Central Economics and Mathematics Institute

About: Central Economics and Mathematics Institute is a facility organization based out in Moscow, Russia. It is known for research contribution in the topics: Population & Foreign-exchange reserves. The organization has 297 authors who have published 580 publications receiving 6449 citations. The organization is also known as: Federal State Institution of Science Central Economics and Mathematics Institute of the Russian Academy of Sciences.

Shortest path feasibility algorithms: an experimental evaluation

Abstract: This is an experimental study of algorithms for the shortest path feasibility problem: Given a directed weighted graph, find a negative cycle or present a short proof that none exists. We study previously known and new algorithms. Our testbed is more extensive than those previously used, including both static and incremental problems, as well as worst-case instances. We show that, while no single algorithm dominates, a small subset (including a new algorithm) has very robust performance in practice. Our work advances state of the art in the area.

Interaction of the Russian Financial Markets

Abstract: The different segments of he Russian financial markets are studied in the paper. The market crashed on 17 August 1998. We consider the stable period of the market between May 1996 and October 1997. We study the structure of interactions between the GKO market, stock market, currency market, currency futures market, GKO futures market, interbank credit market. We study the relations between the world financial market and the Russian financial market. It was shown that, in the period under consideration, different segments of the Russian financial market became more integrated and the market as whole became more stable and more integrated in the international capital flows.

Topics in the Duality Theory for Mass Transfer Problems

Abstract: Duality theory for nontopological versions of mass transfer problem extending the classical Monge-Kantorovich problem is developed. Applications to dynamic optimization and approximation theory are outlined.

Эволюционная теория экономической политики. Часть II. Необходимость своевременного переключения

Abstract: This is the second part (first part: Voprosy Ekonomiki, 2006, No 7) of the work on how economic policy of a developing country should change as it approaches the level of developed economies in terms of welfare (GDP per capita) and the quality of institutions. We focus on the impact of several policies to promote the catch up development: the speed of foreign exchange reserves accumulation ("exchange rate protectionism"); import tariffs; measures to attract foreign direct investment; import of technology versus indigenous RD regulation of migration and measures to support large versus small enterprises. The econometric analysis of the data on over 200 countries in 1975-1999 shows that the impact of these policies may be positive or negative depending on a stage of development; in each case we find threshold levels or critical combinations of GDP per capita and/or an institutional quality indicator. Thus, there is additional evidence to support the conclusions made in the first part of the article and based on the analysis of the evolution of economic policies in the Western countries and in the countries of successful catch up development ("economic miracles").

Mean Square Error for the Leland-Lott Hedging Strategy: Convex Pay-Off

Abstract: Leland's approach to the hedging of derivatives under proportional transaction costs is based on an approximate replication of the European-type contingent claim VT using the classical Black Scholes formulae with a suitably enlarged volatility. The formal mathematical framework is a scheme of series, i.e. a sequence of models with the transaction costs coefficients kn and n is the number of the portfolio revision dates. The enlarged volatility, in general, depends on n except the case which was investigated in details by Lott to whom belongs the first rigorous result on convergence of the approximating portfolio value to the pay-off. In this paper we consider only the Lott case alpha= 1/2. We prove first, for an arbitrary pay-off VT = G(ST ) where G is a convex piecewise smooth function, that the mean square approximation error converges to zero with rate n^1/2 in L2 and find the first order term of asymptotics. We are working in the setting with non-uniform revision intervals and establish the asymptotic expansion when the revision dates are t_ni=g(i_n) where the strictly increasing scale function g : [0; 1] -> [0; 1] and its inverse f are continuous with their first and second derivatives on the whole interval. We show that the sequence of approximate error converges in law to a random variable which is the terminal value of a component of two-dimensional Markov diffusion process and calculate the limit. Our central result is a functional limit theorem for the discrepancy process.