41996 ('(intraday data),-,'9'>,'. #. 9,),(*')-**(*'.6'*,''>-.6,*-*,> >''-' (**( )-(common liquidity factor).**(62''),'(CAPM).$. ;.>[86]>CAPM*-,' (net re-$.
;*( &.,([24],-(*.$. ;, .>[86]* >>*+. 76.>,.6'-*[86]9. +>*,CAPM [12].* .->'*')')*turns).> *-(-, ..,'($,-$.'(,[43].*,>) **((),*->,,*', LVaR. #,1990-' (,*«'-,-(»,.'(*)(.*-',*VaR.63* >-"2.2(')*',(1. -->,,>>*)*(bid-ask spread)':-(price/market impact),**. -,' *«-(»'-'."*?(price-quantity function),[90, 127]. 6)>*-(-(*>((depth)'?(>**–(?>(quote(normal market size). 6 >(ask),* ->–>(bid)," .