Category Archives: Completed

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Risk Evaluation in Economic systems (SPbSTU Press, 2005)

A new lecture textbook for МА specializing in economics, mathematical and quantitative methods, macroeconomics and monetary economics. Basic forms of economic system stability and new quantitative methods and approaches to its are considered. Main attention is paid to issues of amount and sufficiency of information in the system. Novel approaches to forecasting and simulations of complex economic systems dynamics and their application examples are presented. O. Y. Uritskaya. Stability and […]

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Optimal Exchange Rate (SPbSTU Press, 2004)

Financial stability of national currencies involved in the globalization process requires flexible regulation and control of exchange rate fluctuations dynamics. Government control of currency fluctuations aimed at reducing inflation trends is favorable for economic activity such as forward transactions, business planning, contracts etc. However, in the long term this control prevents national monetary systems from adapting to changeable global environment and can eventually produce large-scale currency crashes. In this paper, […]

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Stability of Revenue Flows (SPbSTU Press, 2004)

Analysis of temporal fluctuations of the volume of income taxes collected in St.Petersburg administrative districts has been performed. The dynamics of the analyzed time series has a multiscale noise structure which includes both periodic and stochastic components. Using the Fourier spectral analysis technique, the Hurst’s rescaled range analysis and the Pareto distribution method, we have recognized the groups of districts with low and high stability of the 30-day microeconomic cycle. […]

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Fractal Structure of Monetary Crashes (SPbSTU Press, 2004)

Nonstationary fractal analysis of currency exchange rate fluctuations in 162 countries with different political, financial and economical systems during the period of 1995-2002 has been conducted. The C.K.Peng’s detrended fluctuation analysis (DFA) is applied in order to reveal inflation tendencies and unstable regimes in currency dynamics over a broad range of temporal scales (5 minutes to 90 days). We show for the first time that the fractal structure of exchange […]

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Basics of Decision-Making Theory (SPbSTU Press, 2002)

Overview of the Decision-Making Theory lecture course for B.A. and M.A. graduate students of Management Department of University. A new method of teaching is presented which includes formulating and solving of inverse problems, i.e. providing the proof that given alternative is optimal. Students are given the opportunity to learn about basic stages of modeling and making decision processes, and, what is the most important, about the inherent limitations of quantitative […]

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Basics of Risk Theory (SPbSTU Press, 2002)

Outlines of a lecture course of advanced Economic Risk Theory created for M.A. graduate students specializing in economics, management and business areas. The lecture course summarizes an 8-years experience in adapting and clarifying for economists a number of complicated math theories are presented such as catastrophe theory, fractal theory and fractal analysis techniques. The course includes theoretic materials and computer games reproducing realistic conditions of risk-involving decision-making at currency exchanges […]

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Exchange Rate Dynamics (SPbSU Press, 2001)

Results of fractal analysis of currency exchange rate fluctuations in several groups of countries with different financial and economical systems during the period 1995-2000 are presented. We demonstrate that the C. K. Peng’s detrended fluctuation analysis can be used as a sensitive tool for identifying inflation trends and revealing unstable regimes in currency dynamics over broad range of temporal scales. The developed quantitative criteria allow to characterize the efficiency of […]

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Tax Revenue Dynamics (SPbSU Press, 2001)

In this project, we investigated fractal properties of temporal fluctuations of the volume of income taxes collected in St.Petersburg, Russia in 1996-1997. Time series of tax inflows typically consist of periodic and stochastic components. We show that the main periodic component, which represents the 30-day economic cycle, is strongly influenced by random fluctuations. We estimated a degree of randomness and uncertainty in the studied time series using the E. Hurst’s […]

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Economic Risk Theory (SPbSTU Press, 1999)

The modern approaches to forecasting critical conditions and catastrophic events in complex economic systems are introduced. Examples of application of quantitative methods of the economic risk theory to analysis of stability and diagnostics in economic systems based on statistical and/or nonlinear processing of time series are represented. The main attention is devoted to ways of holistic modeling of stochastic economic system behavior and problems of quantitative estimation of economic risks. […]

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Decision making theory (SPbSTU Press, 1999)

Modern mathematical methods and approaches to solving various applied problems in frames of the general decision making theory are considered. The decision making theory deals with the process of optimal alternative selection from a set of possible alternatives and corresponding models. Exposition includes types of conditions for making the decision: full information condition (criteria analysis), risk or uncertainty condition (game theory) and partial information condition (statistical games or games against […]

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