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卷 61, 编号 4 (2025)
World economy
Objective and subjective factors in stock index dynamics
摘要
This article analyzes the dependence of stock index dynamics on two types of factors — objective and subjective — which are understood, on the one hand, the dynamics of economic development, and, on the other hand, the activities of various stock market participants, affecting both the dynamics of the entire stock market and the values of stock indices. At the beginning of the article, the structure of the ratios of these factors is considered, and a summary of the content of the article is given. It is assumed that the main trend in the dynamics of the stock index, represented by the regression model, characterizes the results of objective factors, and deviations from it — subjective factors. After reviewing the works devoted to the construction of regression models for various stock indexes, a brief description of the history of the creation of the most famous stock index, the Dow–Jones index, is given. Based on the dynamics of this index for 1897–2024, regression models describing its main trend are built and the deviations of the index from this trend are analyzed. It is assumed that this trend depends on the objective characteristics of economic development, and deviations from it depend on the influence of subjective factors. It is shown that the main reasons for these deviations are incorrect time and intensity changes in the list of companies for which it is calculated, made by the managers of the index. This is interpreted as the influence of such a subjective factor as the “human factor” on the dynamics of this index. The level and significance of these deviations are further assessed against the background of the dynamics of US GDP, and it is shown that although in some periods of time the “human factor” deviates the dynamics of the index from the dynamics of US GDP, in general, the dynamics of the US economy has some “attractive force” for the dynamics of the Dow–Jones index. In conclusion, it is noted that when constructing models of stock indices, it is necessary to take into account the specific features of their structure, including the principles of changing their lists, the role of coefficients in the formulas for calculating these indices, and their other characteristics.
Economics and Mathematical Methods. 2025;61(4):5-17
5-17
Problems of national economy
Probabilistic approach to planning technical preparation for the implementation of innovative projects
摘要
The current stage of development of the Russian economy is accompanied by fundamental changes in the innovation sphere. The processes of obtaining new knowledge and technologies and their effective use to improve the level of socio-economic development of the country largely determine its significance and place on the world stage and play an important role in ensuring national security. However, at the stage of technical preparation for the implementation of innovative projects, not all entities and not always can correctly determine the potential prospects and dynamics of transformations. This indicates the relevance of the topic of scientific research. The current practice of organizing technical preparation of innovative projects is often accompanied by various kinds of errors. The most significant of them are associated with incorrect estimates of the timing of individual stages of the project, a low level of communication between its potential participants and insufficient elaboration of various options for its implementation. The consequence of this state of affairs is obviously incorrect estimates of the dynamics of external and internal environmental factors, insufficient consideration of the physical and cost volumes of material and technical support, a low level of preparation of pre-project and project justifications for the implementation of innovative projects. These and a number of other circumstances entail a decrease in the effectiveness of investments in the innovative sector of the real economy. The authors believe that the use of probabilistic planning methods will increase the level of interaction between all investors and performers, and will also help to better assess innovation risks taking into account the project implementation timeframes. It is proposed to make a decision on choosing a project option for its further implementation using probabilistic planning and game theory methods.
Economics and Mathematical Methods. 2025;61(4):18-28
18-28
Econometric Assessment of Hidden Economic Growth Factors in the Russian Federation
摘要
The article provides a detailed overview of research related to the problems of economic dynamics. It is shown that well-known models of economic growth are based primarily on assessing the impact of internal factors on the Russian economy. An econometric assessment of economic growth factors and priority areas of its development was carried out. The following hidden growth factors and their importance were identified: focusing investments in fixed and human capital on the technological development of the country (68.99%); the growth of investments in fixed and human capital mainly in export-oriented industries (13.70%) and others. The implementation of the approach proposed in this paper, based on a comprehensive assessment of the impact of hidden factors on economic dynamics, GDP, and GDP per capita, will consistently increase investment in priority projects and achieve the best result from a variety of potential economic opportunities. At the same time, the fact of the increasing importance of openness of national economies should be taken into account. The latter, being more or less integrated into the global economic system, can both benefit from this participation and incur losses. The main promising areas of development of the Russian economy were identified.
Economics and Mathematical Methods. 2025;61(4):29-43
29-43
Industrial problems
Topological model as a tool for analyzing the processes of diversification of defense industry enterprises (the example of “Rosatom” State Corporation)
摘要
The topological model presented in this article is a tool for the economic and mathematical analysis of diversification processes in enterprises of the military-industrial complex carried out by “Rosatom” State Corporation. Based on an analytical review of scientific literature, the most pressing issues of diversification of defense industry enterprises were identified. The lack of a theoretical and normative-methodological framework for studying transformation processes is noted. Critical analysis of the methodology governing the activities of defense enterprises revealed shortcomings such as a standardized approach to diversification, a predominance of quantitative indicators, and the absence of adequate indicators to reflect economic feasibility. The existing problems can be eliminated mainly by using the topological model described in the article. Its development was based on conditional data that was structurally close to real information on a representative sample of enterprises, including scientific, scientific-production, and production organizations. Based on this model, seven categories of enterprises were identified, characterized by similar patterns in the transformation processes under consideration. Within the model framework, the joint changes in performance indicators and the levels of diversification of these groups of enterprises were investigated, and their dynamic stability was analyzed by comparing the identified patterns for two time periods (2018–2020 and 2021–2023). This work demonstrates graphs showing the topological areas obtained for the identified categories of companies. Numerical boundaries for these topological objects are also provided. The results obtained substantiate the conclusion that a differentiated approach to the problems of transforming the industry in question is necessary and can also be recommended for improving methodological provisions governing the planning processes of diversification at “Rosatom” State Corporation enterprises.
Economics and Mathematical Methods. 2025;61(4):44-57
44-57
Using online data to construct hedonic price indices for smartphones
摘要
In this work, hedonic indices and hedonic regressions are estimated for smartphone prices. The indices are built using a special collection of big data from online retailers that comprises a large number of representative observations and a wide range of product attributes (1.9 million distinct smartphone price observations since July 2022). We demonstrate that, for smartphones, the dynamics of hedonic indices built with the techniques suggested in the literature are substantially greater than Rosstat price index. Furthermore, we indirectly validate that the skimming pricing strategy of smartphones, in which a high price is initially set for a variety and then lowered. In the case of using simple methods of accounting for quality in the consumer price index, that is common among statistical agencies, the use of pricing strategies by manufacturers and retailers, along with frequent changes in product ranges, ultimately result in the depletion of the observation sample and a bias in the consumer price index. This supports the use of hedonic regression-based techniques to enhance the ways in which price dynamics are adjusted for changes in quality. Hedonic regressions should use all quality attributes that are pertinent to price fluctuations as regressors rather than fixed effects of varieties, according to another finding. A bias in the consumer price index happens when simplified regression specifications are used. For price adjustments, Rosstat will be encouraged to collect information on all qualitative traits of the varieties. Increased confidence in the published data will result from the addition of hedonic methods to Rosstat’s toolkit, which will help make the published CPI more representative.
Economics and Mathematical Methods. 2025;61(4):58-72
58-72
A Performance-Based Approach to Assessing the Price of Future Civil Aircraft
摘要
At present development of advanced civil aircraft is one of the key priorities in Russia. To become commercially successful advanced civil aircraft should provide competitive lifecycle costs. Accordingly, it requires balancing operational expenses and consumer-acceptable pricing during an aircraft design phase. However, price evaluation of a prospective aircraft with the analog method or the income method can be challenging due to the lack of a direct analog or the impossibility of obtaining a reliable long-term forecast of air transportation tariffs for a horizon comparable to the development cycle of the object of assessment. To address this problem, this study proposes a methodology for estimating the price of future commercial transport aircraft, combining cost-based and analogy approaches. The price is calculated as the sum of a modern analog aircraft price and the discounted savings future aircraft operation, adjusted for projected amount of passenger traffic. New regression models of price dependence on technical parameters such as passenger capacity, range, thrust-to-weight ratio, maximum takeoff weights are used to estimate the analog aircraft price and an advanced aircraft operational costs. Additionally, the article describes the results of testing the proposed approach for estimating the price of a next-generation passenger aircraft.
Economics and Mathematical Methods. 2025;61(4):73-85
73-85
Проблемы предприятий
On the problem of optimal control of operating backup machines
摘要
We consider machines used in the production process of an enterprise, the failure of which leads to a stoppage of this process and losses. The technical condition and operating characteristics of machines deteriorate with an increase in their operating time. We construct a model for determining the optimal service life of such machines, which assumes that a failed machine is disposed and immediately replaced with a new machine of the same brand. However, the replacement process usually requires random, sometimes quite a long time. Then it is advisable to use a backup machine, and the subject of consideration is a complex of interchangeable main (working) and backup machines of the same brand. In this case, losses from stopping the production of the enterprise arise only after the failure of both machines of the complex, when orders for the delivery of replacement new machines is not yet been fulfilled. Methods of reliability theory and general principles of valuation theory allow us to construct a model for solving the problem of optimal control of the specified complex in discrete time. It turns out that decisions on decommissioning of one machine of the complex, on its designation as the main or backup machine should be made depending on the existence and condition of the second machine. The calculations carried out allow us to assume that of the two machines in the complex, the machine with the lower operating time should be designated as the main one, however, it is not possible to prove the validity of this hypothesis.
Economics and Mathematical Methods. 2025;61(4):86-97
86-97
Mathematical analysis of economic models
The model of a decentralized project tokens allocation
摘要
The development of distributed ledger technologies (blockchain) led to the alternative ways to finance projects based on the issuance of tokens — digital accounting units in blockchain platforms. Unlike traditional financing mechanisms, the use of tokens allows for greater flexibility in fundraising and income and management rights allocation among stakeholders. An urgent problem that arises when using this mechanism is to determine the proportions in which tokens are distributed among the stakeholders of the project. Currently, this problem is solved by each project individually, based on its organizers’ subjective vision. In the article, the problem of token allocation of a decentralized project is investigated from the point of view of cooperative game theory. A token allocation model is considered in the form of a three-party cooperative game and the properties of its solutions are investigated, based on the core, Shapley value and nucleolus. The model allows to obtain estimates of rational token allocations corresponding to the participants’ contributions in the project, as well as stable to individual parties and their coalitions deviations. It also makes possible to solve the inverse problem of assessing the contribution of participants and their coalitions to the value of the project based on information about the past token allocation.
Economics and Mathematical Methods. 2025;61(4):98-110
98-110
Quantile XGBoost and SHAP in Creating and Explaining Forecasting Models for AI Tokens
摘要
This research aims to develop a model and methodology for forecasting logarithmic returns (logreturns) for a new asset class of AI (Artificial Intelligence) tokens. To obtain one day ahead forecasts for the 0.9, 0.5, and 0.1 quantiles, the use of XGBoost quantile models is proposed, which represent an ensemble, based on gradient boosted regression trees. Quantile models have an advantage in terms of forecasting over traditionally used regression models because they allow for the estimation of not only point forecasts but also of their confidence intervals, while remaining robust to outliers. This is especially important when forming the forecasts for various cryptocurrencies’ market characteristics, which are known to be highly volatile. In addition to forecasting, the study conducts a post-forecast analysis using the SHAP (Shapley Additive explanations) method, which allows to interpret the XGBoost model, revealing key factors that are important for forecasting AI tokens’ logreturns. Based on the results of feature importance analysis with SHAP, a significant influence of AI stocks’ market characteristics, cryptocurrency market investor sentiment, seasonal fluctuations, as well as features related to the Blockchain ecosystem was identified. The paper also discusses and addresses the shortcomings of modern forecasting and post-forecasting analysis approaches for time series in general. The obtained results, in addition to academic interest, are relevant for private investors, risk managers, firms and regulators.
Economics and Mathematical Methods. 2025;61(4):111-125
111-125
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О.Б. БРАГИНСКИЙ
Economics and Mathematical Methods. 2025;61(4):126-126
126-126