close

Вход

Забыли?

вход по аккаунту

?

Реструктуризация крупных портфелей ценных бумаг в условиях низкой ликвидности рынка

код для вставкиСкачать
ФИО соискателя: Науменко Владимир Викторович Шифр научной специальности: 08.00.10 - финансы, денежное обращение и кредит Шифр диссертационного совета: Д 212.048.07 Название организации: Национальный исследовательский университет "Высшая школа эконом
Ha npaeax pyKonucu
BurcropoBl,Iq
HayvreHno B"rraAr.IMIrp
pEc T PyKTyPpI3AIII,Ifl KPy[HbIX rI OPTOEJIEpI
TIEHHbTXFvMAf B yCJIOB Vrfl)( HI{3KOIZ
JITTKBI{NHOCTI,I PbIHKA
o6parqeul4eI{ KpeAI{r
CneuuaruHocrb 08.00.10- OuuaHcbl,AeHex{Hoe
ABTOPEOEPAT
AHccepr ar\vrr4Ha co14cKaHI4e yv eu ofr cr eII eHI4
HayK
KaHArrAaraSKoHoMr4qecKux
Mocxea- 2012
Pa6ora BbInoJIHeHaHa xa$e4pe ynpaBneHr4flpvrcKav^ru crpaxoBaHrar SaxyJrbrera
oKoHoMuKnSe4eparbHoro rocyAapcrBeHHoro aBroHoMHoro o6pa3oBareJrbHoroyqpexAeHlrr Bbrcrxero npo$eccuoHiurbHoro o6pa:oBaHkrfl<HaquoHamnufi r4ccneAoBarenbcKnfiyuunepcrrrer <Brrcuraq ITIKoJIaSKoHoMHKr4>.
Hayunrrfi pyKoBoALIreJrb
:
KaHAHAaTSv:zr<o-vareMarlrqecKr4x HayK, AorIeHT
CruupuoeCeprefi Hnrcoraesu.r
O@nquanbHbreonrIoHeHTbI:ArexnHBopucllsaHonuq
HayK,npoQeccop,
AoKrop sKoHoMrrrrecKr4x
Poccuficx uir rocy 4apcrBeHHbrfiryuauurapHrrfi
yHprBepcr4rer,
npo$eccop ra$e4prr <<@unancrr
r4KpeAr.rr>
Srouour4qecKoroSarynrrera
Llncruryra
oKoHoMr4KH,yilpaBreHr4q v ilpaBa
JIo6anon A.nerccefi
Anaro.nreBrrq
KaH.{IIAaT 3KOHOMprrreCKr4X
HayK,
IfeHrpanrnufi 6aux Pocczficrofi @egep
arJW
(Banx Poccuu),3aMecrr{renb
Ar.rpeKropa
BaHvfl
[euapranaeura6asroBcKoroperynr.rpo
Be4yrqax opraHv3arlr4q:
Mocrconcr<ufi
rocyAapcrBeHnufiyHrrBepcr{Ter
rrMeHrrM.B. Jlo*rouocona
3anlura cocrol4rcx <<20>>
ceuu6pr 2012 r. e 14.00 qacoB Ha 3aceAatr4ur:aecepraIII{oHHorocoBera 4212.048.07 upraHaquosarbHoM r4ccneAoBareJrbcKoM
yHr4Bepcr4Tere<<BrtcuraqITIKoJIa
oKoHoMr{KH)rro aApecy: 101000, Mocrna, yn. Mxcnr4qKar,
r.20,ayt.327-K.
B 6u6tuotexe HaquoH€LrrbHoro
C 4ucceprarluefi Mo)KHoo3HaKoMI,ITbcr
r{ccneAoBaTeJrb
cKoro yHr4Bepcurera <<B
rr aurafl,rrrKoJra 9KoHoMr4Kr,r))
(
AnropeSepar p€BocJraH
2012r.
YqeHrrfi ceKperapb
AHCCepTarIrroHHOfO COBeTa,
AoKTop 3KoHoMHr{ecKHXHayK, upo$eccop
(DznocoQonaTarrqna f eoprr4eBHa
I. O6uras xapaKTepucrnKapa6oru.
ArcryannHocrb reMbl rIccJIeAoBanu;r.r.
IrlnrepecHayr{Hbrx
KpyroBra$uuanconopr$eneM B ycnoBr4rx Hlr3KofiruxeuAHocrr4 pbrHBbrxr4HcruTyroBK yrrpaBneHr4ro
Ka 3Harrr4reJrbHoBo3poc B cBfl3n c rIocneAHI4MI,IKpl43r4cHbrMr4
co6rrrzqNaw 2007-2009
ff., orJrr4qureruuofi oco6eguocrblo
Koropblx cr€ulo pe3Koe rraAeHl4eH Aaxe r4cr{e3-
pbrHKaHeKoropsrxSuuaucoBbrxr.rHcrpyMeHTo
HoBeHr.re
KBHAHocrr4
B.
Jrr4
pbIHKailpLr rr3MepeHr4vt
pvcKa nopr$enr
Heo6xoAr,rMocrbyqera nrIKBI4AHocrH
14rrocrpoeHuvrruoAenefiqeHoo6paeoBaHprfl
QuHaucoebrxaKTrrBoBnpoAeMoHcrpr{posa o6rseJreHr4eM
BaJrvco6sttur^, nocneAoBaBrxr4e
4e$onra rro BHyrpeHHeMyAonry
pblHor{Hoi,t:luxnugHocrr4Ha pa3Brrrbrx
Pocczra77 anrycra 1998 roAa. IrlcqesHoneHl4e
pbrHKaxKanr4Tiura,
Koropble, flo o6rqeupraHqroMyMHeHI,IIo,He [rMeJrLr
Hr{KaKoroorrBJreHHeM.llpou:orue4HorrreHrrf,x poccraficKoMypbrHKy,cruuro6ecupeqeAeHrHbrM
ltui,r B pe3ynbrare 3roro Kpax xe4N-SoH4a Long Term Capital Management
(LTCM)
pblHKa rrpnrroKa3aJr,qro B cnyqae BHe3arrHoro r4crrapeHr4flJrHKBr4AHocrr4
MeHeHr{e cJro)KHbrxSunauconblx
MoAenefi, ue yqurblBaloull4x pbrHor{Hyro Jrr4KBr4A-
HOCTb,MOXeT rrpHBeCTr4K Cepbe3HbrMrrocJreAcrBr4rMAnq Bcex yqacrHr4KoB pbrHKa
He3aBHOr{Moor xapaKTepa [poBo.{r{Mbrx onepaqufi
oco6o orMerr{Tb, trro EasemcrHfi
Ha pbrHKax KarruTaJra. Crorar
xotuurer IrocJIe 3TI4x co6rtrrafi BnepBble o0rauu-
puuxon'.
Jrr4KBr4AHocrr4
aJrbHorrpr't3HanBaxHocrb vrcy-ueHtrfl,
Saxropon u [r4HaMvrKr,r
pvcKa H ynpaBneHwflnopr$enev e
B nepnyro oqepeAb upo6reua r43MepeHlrfl
r4HBecropoB,
ycnoBr4rx HHsxofi JruKBrrAHocrrraKTyzLrrbHa
An{ r4HcrHTyIIHoHiuIbHbrx
II3MeHeHrIecrpyKTypbl noprSenr Moxer noAnfl Koropbrx Aa)KeHe3HarrlrreJrbHoe
Brer{b ra co6oft coBepueHrrecAenoKKynnu-[poAaxl{ KpynHbIXo6reMos. B erccrpeno r{eHHofi6yuare I4nI4npoI43BoAHoMy
cnyqaqx o6reru no3r4rlr4r4
MaJrbHbrx
Sr.rHaucor{To tIpH se6laronpvtrBoMy r4HcrpyMeHTyMoxer 6um HacroJlbKo3Har{ureJIbHbIM,
qeHbr ero BbrHyxgeuyan' uttu go6poBoJlbHat nLIKBI'IAauua6yAer coHoM ABprxreH:z;z-
y6rrrKaMl4 BrrJlorb 4o 6auxporcrBa. Kpovre roro,
rrpoBoxAarbcr KoJrocc€LrrbHbrun
I
Market liquidity: researchfindings and selectedpolicy implications.- Bank for InternationalSettlements- Monetaryand EconomicDepartment,Committeeon the Global FinancialSystem,1999.
t
o6ecneqenuq.
rpe6onauuqo BHeceHI4Ir
AononHI,ITeJIbHoro
Hanprrap, B cnyqaenonyrreHr4fl
[po6neMa II4KBI4AaIIvI4no3l4l{uit,uau6onee ocrpo nporBnflercfl Ha pbrHKax,o6latITo nyqure Bcero orpa)Kaercs, crra1r'tu o6revov
AarcIrII4xHtzsxofrnrIKBLIAHocrbK),
ToproBnl4wlutu ruupoKl4Mu6u4-acrcc[p3AaMIr, Koropbre oco6enno xapaKTepHbr
AJ]s
pa3BrrBaroquxcqpbrHKoBKanrrr€ura,B T.tI. poccufi croro.
Taruru o6pasoru, QraHauconbrM
rrHcrr4TyraMH KpynHbrMKoMnaHrzrM,rrpoBoAtI{r4M orIepaIIHH Ha pbIHKax KarII4TuuIa,Heo6xo.{r4M r4HcrpyMeHTapnir Als rr3MepeHI4t prrcKoB H Bo3Mo)KHbIXrlorepb, cBt3aHHbrx c HeyAalrHofi pecrpyxrypra:ar1Hefr
nopr$erx.
Ero pa3yMHoe rIpI4MeHeHrae6y4er cuoco6crBoBarb
rroBbrrrreHr4rocra-
6ulrsocrr.r 6auron H KoMrraHuirt,v r.tr. poccnficrux.
CreneHr parpa6oraHHocrlr reMbr. Hecrr,rorp.aua o6rqenpr43HaHHyro
3Har{[pbIHKa [I OKa3bIBaeMOfOero BJIH'HLTflHA TpaH3aKrIr4OHHbIe
MOCTbII4KBI4AHOCTI4
r43AepxKI4, He cyrqecrByer eAI4Horo rIoAXoAa K I43MepeHr4roAaHHoro ceoficrBa pbrHKa.
Eoree rofo, Ant c[equaJrucroB e o6racrn
pbrHQunanconbrx pbrHKoB Jrr4KBr,rAHocrb
Ka Moxer [IMerb puBnl4r{Hbtfictuucr. foeop-r o n}rKBr4AHocrH,oAHr,rnoApa3yMeBaror
cnoco6uocm
6rrcrpo roproBarb,
Apyrl4e - cuoco6Hocrb 3aKrror{arb cAeJrKHKpy[-
nrrx o6teMoB, Tperbr4- cuoco6uocrb roproBarb c Hr43Kr4Mr4
3arparaMr.r.[pyrravra
CJIOBaMI4,JII,IKBI4AHOCTb[MeeT HeCKOnbKO aC[eKTOB, [pr4r{eM pa3nr4rlHbre r.rHBecTopbr
rlo-pa3HoMyonpeAeJlslor 3HaquMocrbroro HJrr4r4Horo acrreKTa.BcleAcrBne raxofi
MHoforpaHHocrI'IrroH{THt nI,IKBrIAHocrr4
B nr4TeparypeHe cyqecrByer ee o6qenpraHTTO|OOrrpeAeneHlrr.
B pa6orax, [ocBtIrIeHHbIX I{ccneAoBaHVflMnHKBHAHocrrz,npocJrexr4Barorct
ABa ocHoBHbIXHa[paBJIeHI{f, onucaHu{ cocroqHr4r SuHancoBoro pbrHKa. flepuoe nocBf,IIIeHo I4ccneAoBaHI,IIo crarl4crnqecKl4x 3aKoHoMepHocrefr, cBr3brBarorrlnx pa3JIHqHbIelrHTefpanbHble xapaKTepvrcT[Ku pbIHKa, TaKr4eKaK, HarrpHMep, Jil4KBT4AHOCTb
rr BoJrarrrJrbHocrb.
[pyroe
HarlpaBneHr4e
KoHrleHTpr4pyerc{Ha v3yv'elr^nuMHKpo-
crpyKTypbl pbIHKa c Ilenbro aHaJrv3a BrvrflHkrfl,ycrpofrcrBa
pbrHKa z 4eficrnwir
or-
pbrHKa.
AenbHbrx efo yrIacTHHKoBHa JIIIKBI4AHOCTb
Irlccre4onaHvrfl, HanpaBneHHble Ha Bhr-rIBreHrIecrarkrcrvrr{ecKl4x 3aKoHoMepHocrefi 4lx
orrprcalnnfl,cocro.nHrlt pbIHKa, paccMarpr4Balor nlrKBrrAHocrb KaK oAHy r43
pbrHKa(nnrecre c BoJrarr4JrbHocrblo
r4HTerpanbHbrx
xapaKTepLrcrr4K
rleHbr,TpeHAoM14
ap.). OanaKo Ao cr4x nop He nrrpa6oraHo eArrHoeMHeHr4eo cocraBe 3Tr4xxapaKreprrcrr{K, a rroroMy rax Ha6op 3aqacryro oyqecrBeHHo pa3nuqaercr B p€r3HbrxMoAersx. OqeBI4AHo,tITo 3To BbI3BaHoorcyrcrBl{ela o6ulenpuutroi,t AzHaMr4r{ecrofinroero nHTeAenH SynxquoHlrpoBaHrrq pbIHKa, B cBt3rl c qeM Her r4 3aKoHoB.{HHaMr4Kr4
rpanbHbrx xapaKTepl4crl4K.,.{ocrarouuo rpKr4M npuMepoM f,BJrrercr orcyrcrBr4e
eAI4Horo MHeHI4flo roM, KaK Brl4qer iII4KBI4AHocrbpbrHKa Ha ero rau$oprnrarllroHHylo
e$SexrHnHocrb.
llonrrrru
noABecrrl npounrrfi reoperurlecxufi SyH4arraeHT
rroA perxeHne3rr{x
qenoro KJraccaMr{KpocrpyKTypHbrxrr,to4elefi
npo6rena [ppIBenH K Bo3HHKHoBeHLIIo
pbIHKa.IrIx rlertrro tBJlterct 6oree AerulrrbHoeorrr4caHr4e
BHyrpeHHero cocrorHr4t
pbrHKa.lanHrre MoAeJIr43aqacrylo cyqecrBeHHo orJrr4r{arorcrApyl or Apyra r(aK
orlpeAeneHrreMcocroqHur (rnurru r4lru HeflBHrrna),
TaK H Ha6oporraorrr4cbrBarculr4x
efo [apaMeTpoB.
Bo vuorux MrrKpocrpyKTypHblxMoAeux pbrHKanpr4 orrr4ca:n:zra
Jrr4KBr4AHocrr.r
I4crlon*yerct npeAno)KeHHufiA. Kafinorr,r3noAxo.q - paccMarpr4BarborAeJrbHbre:)
pbIHKa,Koropbre orrr4cbrBalornlrKBuAHocrbpbrHr{ac
6onee MenKIzexapaKTepr4crr4Ku
pa3HbIXyrnoB 3peHl4svr rrpr4o6re4raHeHnuAaror AocraroqHo nonHyro Kaprr4Hy.llo
MHeHI,ITA. Kafina, JrI{KBI4AHocrb
He sBrrercq qerrofi KoHrlenquefi, norouy r{To oxBarblBaerp{A pa3nI4rIHbIX
ceoficre pbrHKa,cBr3aHHbrxHepa3pbrBHo
c caMr4MrrpoqeccoM ToproBnn. Onuparcb Ha npeAnoxeHHble @. Enexolao yclonvfl
rrvKBvrAHocrr4
((cxarocrb))
pbIHKa,oH BbI.qenI,In
rpu acIIeKTa(a:rr,repenun,atpu1yra) lraxer4AHocrr4:
(t ightness), rny6zH y (depth) u penaKcaryuro(r esi I i ency)5.
,.{nr nonHolleHHoro MoAenupoBanlzflpr4cKapbrHorrHofiluxeu4Hocrr,r Aon]r(eH
6strr yqreH xax4ufi H3 srl4x acneKToBJrHKBr4AHocru.
O4uaKo Ha 4aHHrrfi MoMeHT
t Kyle,l. Continuous
- 1985.- Vol. 53. - Pp. l3l5auctionsandinsidertradingll Econometrica.
1336.
aBlack,F. Towardsa fully automatedexchange,
part I ll Financial AnalvstsJournal. - 1971.- Vol.
?
' 7.-Pp.2e-34.
C qeruo Hg6exarb ABycMblcneunocrefi 3Aecb I,rAanee npr.IBoAqrcr aHfJros3brrrHbregKBrrBitr'reHTbr
TepMr,rHOB.
AJrt HeKOTOpbTX
((C)KarOCTb))14 rny6vHa,
TOJTbKO
Ant rIpaKTLIqecKI4XIlenefr IXI{pOKO r4CrrOnb3yrOTCS
KoropbrM coorBercrByrcr
cneAyrorqr4e H3Aep)KKr4JTHKBlaAaT\vpr
nopr$en{:
cnp3A LI I43Aep)KKI.IBJII4tHr4fl.Ha I{eHy (market impact). Tarxe
noxasarerefr
6uA-acx
B Kar{ecrBe npoKcr4-
Mepbl nuKBrrAHocrI4 rlpr4MeHqrorcq pa3nnqHbre rroKa3areJrr4aKTr4BHo-
crlz roproBJII4 Ha pbIHKe (o6opor roproBnrl, r4HreHcr4BHocrbroproBnr4 rr Ap.).
Pa:yuHrte
crparer ukr IruKBlz'Aar\r4Lr
[o3Borqror
coKparr4Tb rr3,qepx(Kr4 BrrvrflHzfl
Ha IIeHy, oKa3blBaeMoro 3aqBKaMLI3Hatrr4TerbHoro o6rerua. Oupe4eneHlre paquoH€uIbHbIXcrparerzfi
vcrIoJIHeHI4f,3afBoK o6rrqHo cBf,3aHo c MaKcr4Muzaryueito)KH-
Aaeuofi rIoJIe3HocrI4yr{acrHl4Ka pbIHKa or JIIIKBIIAarllz:aroproeofi
rro3urlt4n npr4 He-
KOTOpbIXAOrIyqeHr4flX, HailprlMep, O IIeHOBOMrrpOUeCCekrrrv BpeMeHHoMfopr43oHTe.
MoAera 3Toro HarIpaBneHI4t, KaK IlpaBrrJro,3aAaror gK3oreHHylo cnerlr4$nraqraro 4nr
BIrLrflrlrzflHa IIeHy. llpz
3rrpyrcqefr noregnocrb,
erou 3arav,a Haxo)KAeHr4r crparerr4n JrHKBvAar\uvy MaKcr4Mr,rMoxer 6rtrr
[ocraBJreHa pa3nr,rr{HbrMncnoco6anar,r(uanpr.r-
uep, P. Anrurpen raH. Kpucc, {x. Eepr<onuq,
z 3. JIo, .{x. BaHr u
,{. Beprcr4Mac
A. O6r.rxaera,P. {xeppoy u A. CylpauauraaH).
I{e;rr
u sapaqv uccJIeAoB anlafl . I-{enrro zccneAoB aHkrfl flBrflerefl pa:pa6orxa
cnoco6a rI3MepeHLIqcrol4Mocrl,I nopr$erx,
yqr4TbrBaroqero JrHKBHAHocrbpbrHKa r.r
o6levrt orKpbITbIXrIo3HIlI{fi, a rarNe per(oMenqa\uit no yilpaBJreHr4ro
uopr$enerr,r
rIpI4ero pecrpyKrypv3arJnr4(nepecrpoitrceutu nHKBr{AarIuu)n ycnoBktf,xHu:rofi nuKBT4AHO
CTr,rpbrHKa nLrMLr'tVpOBaHHbIX 3aSBOK.
B cooreercrBl4lr c qenbrc HccJIeAoBaHvrfl,
6lr'r'u rocraBJreHbrcneAyroilIue ocHOBHbre3AIaqV:
1) lponecrl4 cpaBHr.IreJIbHbIit
aHa:lus cyqecrByroqr4x uo4elefi pr4cKapbrHo.IHofi nHKBrI.{HocrI4c llenb}o nrr6opa uau6olee noAxoA{rrlefi c roqru
3peHl4qIIenI4I4ccneAoBaHrfl.
MoAeJII4
crouAnr orIeHKuJrrzKBr4Aarlr4oHHofi
MocrnnoprSenr;
2) pazpa6orarbsonrtfi cnoco6 orpeAeneHnrJrHKBrzAarIr4oHHofr
crouvocrn
pbrHKa,onr4parorqwircs
nopr$enr c yqeroM uy6uurr u penaKcarluvr
ua
pbrHorrHo
nrr6pannyroMoAenbpr4cKa
it lluxr.ugHocrn
;
3) zcnonb3oBarb pa:pa6oraHHrtfi cnoco6 Anq onpeAeneHnqpaquouaJrurofi
uopr$eJlf, c yrreroM pa3nr4qHbrxoco6eHnocrefi
crparerr4r4 nr4KBr4Aarlzra
pbIHKa nI4Mr,rTI4pOBaHHbrX
Mr4KpOCTpyKTypbI
3arBOK;
4) nrrpa6orarb o6ulprepeKoMeHAar\vr4
no yrpaBJreHr4ronoprSeneM rrpr4pecrpyKTypH3aIJLrvB ycnoButx HH3Kofrz $parMeHTupoBasHofiJrr4KBr,rAHocTrrpbrHKa.
O6rercr u [peAMer lrccJreAoBaHnfl.O6rerrovr r4ccneAoBaHufl
rBJrflrorcr aKrlr4rrpoccuficrux KoMIIaHLIft,4onyrueHHbrxK TopraM Ha Mocroscxofi Naex6aHxoscrofi sanrorHofi 6r,rpNe (MMBE). llpe4ueroM rlccJreAoBaHuq
rBrrsercq nnKBuAarrr4oHHat crouMocrr noprQers) yrrvrrbrBaloulaqran$oprr,rarlzrc
o ruy6raHe14penaKcarlr4r4
pbrHKa.
TeopernuecKatr
I{ MeroAoJrorr{qecKafl ocHoBa uccJreAoBaHufl. Teoperuue-
cKyro ocHoByHacro{Iqero I{ccneAoBalar4fl
cocraBJrf,}orHayr{Hrrepa6ortr :apy6exHbrx
14 OTer{eCTBeHHbIXaBTOpOB B OoJIaCTH MHKpOCTpyKTypbr pbrHKa r4 ynpaBneljldfl
pvlc-
(8. Anexr,ru,P. AmMrpeH,f. Arvruxy,4,
KaMr4
A.Banrrur',B. Erafro,@. Blex, [.f.arrafi,
JI. fnocreH, A. foroAur.rxon,X. '{eruceq,P. flNeppoy, @. [rae6ong,A. Kaftn, K. Koou, H. KpHcc,,{N. Jlap,{x, 3. JIo, C. Mafiep, X. MeHaeJrbcoH,
lL Munrpov, M.
Mumep, A. O6HxaeBUA. lleponbA, X. Croll, !x.
Crpayrxafiep, P. lllnapu, T.
lllyepuan, l. Vnrxorra,C. Vprcren, JI. Xapprzc,Ax.Xac6pyr 14Ap.).
llprz paspa6orre cnoco6a onpe.qeneHl{rJrrrKBz4aquoHuoficror{Mocrr4 6lur
rIpI4Hf,THa BoopyxeHl4e noAXoA A. Kafina x pa:6r,reHr4ro
Jrr4KBr4AHocrH
Ha rptr orKoMrIoHeHra(<cxarocrb), rny6uHa r4 penaKcaryut).B xaqecrBe rleHoBoro
AeJIbHbIX
6euuuapxa ilpr4 oqeHKerpaH3aKIdHoHHbIX
H3Aep)KeK
Lrclonb3yercr 4eSHTIHTr4crroJrHeHr4q(implementation shortfull), rpeAJloxeHurrfi A. fleponr4oruo. Ha ero ocHoBe
qBJr{rorqaflcflvrHTerparrHofi
paccr{r4TbrBaerc{
r43Aep}KeK,
Syurqux rpaHcaKrlr4oHHbrx
xapaKrepracrnrofi ((clxarocrra>ra rny6r4HbrpbrHKa. llpra nrr6ope $opruynr4poBKr4
ongap.aqvAnq onpeAeneHusnr,rKBprAarluouuofr
Tr4Mr,r3ar.Ir4olruofi
crorrMocrr4 r4crronb3o6 Perold,A.The implementationshortfall: Paperversusreality ll Journal of Portfolio
Management.
- 1 9 8 8-. V o l . 1 4 .- P p . 4 - 9 .
B€uracbMeroAonofr4-flP. Anrnarpena u H. Kpucca, coBMecrr.rMarc rroAXoAoMA. tleponbAa. [nx
oqeuru BpeMeHI4penaKcaIIHHpbIHKa 6lr'l rpr4MeHeHno4xo4 {x.
pbrHorrHbrx
Ha KJraccusr,rrcaqraro
Jlaprxa', onnparcrqufi.cs.
co6rnnfi, npe4roxeHHyro
-
8 -
E. Bzilo ra Ap." B ra.{ecrne o6o6uleHHoro noKa3areJrflnr4KBvt4Hocrrr
rrpu anbrepHaTTTBHOMCrrOCO6e OIIeHIIBaHI4' BpeMeHI4 penaKCar\Lrr4 r4CnOJrb3OBa[aCb Mepa nr4KBHA-
HocruXLM (corparqeHr4e
or aHrJr.Xetra Liquidity Measure).
llu$opvraqnoHHas 6aza uccJleAoBantnfl.
Bce pacverrr 6ruz npon3BeAeHbr
c
r4crronb3oBaHneM pe€LnbHbIX BHyTpTIAHeBHbIX AaHHbIX O XOAe TOpfOB aKrIr4rMH Ha
MMBB 3a rrepr{oAc flHBapfl.2006r. ro 4era6pr 2007 r. OHrano4po6no orrr4cbrBaror
Bce BbrcraBneHHbleI4 cHf,TbIe B pexl4Me ocHoBHbrx roproB MMBE
3aflBKr4Ha noKyn-
Ky I4 rrpoAa>Ky)a raKxe 3aKrrcr{eHHbre Ha r4x ocHoBe cAenKr4. Attg BoccraHoBJreHvt
KaprI4HbI xoAa roproB HeAocraer roJIbKo yKa3aHun vnnr\vruropa xaN4ofi r.r:
nolnofi
3aqBoK,qro, orreBlrAHo,flBrrflercflxon$u4enquamHofi rau$opiraaryvtei,t,
He rroAnexa-
qefr pacxpbrrriro.
Hayunar HoBrr3Ha[ccJIeAoBanvfl. HonzsHaAr4cceprarllroHHoro
r4ccneAoBaHuq 3aKiuoqaercq e pa:pa6orKe aAeKBarHofo, Kar{ecrBeHHoHoBoro cnoco6a onpeAe-
crollMocru uopr$eJrq, rrcrroJrb3yroqeropeanbHyroraH$oprrenr4flnrrKBr4AarluoHHofi
pbrHKa.flauuax unSopvrarlurr rronyqaerc{ nyreM
Marrurc o rny6raue H penaKcaIII4I4
o6pa6orru no4po6Hblx BHyTpI4AHeBHbIX
AaHHbrxo xoAe roproB SunauconbrMr4r4Hrrro 6ruo BbrnoJrHeHo
cTpyMeHTaMr4,
BrrepBbre
Anq poccuficxofo pbrHKaaxrlufr.
Hara6oneecyqecrBeHHble HoBbIepe3ynbrarbr Ar,rccepraunoHHoror4ccJreAoBaB cneAyloqeM:
Hr4r3aKJrroqaroTc{
1) upe4ro)KeHa HoBaf, MeroAr4KaKoJrr4trecrBeHHoro
anarwrcanr4KBr4AarIHounofi cror4Mocrr4,orpax{arculaf crpyKTypy pe€rJrbHbrx
AaHHbrxo xoAe
ToproBnr4Ha poccr4ficrou pbrHKe;ee oco6eHHocrbroflBJrsercflorHocr{TerbHaq npocrora, o6ecnevuBarc[{a-flBMecre c reM rrpr4eMneMyro
roq'Large,
anelectroniclimitorderbookll Journalof FinancialMar-/.Measuringtheresiliencyof
-2007.
Vol. 10. Pp. 1-25.
kets.
8
Bioit, 8., Hiltion P., Spatt C. An empirical analysisof the limit order book and the order flow in
the ParisBoursell Journal of Finance.- 1995.- Vol. 50, no. 5. - Pp. 1655-89.
HOCTb C TOr{KU 3peHr4{ npaKTr4Krr ynpaBneHr4r rroproeJreM c yqeroM
pr4cKa;
2) noxasaHo,rITo npeAno)KeHHarMeroAr4Ka[o3Bon-f,eronpeAeJrr.rrb
paunoH€LnbHyrocrparefr4ro pecrpyKrypu3ar\uu noprsenr,
orBer{aroqyrc 3a-
K plzcKy; rIpI43ToMMeroAr4Karro3BoJrreryqecrb
Aauuofr HecKJIoHHocrI4
HeKOTOpbre
MHKpOCTpyKrypHrre
essexrbr, HarrprrMep,(r4Mnynbc BoJraTrzJrbHocrr4)),
coorBercrByroquft nepepbrBaMMe)KAyropraMr4;
3) paspa6oraHacxeMarrpordecca
ynpaBneHrar
noprseJreMrrpr4pecrpyKrypr43arJvrv,I4cnonb3yroulat rloreHrdr4anbHyronr4KBr,rAarlr4oHHyro
cror4MOCTbB Kar{ecrBeMepbr essexrunHocrr4; nrrpa6oraHbr peKoMeH$a\hv\
no onpeAeJreHHro
B3a?IMocBq3aHHbrx
parlr4oHanbHbrx
crparerufr JlrKBr,rHa pa3nwrHbrxypoBHf,x,coorBercrByrorrlr4xAnuHaMBpeMeHHbrx
Aar\krLr
HHTepB€LrrOB.
Teoperra'recnaq v [paKT[rrecKafl 3HaqlrMocrb trccJreAoBaHnn.Pa:pa6oTaHHbII{crocoo rlo3BoJl-f,er
onpeAenr,rrbnrrKBr4Aar{r4oHHyro
cronMocrr noprSeJrr KaK
B cnyqae IroreHIIkI€uIbHbIX(ex-ante), TaK r{ peilnr43oBaHHbrx(ex-post) rpaH3aKl(r,roH-
HbIXI43AepxeK.Teu canarrrra
pa:pa6oraH zHcrpyMeHT,rro3Borqrcqufi Suuauconouy
krHcrr4Tyry oqeHrrBarb JII4KBzAaIIHoHHyTocror4Mocrb roproBoro
3Ta crouMocrb
flBlrflercfl gKoHoMl4rrecKlr6olee o6ocHoeauuofi
nopr$enx;
vMeHHo
oueuxofr ero cror4-
Mocrl4 tlo cpaBHeHI{[oc pblHor{Hofrcrourraocrbro.llpe4noxeuurrfi
cnoco6 Moxer
6rtrr raKxe I,IcIIoJIb3oBaH
He roJIbKoAnf, TopfoBbrxnoprSenefi, Ho u AnflonpeAeneHvrflpa\vosalrHoZ crparerHl4 rlepecrpoftrra xpynHoro t4HBecrr4rlnoHHoro
noprsenr
(ecrn onpeAeneHblHarIaJIbHafl
crpyKTypa, KoHerrHa{crpyKTypa v cpoK nepecrpofr-
Kr.r).
Kpolae rofo, cnoco6 oilpeAeneHkrfl
pa\Lronamnofi crparer[r4 nr{KBr4Aaur,rr4
noprSenr Mo)Ker 6rrrr zcrIoJIb3oBaHHa npaKTHKe4nx 6onee ror{Horo H3MepeHr4q
pbIHor{HbIXpHcKoB rr, KaK cneAcTBI4e,6oree KaqecTBeHHoro ylpaBneHr4fl trMvr. Taxoro poAa LlHcrpyMeurapuit Moxer 6rtrr oco6eHuo [one3HbrM 4la lro6oro
9
yr{acrHr4Ka
QaHanconoro pbIHKanpvrpa6ore ua poccuficKr{x 6upxenux [noqaAKax, B roM qr4cn e .4nr Knr4pr,{Hronofi oprau v3ar\uu ul utm rIeHTpulnbHof o KoHTpafeHTa.
llpe4noxeHHrtfi cnoco6 Moxer 6rrrr r4crroJrb3oBaH
Anr rrocrpoeHur p3HKr4Hra
JII'IKBTTAHbIX
IIeHHbIx 6ynaar c qenbrc or6opa 6yuar Anr yqacrarfl B MapxnHanrnofi
roproBne, a raK)KeAnq orpeAeneHrrflqen 6ynrar Anq rrpoBeAeHr4q
cAenoKPEIIO. llocneAHeeHa[paBneHueIacrloJlb3oBaHr4f,
cr€Lrrooco6euso aKTy€LnbHbrM
rrocJreKoJrJra[caHa poccnficxoMpbrHKePEIO s 2008 roAy.
Aupo6aquq pe3yrbraroB
HccJIeAoBaHnfl.Pesylrrarrr
pa6oru 6rrru npeA-
craBireHbrHa HayrrHrrxronQepeHrlr4rxLrceMr{Hapax:
-
MexAyHapoAHaq lts.ayqlHafl
r<oHSepeHquacryAeHToB, acnr4paHToB14 MoJroAbrx
yudHrtx "JloMoHocon-2009", r. Mocxsa, anpeJrb2009 r. (4oxnaAy 6rrno npr4cyxAeHo 1-oe uecro B rIo.qceKIIrrI4
<@nuaucoBafl3KoHoMr4Ka))
ceKur4n<SxouovuKa>);
-
MexAyHapoAHblfrHayuurtfi ceuHsap Perm Winter School 20ll (r. llepvm, S""p a n b2 0 l l ro 4 a );
-
MexAyHapoAHat cryAeHqecxaa xonSepeHllI4f,rlo MoAenupoBaHnlo$zuaucoerrx
pbtHKoBFinMod-2O11 (r. llepnar, ceurr6pr 20ll ro4a);
-
BcepoccuitcrcasxonSepenqzr $arcyJlbreranauponofisKoHoMr4Kvr
Lr MupoBofi noIrhrrvrKkr
HVIY Bru3 <llporuo3lzpoBaHr4eSrauancoBbrxpbrHKoB)(r. Mocxe a, rvrair
2010roaa);
-
ceMI4Hap orAena "Mateuarl,IqecKoe
MoAeJIZpoBaHHe3KoHoMur{ecKI4x cI,IcreM"
BtI PAH (r. Mocrna, Mapr 2009);
-
BbIe3AHatrrKoJra-ceMr4Hap,
opraHr,r3oBaHHar
Hay.rurrrr,rSoH4ola fy-BlII3
(Moc-
KoBcKa.rr
o6lacrt, u. folr.rqbrHo, orcra6pr 2007 ro4a);
-
uayvuuft ceMI4Hapna6oparopvra HHBecrr4rlr4oHHoroaHaJru3aHVly BIII3
flepur (r. llepnm, Senpanr 20ll ro4a);
-
4 HayqHo-yqe6uux ceMrrHapa HyJI
ro
Li pucKSnnanconofi prHlr(eHeprrr4
MeHeAlKMeHry
Qarynrrera oKoHoMuxu }ifzIY BLII3 <Mo4enupoBaHr4eSnuauco-
l0
(r. Mocrna, HrcJrb2007 ro,qa,arpenb 2008 roAa,Mapr 2009 roAa14
BbrxpbrHKoB>
xraia2010 roaa).
BuegpeHne pe3yJrbraroB HccJIeAoBaHIrfl.Pa:pa6oraHHbreB Ar4ccepra\w
MoAerrvv KoJII,It{ecrBeHHbre
MeroAr,rKr4
6sttu BHeApeHbr
rroJlo)KeHr4r,
Teoperl4qecKr4e
HayqHo-yqe6sofi na6oparopl4r4rlo Suuauconofi uuxeuepvpr 14pucr(B r4ccne.{oBanr4fl
B cocraBe llpoMeHeAXMeHrySaxynrrera 3KoHoMuxuIfuIY BIIIS I{ HcnoJIb3oBaHbI
rerta$yurpaMMbr$yn4aueHrarbHblx HccneAoBauui,tHI4y Bru3 npl4 BbInoJIHeHnr4
BbrcoKonpor43BoAr4TeJrbHccJreAoBasuit:s 2009 r. <<ZcuoJrb3oBaHrre
AaMeHTanbHbrx
pr pr4cKHbrx lapannenbHbrx euqr4creHuft B 3a.{aqax SzuaHconofi r4H)KeHepr4r4
s 2010 r. <ZccneAoBaHHeMr,rKpocrpyKTypbr
MeHeAXMeHra)),
QrauauconbrxpbrHKoB))
Mr4KpocrpyKrypu SuHaHcoBbrxpbrHKoB)).llo4rnepxAeu s 201 1 r. <I,IccneAoBaHrre
Ho coorBercrByrcrqefi cnpanrofi o nue4peHlar4.
Ily6"rrurcaqlln. OcHoeHrre rroJroxeuufl [vrcceprarlr{r4r43Jro)KeHbr
s 6 crarF,rx
o6rqurra
o6renaou6,52 n.t. (nr,ruHufiBKnaA- 5,38 n.n.).
O6rervr rr crpyrflypa
orrpeAeAucceprarluu. [enu v 3aaa.uvr4ccneAoBaHufl
rrvJrkrcrpyKTypy pa6oru, Koropat orpaxaer ee o6rqyro rrAero H norr4Ky.luccepraqur cocror4Tu3 BBeAeHr{r,Tpex rJIaB,3aKrlorleHux, 6u6tuorpa$uuecKoro cnr4cKa14
[pr4noxeHr4r4.
II. OcHonHbrerroJror(eHuqu pe3yJrbrarbrArrcceprarlr{oHHoror{ccJreAoBaHufl.
B uepnofi rJraBe r43JroxeHbrMeroAonorr4rrecKr4e
ocHoBbr MoAenupoBa:nlafl
pr4cKapbrHorrHoit ttuxnugHocrl,I.llo4po6Ho paccMorpeHbr{BHbre H HeqBHbrerpaHr43AepxKrru nocneAcrBr4flr4xyqera B KJraccuqecKuxMoAeJux rlenoo63aKur.roHHbre
pa3oBaHr4q
BpeMeHeM,HcIIoJIb3yIotrIr4x
rrpr4 nocTpoeHr4nnpeAnoc HenpepbrBHbrM
cbrnKyo coBeprxeHHoMpbrHKe.Tarxe [pr4BeAeHrrcoo6pa)KeHr4rB rronb3yroro, rrro
ynpaBneHne noprSeJreM ilpu yqere rpaH3aKIII4oHHbIXH3AepxeK Aon)KHo Hocurb HM-
nylrcHrrft xapaKTep, T.e. KoppeKTHatIIocraHoBKa.qauuoil 3a4a.uvrroApa3yMeBaer
B TepMHHaxAI4cKpeTHofoBpeMeHrI.
orrpeAeneHr{e
il
pbrHKa flBrqercq
B KoHTeKcre pecrpyKrypv3ar\Lrr4roprQen-s JrHKBr4AHocrb
BaxHbrMKpzrepueM rrpr4Hrrllt pelxeHuit Als, rlHBecropoB,TaK KaK rrorBJrrercr Heu3Aep)I(eKkr prx BrrLrflHvflHa
o6xoAuuocrb orIeHKr{ o)KlIAaeMbIXTpaHcaKIII,IoHHbIX
qr4cryro AoxoAHocrb rrHBectuuui,t.B craryaqu{x, KorAa o6neu rro3prrlr{r4
r4 TeKyulr4e
ycnoBr{q raKoBbr,rrro Mo)KHoroBoprrrb o6 orsocurerruofi
pbrHor{Hbre
Husxofr rraK-
HHcrpyBr{AHocrrrpbrHKa,nprz y[paBJreHrlr{nopr$eneru neo6xoAr{MoHcrroJrb3oBarb
pbIHKa COOTBeTCTByTOqIX
JIHKBI,IAHOCTH
aKTr4BOB.
MeHTbrilnfl. aHanv3a u r43MepeHI,Iq
Jrr,rKBr4A,,{anee onlacaHbr pa3nr4tlHble no.{xoAbl K orlpeAeneHl4ro I4 r43MepeHr4ro
Hocrr{ pbrHKa. Oco6oe BHLrMaHr4eyAeneHo reopr4r4 prrHouHofi MnKpocrpyroypbr
kr3yr{eHr4eM
npoqecca TopfoBJrkr14opfaHr43arJnvtpbrHr(oB
pbrHKa, KoTopar 3aHHMaeTc_s
Ha (Mr{KpoypoBHe), cBq3aHHoM c orrr4aaHneMB3ar4Mogefi,ctuunpbrHor{Hbrx areHToB.
llpe4craureHbr
pa3nuqHbre pblHor{Hble crpyKTypbl 14 orll4caHo oKa3brBaeMoe r4Mr4
BJrr4rHHe
Ha npoqecc $opnaupoBaHl4tI{eHbI.Eoree roro, IroKa3aHo,rrro KaxAoMy rnrry pbrHorrHoficrpyKrypbr coorBercrByer cBoq Mr4KpocrpyKTypHafl
MoAeJrb,Koropat
B 3aBvreuMocrl4
or ApyrHX peneBaHTHbrxQaxropon. B gaer.rMoxer Bapbr4poBarbcfl.
pbrHKa,Koroor rlapaMerpoBMoAenr46y.Uero[peAen-srbcflvr nrrKBr4.qHocrb
cr4Mocrr.r
pafl.flBnflercrro eyruroHAoreHHofiuepeuensofi.
rocBqqeHo noAXoAy A. Kafina x pas6ueuuro Jrr.rKBnAOco6enuoe BHr4MaHr4e
xapaKTepvcruK(<cNarocm>>,uy6r4Ha, peJraKcaHocrr4Ha HecKoJmxo6oree MeJIKT{x
pa3nr{r{Hbrecnoco6rr orleHKrrKaxAoro H3 TaKVXacneKToBJIHKrlr4q).PaccnaorpeHbr
Br{AHocrr4,a raKxre ofpaHurreHr{r rro.qxoAarrpu [onyrreHura o6qefi Kaprr4Hbro JulKpbrHKa.
BHAHOCTT.T
llocre ororo c$opuynr4poBaHbrrpe6onaurrfl, KoropbrM Aon)KeHorBer{arb parlr4oHanbHrrfrcnoco6 npuurrnf, pelxeHuit o pecrpyKTypu3ar\vt4nopr$enx, yrrr4rbrnopr$eJllo, TaK 14Mr4KpocrpyKearcrlHft psA MoMeHToB,ceoficrseHHblx KaKcaMorr,ry
Type pbrHKoB,Ha Koropbrx BeAercr roproBnq coorBercrByrorrluMr4aKT[BaMr4.B pe3ynbrare yrrera Bcex peneBaHrurrx SaxropoB yrlpaBnrlorqrafi nopr$enena AoJr)KeH
crparerrrro nrrKBrrAarluunopr$eJrfl, KoHeqnofi qenbro
errpa6orarb parlLroHulnbHyro
t2
Koropofi flBnflercfl MaKcHM€tIIbHaflnr,rKBr,rAarlhoHHaflcror4Mocrb rroproenq
c yqeroM
prrcKa.
3arerranogpo6no paccMorpeHbrpa3nr4rrHbre
BJrr4rHr4e
Sarroprr, oKa3brBarculr4e
Ha parlr4oHanbHyrocrparerl4ro Jrr4KBr44arJr4vr.
lloxa:aso, rrro upra nro6ou cnoco6e
ocyilIecrBIIe:alaflpecrpyKTypLrca\wvnopr$enx orIeHKanr4KBr4Aarluousofi
cror,rMocrr4
uopr$enx, rro3BoJltroqa-f, paz1urlt 6rox Ha orAenbHbre .uacrv Anfl KaxAofo [rara,
q
MOXeT oblTb I4CTIOJIb3OBaHaB KaqeCTBe oeHqMapKa Anf, OrIeHKr4 pe3ynbTaTr4BHOCTH'
[pHMeHreMoro croco6a. llpn ycnoBr{HfpaMorHofo rrocrpoeHV.fl) QH4)Karoule
fo pr.rcK
MaHrrrynupoBaHuqynpaBn-rrcql,IMnoprSeneM, .{aHHar rrpeABapuTeJrbHar
(ex-ante)
oIIeHKa MOXeT ObITb I{CIIOIb3OBAHa KaK Anfl OrIeHKr4 Haunyquefo
UClOJrHeHprq, [pe-
pa6oru Ar.rnepoB.llpu :rov orMer{eAocraBnteMoro 6porepauvt, TaK14Anfl,oIIeHKr,r
Ho, tITo KpaeyronbHblM KaMHeM nocrpoeHuq taxoir orIeHKI4 tBJrrercfl aAeKBarHat
MoAenb rr3Mep eHr4fl pvreKa p brHorrHo it tuxnugHocrrz.
Bo nropofi
rnane AeraJIbHo orlucaHbr pa3nuqHbre [o.{xoAbr K oqeHKe 14MoAe-
prrcKa pblHorlHoit nnxnugHocrn B rlenqx ynpaBneHHxnopr$eJreM. OconrrpoBaHl,Irc
yAeneHo BorlpocaMorIeHKr{nr4KBr,rAarluosHofi
6oe nHuruaHr4e
crorrMocrn ToproBoro
nopr$enr, Koropat Mo)Ker 6rtrr ucrloJrb3oBaHa
noKa3areJrefrnoAnr onpeAeneHr,rq
TeHrlr4albHbrx
rrorepb c yqeroM Jrr4KBr4AHocrr{,
HarrpuMepLVaR.
lloxasarlo, qro craHAaprHafl oIIeHKa rloKa3arerefi rroreHrlt4€urbHbrx
norepb
VaR ueloolleHplBaer pI4cKI4pblHorlHoil rureu4Hocrr4, TaK KaK oHa He rrpuHr4MaerB
pacr{er ror Saxr, qro ILIKBLIAaIIHq
ocyqecrBJrferc{ BoBceHe rro cpe4Hefi MexAy rleHaMI4ctlpoca H npeAnolreHuf, IIeHe,a B rrepBou rpy6orranpu6nuxenvrvr- no cpe4nefi
IIeHe 3a Bblr{eroM IIoJIoBI4HrI BeJII{r{HHbI6r,rA-acx cnpgAa ra SnyxryaqlLr
6uA-acx
cnp3Aa.B 6onee npoABl{Hyrou upz6rrzrlneHvrr4
neo6xoAraMoerle BbrqecrbBenuqnHy
Bo3MoxHoro e$$erra BJII4tHHfl.
Ha IIeHy c yr{eroM rny6uuu pbrHKaH Snyxrya\vvt
ruy6uurr.
9 ^
JAeCb 14Aanee (pe3ynbTaTr{BHocTb)) ilcnonb3yercq
B KaqecrBe 3KBr,rBaJreHTa
aHfJr. performance
BMeCTOOObrqHO[pr.rMeHqeMOrO B nr4TepaType TepMHHa <s(p$exrunHocrb)), xoropufi B 3aBucrrMo-
cru or KoHTeKcra
Moxer rrMerbpasruuuufi cMbrcJr.
l3
Taxula o6pa:ou, IIpH HopM€uIbHbIXpbrHorrHbrxycnoBrlrx BeJrr4rrr4Ha
pr4cKapbrHoquofi iII4KBI4AHocrr43aBvrcHTor pa3Mepa no3HIII4r4pI oKa3brBaeMoroerc BJrr4rHVflHa
ueHv.
B pa6ore raK)KenpI4BeAeHa
xnaccu$vrKar\vrfl
pr4cKoBpbrHor{Hofiruxnu4Hocrr4,
rlpeAnoxel:aafl A. Banrrnfl, @. !ue6on4ona, T. IllyepnaanoM r4 !x.
Crpyrxafiepovl0.
Onu paccMarpllBaror pa3nllrluq Mex.qy eK3ozeHHbtJw
pucKonr nurceuduocmu,HaxoArIrIHMcf,BHe BJII4flHHq
MapKer-ltefixepa Hnv rpefi4epa, u eudoeeHHbmt
pucKoM JtuKeuduocmu, roroprrfi HaxoAt4Tcre c$epe geitcrnux rpefi4epa kr flBrrflercq,KaKnpaBr4no, peaKlluefi puura, Heclloco6Horo ([epeBapr4Tb))Heo)KrrAaHHo
Bo3Hr4KrrrHe
KpynHbIe IIO3lIUrrr4.
B coorsercrBnll c Aanuofi rnaccuQuxaquefi .qanee[pr4BeAeHbrrroAxoAbr,rro3Bonqrcql4epa3nI4r{HbIMH
cnoco6altn yqecTb 1ug-acrccrrpgA H tr3AepxKT Brrr4flHry
Ha IIeHy. llpone4eH cpaBHurelrurrfi aHaJrkr3
TaKr4xrroAXoAoB,a raK)KeyKa3aHbrHX
orpaHHr{eHr4fl
vr rpeoonareJlbHocrb K AaHHbIM,Koropbre ueo6xo4zMbr Anr rrpoBeAeHr4fl Ha I4X OCHOBepaCr{eTOB.
B rperuefi rrase [peAcraBJreHHHxeHepnrrfi cuoco6 olpeAeneHr4flnvKB:a1LatlHoHuofi cronMocru nopr$eJls c ucloJrb3oBaHrzenr
uH$opMarJvruo xoAe roproBnr4
Ha opf aHH3oBaHHoM
pbrHKenvl.Ilr tr4poBaHHbrx
3aqBoK.
B nepnyro oqepeAb6urH paccMorpeHrro6que BonpocbronpeAeJreHr{rparlraonalruofi crparerlzl4 nrIKBHAaIIzunopr$erq: nrr6op MoAenu prrcKa pbrHor{HofilzrBHAHOcTI,I
ra nrr6op IIeHoBoro 6en.rrraapraAnfl orIeHKr4TpaHcaKrllroHHbrx
H3AepxeK.
flora:ano, qro nrr6op MoAenrI prlcKa pbrHorrHoittuxnugHocrr4 3aBncvr or AocryrrHocrl4 AaHHIIX I{ or orHocnTeruHoft nrrKBnAHocrrraKTr4Ba,onpeAelseuofi o6rqefi
ntIKBHAHocrbroaKTI4Ba
14Tntru,tHrtlao6reuoM rro3urluu. ilanee o6ocHoeauaneo6xoAI4Mocrb I,IcnoJlb3oBaHvrfl.
4eQraqura ucrroJrHennfllleponr4a B KaqecrBe rreHoBoro
oeHqMapKa rlpu oIIeHKe HetBHbIX TpaHcaKrILroHHbrxr43AepX(eK,TaK KaK OH frO3BOJrreT
aAeKBaTHOyqecTb rr3Aep)KKI4BIII/.flHIlfl Ha rleHy rrprr r4CnOJrHeHHr4
3asBoK KpynHofo
t0
Bangia A., Diebold F., Schuermann7., StroughairJ. Modeling liquidity risk, with implications
for traditional market risk measurementand managementll Working Paper, University of Pennsylvania,The WartonSchool.- 1998.- l6 p.
t4
o6rerraau us6exarb MaHr,r[ynr{poBaHr{rco cropoHbr ynpaBnrroulero nopr$enena.
I4lcxo4sr433Trrx coo6paxesuir u qenr4rrccneAoBaHns,6rrnonpnHrro perxeHr4epa3pa6orarr co6crneusrrfi cuoco6, onuparorqlrfic-f,Ha MeroAoJroruroP. AmurpeHa u H.
r.
ll
Kpr4cca
frx
peure:nr4flnocraBneuuofi B paMKax Haarorqefi pa6orrr 3a4a-e:aparlr4o-
nopr$eJlfl B rlepBylo oqepeAb6rrno [por43BeAeHoBoccraHoBnamHofi nr4KBrrAarlulr
3aqBoK. 3areu Ha ee ocHoBe 6rrra [ocrpoeHa r4HTeJreHHeKHHrrr nr4Mr4Tr4poBaHHbIX
rpanbHaqxapaKTepr4crlrKa,
o6o6rqaroqafl acneKTbr((cx{arocrr4))ra uy6rzubr pbrHKa,r43AepxeK@,, xoropaq r4MeercneAy}ouuir nug
$yHrqHa rpaHcaKrlr{oHHbrx
^ / r $
@,\no)=L(P, - P)ni
(l)
j-l
r[e n1,- ypoBeHb o6rerraa, pi - I]eHa LIcIIoJIHeHus i-oit gaflBKpLni - o6rew i-oit zannxu,
t)
p - pbrHoqHaflueHa aKTHBa'-.
TaxHrrao6pasou, [ocrpoeHnaa SyuxIII4t rpaHcaKrlrroHHbrxlr3AepxeK orpaxaeT rrpeMr4lo 3a IHKBI4AHOCTb,KOTOpyIOI,IHBeCTOpnJraTr,rTrrpH COBeprUeHUr4
CAenKrz
rrpurrroKynKe(npo4axe) axruna o6leuona /11,vHBeo6reua np. [pyruMr4 cJroBaMLr,
crop rnarur (nonyuaer) coorBercrBeHHoreoperurrecKyro (ra: 4onyuleHr4qo coBeprrIeHHoMprrnr<e)crol,IMocrr H n.qo6anor (:a nrrverou) 3HaqeHue(r) $yurqlzrz rpaHr43AepxeKArtr coorBercrByroqero o6'seva n1r.
caKrlrroHHbrx
llpraHqranl4€LlrbHoe
ornl,Ique Hacrosulero cnoco6a onpeAerreHnfln[KBr4AarIr4oHuofi croHMocrn nopr$enr or rlpeAnoxeHHoroP. Anrl,rrpeHoM u H. KpuccoM B ToM,
rrTo obulo [pI4HtTo perueHHeoTKa3aTbcfloT ynpoqarorlefo npeArroroxeHr4qo Jutsefinocrr.r rr3Aep)KeK
B rronb3y 3Mlupr4rrecKorooueHr4BaHr4q
HerBHbrxrpaHcaKrIHoHHbrxr43AepxeK'".
" AlmgrenR., Chriss1/. Optimalexecutionof porlfoliotransactions
// Journalof Risk.- 2000.*
V o l .3 , n o . 2 .- P p .5 -3 9 .
''
fIoA prtnovuofi {euofi 3Aecb h Aanee IloHvMaerct cpeAHee apuSueruvecKoe r43nyr{urr4x rreH
cflpoca r4flpeAnoxeHrrg Ha MoMeHTilpuHfl'rwfl,perxeHr,rro TopfoBne.
't
Ctort orMerr{Tb, qro HeJIIrHefiHrIfixapaKTep $yur<qur,r @, :nauureJrbHo ysJro}(Hrer peueHrre
nopr$enx, TaK KaK aHaJlr,ITr4r{ecKoe
pemeHr4errpu 3ToM ororrrr.rMr{3auraonuofi3a4arru nrrKBr,rAaur,ru
rrr4cJreHHbrx
Bo3HuKaerHeo6xoALrlrocrbB npprMeHeHrrr4
cyrcrByer rr, KaKcJreAcrBl4e,
Mero,qoB.
t5
[nr
ygo6crea o6reMbr Ha noKyrrKy cr{r4Tarorcr(noJro)r(r4TeJrbHbrMV\r,
d o6re-
llora3aHo, r{To no [ocrpoeHuro @, - cnyMbr Ha npoAaxy - (orpr4rlareJrbHbrMu>>.
,aairkras,
Bo3pacrarcrqaqBbrnyKraq Synxqur, noJrHocrbroxapaKTeHeorpr4rlarenbHa.s
pu3yroqaq ((cxarocrb)) 14uy6uuy pbIHKa.
Kporvreroro, Anr perueHu-qBo3HlrKr.ruxHa npaKTraxeupo6reu'* 6ruo peueHo
MoAenbc AByMf,napaMerpaMr4c uenbro arrpoKcuMauo4o6parb rroJrrrHoMr4€LrrbHyK)
qHa Qynr<rJWTpaHcaKrlr4oHHbrx
H3Aepxer. ,{nx srl4x qenefi 6rrr nponeAeH aHarr43
Ha ocHoBaHH}IKoroporo 6uro ycraHoBJreHo,
ceoficre ee AT4HaMI4KI{,
3Mlr4pr4r{ecKl4x
r,r3Aepxerc0(t,v) 4onycxaer MarronapaMerpr4qecKyro
vro $yHrrlnfl TpaHcaKrlrroHHbrx
cneAyloqef o BHAa:
a[rrpoKcr4Marlr4ro
(2)
0(t,v): a(t)v3+b(t)v2
llocle
orleHKracnyuailnofi nerrauefinofi Synrqzu
r43AepxeK Ha peanbHbrx
AaHHbrx6rua ilonyrreHa Bo3Mox{HocrrcQopMynr4poBarb3aAar{yparlnoHaJnuofi luKBla;a\vu nopr$enr't. nyct"
r4MeercqHeKoropbrfiaxrun o6reuonr V u sa ero irr{K-
Br4AarlruorzHBecropyorBeAeHoBpeMr l/ (ronuuecrBo MoMeHToBBpeMeHLr,
3a Koroprre neo6xoAr'rMo3aKpbrrbnce no:HqHu).
By4eru A€LneeHa3brBarbcrparerr{efi ruxsu.qarJukrnocneAoBareJrbHocrlo6reg
f - .l v
rr.roe{vrl,=,, rAe Lr, = V , ttpu 3ToM vrorrpeAen.f,rcTcf
no ua6lroAaelrofi rau$oprraaqr.na
HeyrpexAu.t"r'
o6pasou.
flpe4nonoxr4M, rrro B cnyqae npoBeAeHr4q
oneparyuit ua pbrHKerrHBecrop He
Ha pbrHoK,T.e. [poqecc $opurrpoBaHr4r rleHbrHe 3aoK€r3brBaer
3aMerHoeBJrr{f,Hrre
Bncvrr or nrr6pausofi rzu nI{KBHAaIIuosuoficrparerrru. llycrr
rleHa aKrr{Ba B Mo-
MeHTBpeMeHr4
t sr'rsercr_ cttyuaitHofi seruuuuofi , coorBercrnyroulefi apra$naerra.re:
cKoMy6poyuoncKoMyABH)KeHrzro
x,:xn+t
.
v
,
L
/
Lx,,t:LV
(3)
i=1
to
Peu" rrAero rroreperlHtfopnraqvvilpprpaorrerearpefupoBaHHlrxBeJrlrqrrH
Ir rexHlrqecKr4x
rpyArrpr4o6pa6orxe6omurHxcrpyxryp raHHbrx.
Hocrrx, Bo3nr.rKaroxlr4x
t''5 . .
o6rqnocru,Aanee6yaer paccMorpena3a4aua
o ilpoAaxe aKTr4Ba.
He orpaHrq:aBas.
T6
u oAuHaKoBo pac[peAeJreHHbrecnyqafiHbre BeJrr,rqr.rHbr.
rAe Lxi - He3aBr4cr4Mbre
M, w @, cyrqecrByror KoHerrHbreBTopbreMoMeHflpe4uonolruM, r{To Anr BeJrr4r{rrH
cror4MocrbaKTHBaB cneAy]oqeM Br.rAe:
rrr. Tor4a [onyqaeM nr4KBr4Aarlr4oHHyro
N
N
N
N
+f ZMp,-Io,(uo )
W->lro*o-@k(")]= xoV
k=l
(4)
k=l
BneAeu cneAyroqHe o6osHaqeH:afl;ELx, - trt, VarA'xi = o2
Bbrrue,n npv AonoJrHnrenbHoMyrrC yverou [peArronoxeuufi, cAeJraHHbrx
trro Mtw @o(uo)
poqaroqeM rpeArrono)KeHnl4,
He3aBr4cHMbrMr4
cnyuafi"un"atc{
MolKHoc$opvrynupoBarb 3aqaqy pardrzoHarrruofinr4KBnAaur4tz
HbrMr.r
BeJrr4qr,rHaMlr,
B
(pncK-AoxoAHocrb>,BBeAeHuouf. Mapr<onu{eMl6,cneAyrorqzuo6paaou:
cMbrcJre
\i',, -V
, L ' i
o < v,< v
N
N
EW:xoV+ltII
k=l
N
(
v i -
I
E @ o ( u o)
t, _l
i=k
(s)
N
v a r W: o 2 I I I , ) ' *
,t=l \ t=k "
Var \
@o(uo)
k=l
EW -> sup
v y , . . .v, y
VarW -)
inf
V 1 , . . . ,V 1 '
Taxuu o6pa:ou, [pr4 onpeAeneHr,rr4
orrrr4M€rnbHofi
ruxsr4AauuoHHoff
crouvroMaKcI,IMrI3rIpoBarb
cru Heo6xoAI4Mo
oxuAaeMyrocrot4Mocrbrropr$enr Lr fipkr3ToM
Ml4Hl{Mlr3rrpoBarborKJIoHeHI4ecrol4Mocrl4 noprSenr
or ero o)KnAaeMoro 3HaLreHr4t
(n 4aHHovr cnyqae B KarlecrBe Mepbl pa:6poca gHa.{eHufi BoKpyr cpeAHero r4crronb3y-
ercq Auclepcux). Eoree roro, B cBq3I4c reM, r{To ruKBuqaq:afl noprSenr, KaK npaBI4JIO,OCyqeCTBIrflerCfl 3a HeCKOJIKO 4Hefi, a rO H B TeqeHI4e OAHO|O AHr, OTnaAaer
Heo6xo4nMocrbB yr{ere BpeMeHHoficronuocrn AeHer Anq [pHBeAeHr4rcrouvocreil
t6
Markowitz,H.PortfolioselectionllJournalof Finance.-1952.-Vol. 7,no.1.-Pp. 77-91.
17
perueHr4ro
6yayulrzx nosuqufi K TeKyIrIeMyMoMeHTyBpeMeura(nperr,reHra
rrpr4HflTLrfl
noprQenr). lpyruun
nr4KBr4Aarlraz
cJIoBaMI,I,
HaMHe rpe6yercr B paMKax4auuofi :a-
6y ay ryne rroroKrr nrareNefi , feHepr,rpyeMbre
crpare rHefi I prxAar{HAr4CKOHrr{pOBarb
Br4aarJrrvr
nopr$enx.
(5) Hoc}rr Aocraror{so o6rqerfi
C y.rerou roro, qro o[TI4MI{3aI]rIoHHafl.3a4aqa
xapaKTep v flBrflerctr HeJrrlHefinofi sa4a'reir orrrnMrz3ar\vrv,a raKxe c yqeroM orpauu'rcHuir, apryMeHr1 EJrflee perreHus 6sur nrr6pau MeroA npoeKrllru rpaAueHra.
Kpovre roro, crorrr 3aMerr4Tb,r{To B r4cxoAHofinocraHoBKer4Meercq4na $ynxquoHaJra.fina peureHufl 3a4a,uv ycronnofi otlTl{Mr43arlr4rlMo)KHo r4crroJrb3oBarbMeroA
Iarpanxa. TorAa QyHxquonan 6y4er BbrrnrAerb cneAyrorqlrMo6pa:ou:
J(v) - L4VarW- E(W)-+ inf
(6)
r1,...,r2
rAe MHo)Kr,rreJrb
JlarpaHxa )"r,l';rpaxaerHecKJroHHocrb
AaHHoro r4HBecropaK pr4cr(y.
flo onpe4eJleHl,Iro
1>0.flpu
7 =0zunectop rBnrercr plrcK-HefirpaltubrMH 3aKpbr-
nopl{I4qMl4c rlenbro oKa3aHr4fl
Baer rlopr$enr paBHoMepHbIMI4
MHHHM€urbHoro
BrrkrflHVfl Ha rleHy. B cny.rae )"=qnHBecrop a6cofforuo HecKJroHeH
K pr4cKy,r,reAHHcrBeHHbrMorrrr,rM€urbHbrM
AJrr Hero perxeHneM6y4er 3aKpbrrr4eBcex nornqufi B nepsrrfi NaoNaeHT
BpeMeHr4.
[nx
cnyuafiHo nrt6pauHoro MoMeHTaBpeMeHlrroprosrz
6rrrH rrpoBeAeHbr
pacr{erbr rro onpeAeJreHr4ro
parlrzoHanruofi crparerr4rr nr{KBr4.4auura
nopr$eJrr, co-
cro{qero rEs10 000 axqufi OAO <Jlyrofin>ga 5, 10 u 15 naros coorBercrBeHHo
(1/:5,10,15). flpr.r arorra6ru nrr6pan rcoe$SHqraenr
Heilpr4flrurK pr4cKy,panHurfr
(1=1). Pesynrrarbr pacqeroBrrpr4BeAeHbr
na prac.l.
eAr4Hrrrle
r{Torrpr4onpeAeneHHoMypoBHe lnenpvfl'tvrr
Taxrzu o6pasovr,Mox{Ho3aMerr4Tb,
qeu 6oruue ruaroB B pacnopr)KeK pr4cKyuMeer Mecro cneAyroqafl.3aBvrckrMocrb:
HLrvy HHBecropa,TeM MeHeearpeccl4BnrtfixapaKTepHocr4TToproBJrr B coorBercrBrrec npeAnox{essofi MoAenblo.lIpH 3ToM6omruaq qacrb 3arBKrrBce paBHoJrHKBr.rrroTepb B
IrrpyeTefl, Ha rrepBbrx [Iafax, qTo BbI3BaHoHeIIpr4flTkIeMIroTeHrlr4€LrrbHbrx
eHr4flIIeHbIaKTHBa.
6yayrqeu BcJreAcrBneHe6raronpuqrHoro ABI4)K
l8
10000
+]_N
:5
--EF- N : 1O
-.+F-- N : 15
aooo
600CI
X
c
40 0 0
20 0 0
-'Frl.o*-
l\.
E--:'-*'*-E-.,o-.
od
5
10
15
n
Ilp*veuauua:
I lro ocu a6cquccomnoJrceHbr
coomBemcmrynryue
wazu (n), HaquHatc nep6o?o.
2 IIo ocu opduuam- ocmanl4uucnnocnenurcauda4uu
Ha coomlemcmsyrcr4eM
taa?eo6te.u (x,).
Puc. 1. - JlurcsuAaurq noprSe.nnlrr 10 000 arcqrfi OAO <<Jlyrcofil>>
upn N=5, 10, 15 n ?u:1
PaccquraHHble Ant pa3nlIrIHbIX ypoBHefi Herrprr{Tr4fl pvrcKa, pallr4oHanbHbre
crpareral4 II4KBI4Aa[LII4rlopr$er-s u3 10 000 aKIII4frMoxHo npeAcraBr4Tb B KaqecrBe
oTAeJIbHbIXTor{eK B rrpocTpaHCTBe(pLIcK-AoXoAHocTb>. B pe:ynbTaTe nonyqaeTct
rapero-3$Sexrunua-arpaHr4rla
xapaKrepvcrvK roprQ enq (cu. przc. 2).
2.= Il
o-
2
-(-<
--- 1.5
(
(ri
a
J
4
t
o.5
o
100s
2000
3000 4eso
Risk{tu}
5000
6000
Ilpuueuauua:
I IIo ocu opduuamomro)rceHbt
otrcudaeuute
usdeptrcxu(CostQ), npedcmasJmroulue
co6oiipasHocmbue xdy .aurccu
da quourt ou u p brHoqHoil cmouu ocmn,MunopmQt
enn.
2 IIo ocu a6cqucc- pucK (Risk(1))* cpeduercaadpamuuecKoe
omutoHeHue
usdepacex.
Puc.2. - llapero-rS{enrunuaq rpaHurta xaparcTepucrrrrc
noprQe.irr ur 10 000 arcquii OAO
<<Jlyrcofi.rr>>
[pLI dtrrKBltlaqrrrrB 3aBncrrMocrrror ypoBHqHelp[srr.rfl K pncry npu N=20
l9
Bce ocr€urbHbreAocryrrHbre crparerr.ru, Jre{anurre crparerlln AoMI4HI{pyK}T
xaulr4e Bbrrxe 14 npaBee: Anq $urcuponaHHoro ypoBHfl r{3AepxeK MoxHo saitru
ilpvrBoAflrllyroK MeHbrrreMypr4cKy,a Are,Szxcr,rpoeaHHoro
crparerr4ro nr{KBr4AaIIVu,
ypoBHr pr4cKa - cTpaTefr4ro JIr4KBkrEa\r4r4,xapaKTepr43yeMyro MeHb[rr4MLr ox'vI.aeMbrMr.rr{3Aep)r(KaMH.
lloAsoAs r4Tofr4,MoxHo yrBepxAarb, rrro 3a4a-uaparlr4oHanruofi nr.rKBtrAaur4r4
peueHa Ha IIpTIeMJIeMoMc ToTIKI{3peHHf, pI4CK-MeHeAX(MeHTa
ypOBHe TOr{HOCTr4,
nO3BonfrorqeM orpa3r{Tb cTpyKTypy AaHHbrx.
Taruu
o6pa:olt, o[peAeneH]Ie oIITHM€uIbuofirzr<suAaquoHHofi crozMocrr4
rlo cyrl4 nu6opy paqlroHzlnrsofi crparerr4r4 nvKBtp.aryprkr
uopr$enx 3KBr4B€LreHTHo
noprSenr upu QurcvpoBaHuu pflila flapaMerpoB:KoruqecrBa BpeMeHHbrxr4HTepBaJroB, B TeqeHI4e KOTOpbIX AOn)KHa oblTb 3aKpbITa rro3r.rrlr4{, 14ypOBHr HeCKJTOHHOCTT4
K
pr4cKy, oTpaxaroqefo
ilpeAilorrTeHr4fl r4HBecTopa oTHocr4TeJrbHo afpeccHBHocTr4 Top-
roBJrr.r.lloryuaeuafl. Ha BbIXoAeMoAenr{ nr,rKBrrAarlrau
noprSenq crparerr4r npeAcraBJlter co6ofi BeKTop,Bblpalxaloulrafio6reMbl aKTr4Ba,
Koropbre AonxHrr 6r,rrl xyrJreHbr(npo4anrr) n xaxgl.;rit uz BpeMeHHbrx
r4HrepBulnoB.
B nro6ofi rI3 3rl4x MoMeHroBBpeMeHVnpn rpoAaxe (norynxe) onpe4eneHHoro o6reua aKTr4Ba
nyreM BblcraBJreHr,rr
coorBercrByroulefi prrHoqnofi 3aflBK:aueHa
aKrL{BaMoxer ynacrb (errpacru) nocne ee ucrroJrHeHvrfl.lIpHeronaqev 6olsrue o6rMoxrer I43MeHurbcf,rleHa e He6raronpuqrHoM Anfl
eu raxofi 3aqBKra,TeM cr,rJrbHee
Hac HanpaBJreHr4H.
Ecrur flpo.{onxarb BbrcraBrqrb pbrHorrHbre3aqBKrlHa npoAaxy
(noxyuxy), ro uoxHo ycKopr4TbAiulbHefiureeABr4xeHLr.q.r"rtt. OAnar<oB coorBerpbrHKa,ecJrr4Bo3MyqeHr4epbrHKaaKTLrBa
crBvrvc reopnefi Mr4KpocrpyKTypbr
Bbr3BarrroKoM,To oH AonxeH BepHyrbcr B HopMaJrbHoe
no neHnQopMarlr4oHHbrM
cocrorHne
(perarccaqurprtHxa).
Tarcau o6pa:onr, An{ Toro .rro6rr onpeAenrlrb AnHHy BpeMeHHbrxr.rHTepBaJroB
(paccrorHne MexAy rotrKaMr,rBXoAan puuox), HyxHo orleHr4TbBpeMs penaKcarlr4r.r
" Eoree roro, rto6oe ABI4)KeHI{e
IIeHbIB Ty prnur,rHyrocropoHy Moxer 6rrm ycureuo (nolyuurt'
AorronHrrremsuiiuuny.nsc),HanpllMep,[yTeM rrcrloJrHeHl4q BbIcTaBIeHHbrx ApyfHMr.r yqacrHr,rKaMI,{ CTOII-JIOCCOB.
20
pbrHKa.flrr aroro 6un paspa6oraH rrHxeHepnrrfi cnoco6 or{eHnBaHr.rr
BpeMeHr{penoBeAeHpr{
naKcarlr4llHa ocHoBepeanbHblx .qaHHbIx.On ocHoBaHHa IrccJIeAoBaHI4r4
rurHeKoropofiseru.rr4nrr($a^:onofiuepeueunofi),rBnqroqeficr-xapaKTepucruxofr
BrrAHocrr.I.[anHrrfi
cnoco6 fio3BoJlfler aBToMarHrIecKHonpe.qenqrb MoMeHTbrrrroKoB
(n repMr4HaxSasonofi TpaeKroprauo6o6rqeusofi xapaKrepwc'rvrKvr
Irvnr.rKBHAHocru
He HaKnaAbrBafl
fipv
KBrrAHocru)rz oqeur4BarbcoorBercrByrcrqeeBpeMr penaKcarl?rrr,
t *.
',r4flHa BXoAHbIe4u"""ra
3ToMorpaHr4rre
Po6acruocrbcrroco6au npocras vHreprperarlr4spe3ynbraroB,orrr4parorqarcfl Ha AHTyvruBHoe onpe4eneHl4e IrIoKa, Aenaer ero rIpI4eMJreMbrM4nr $opvr4poBaLI3 r{CTOpUqeCKr4XAaHHbrX C qenbro [OCneAy]OUIefO OTIeHVBaHH'
Hxfl QTATIdCTIdKLT
BpeMeHprpenaKcarlr4r4pbrHKa.
[nr
uepuoAa B oAIzH ropronufi
AeHb 6uro
trpoAeMoHcrpr4poBauo, uro 50
ceKyHA 6y4er AocraroqHo Anfl BoccraHoBJIeHI4t pbrHKa nocJre rrroKa Jrr{KBr4AHocrr4,
KaKorKJroHeHrre
or (HopMaJrbHoro)noBeAeHrrs.{anHofrSa:oeofi
xapaKTepr{3yeMoro
nepeMeHHofi.3ra orIeHKaMox{er 6rrrr yc[errrHo ktcrroJrb3oBaHa
KaK MuHr4ualrsrrfi
BpeMeHHofiHurepn€LnMelKAy rrocneAyrcrru4MncAenKaMr4B crparerhvr rrr4cBkr4arJvrr4
nopr$enr, [oApa3yMeBa]oqefi pa:6ueHue 6rora Ha qacrr'r.
flnr
qenefi ocyulecrBJleHur pecrpyKTypvrcar\r4r4
Ha npaKrr4Ke rrpeAnoxeHa
cxeMa rrpoqeccayilpaBneHzx uoprSeJreMHa ocHoBeparpa6oraHHoro cnoco6a oqeHcrorauocrl4 nopr$enr. lIpH erolr nupa6oraHbr per(oMeHAarrru
KI4JII4KBIlAaIrrroHHofi
orHocvreJlbHonocrpoeHux, xanu5poBKplH l4cllonb3oBaHrrrcoorBercrayrorqefi KoJrr4rrecrBeHHo[ruero4uxu. Tarxe npoAeMoHcrprrpoBaHbr
Bo3MoxHocrn r4crroJrb3oBaHufl
Ha npaKTr4KeAaHHoro cloco6a An-suocrpoeHrrf, B ycnoBr4{x ur't:xofi nr,rKBHAHocrr4
pbrHKacrparerufi pecrpyKTypv3ar\prr4
yqecrb psA Mr4KpouoprQenr, rro3BoJrf,rorqux
BoJlarlrJrbHocru,coorBercrnyroulr.rfi
crpyKTypurrx eSQeKToB,B qacrHocrl,I, I,IMrIyJIbc
nepepbrBaMMexAy ropraMn, H ce3oHHocrbBo BHyrpr4AHeeHofi
noKa3are.qHHaMr.rKe
refi rureprilHocrpr.
t8
yqacrKr4 crarlr4ouapHocrr4u 6omruoft paccMarpr4saeNarrfi
Hu.tp"r"p, ilpoAon)Kr4TeJrr,Hbre
uHTepBaJrBpeMeHI{.
2l
Vqem (u"Mnyrbca BoromunbHocmw). lIpH peureHr4r43aila:rz o pazlneuuu
6nora Me)KAyorAenbHblMr.rAHf,Mraueo6xoAr4Moyr{r4TbrBarbror Saxr, qro 3Har{HTenbHaf, qacrb rr3MeHeHI4tIIeHbI 3a [OJrHbreCyTKr4rrpor4cxoAr{TB nepr4oA, KofAa rop-
rI4 Ha 6upxe He BeAyrcs. Ha^:oeeu4auurrfi eSSer<r(uMnynbcoM BoJrarnJrbHocru)).
lauruan repMl,IHonofvfl He sBrflerct craHAapruofi. Tepvrzn BnepBbrenpeAnoNen C.H. Cur,rpnonblMB ero Heony6rnxosaHnrrx pa6orax KoHrIa1990-x rr. C ror{Ku
3peHl4t MoAenl4poBalakrflI{eHoBoro rrpoqecca peqb r'rAer o6 yvere cKarrKa rleHbr MexAy roproBblMl4 AHtMrl. Eclu
rIoMoIrIH gla$$y:HoHHoro
MoAenl{poBarb croxacrr{rrecKyro
AkrHaMr{KyrIeH npr4
rlpoqecca, To npr4 cKnerrBaHr4r4
Topronrrx 4Hefi Bo3Hr4KHyr
pa3pblBbl nepBoro poAa - cKatrKI,I. C'rwras B rIepBoM npultuxeHnkr
cKar{Kr414He3a-
BI4CI{MbIMI4
OT TIpeAbICTOpHI,I
lI I4MerOqr{Mr4fayccoBcKoe pac[peAeJreHr4e,MoxHo oc-
raBarbcq B paMKax oilvcaHufl rrpr4rroMorrlr4AHQ$y3HoHHbrxnpoqeccoB, Ho <o6o6ITIeHHbIX)),noJlaraf,, qro B ToqKe (cKJIeI,IBa"r"tn> KBaApar BoJIarrIJIbHocrr.rne4dr ceot KaK Al4cnepcl4q cKarrKa I{eHbI, yMHo}r(eHnafl Ha genrra-$yHKrlr4ro lupaxa,
Aoror{eHHyroB erofi roqKe. llocrolrxy
SyHrqraro lzpara
cocpe-
rtpuHqro Ha3brBarbraKxe
eA[HI4r{HbIMuMnynbcoM B Tor{Ke, 6rrn npe4JloxeH TepMr4H((r4Mnynbc BoJIarr4J]bHocrl4)).
OAnrzrra
uz o6rsc;'teuuit eQ$exra ((r.rMnynbca
BoJrarnnbHocrr4))
Moxer cnyxr4Tb
To oocrotreJlbcrBo, tITo B rlepepbrBaxMe)KAyropraMr4 rrponcxoAr{Tr43MeHeHHe
SarcTopoB, BII4{IOITIHX Ha qeHoo6pa3oBaHne (nanpurraep, MaKpo3KoHoMLlr{ecKaqcrargcrl4Ka, nyonl4KyeMa{
B ApyfI4X CTpaHaX, r4nr{ pe3yJrbrarbr TopfoB rro cB{3aHHbrM aK-
TI4BaM
Ha Apyrl4x roproBblx nnoqaAxax). lpyruvr o6tqcHeHr4eMMoxer cnyxr4rb ro,
qro c MoMeHTa3aKpbITlIt roproB aH€urr4Tr4Ku
co6uparor 14o6pa6arrrBaror HoByro
nHSopuaIII4Io I4 rIpI4 orKpbrrvrtr cBolrMr4 geitcrlnwrrMnoKa3brBaror BnwflHr4eHa ueHy
aKTr4Ba,OTpaXaf raKr4M O6pa:oN,re Hefi pe3ynbrarbr cBoefo a1aJrv3a.
PaccuorpuM parlr4oH€L[bHbre
crpureruru nr,rKBr.rAarIWV
Anfl cilylrafl, KorAa npuxoAI{Tct ropfoBarb
B TeqeHHe HecKoJIbKI4xAHefi. llpra erorra vcrroJrb3oBaJrr4cbcJre-
ln qeua
3aKpblTuqnpeAblAyrllero roproBoro AH.f,coBMerrlaercx c qenofi orKpbrrris rocneAyrorllefo
TopfoBofo AH.s.
22
rpe6yercf, rrpoAarb 100 000 aKr{r4fi;rHBecrop MoAyrorlr4e BXoAHbreorpaHr4r{eHr4{:
x{er BXoAlaTuHa pbrHoKTonbKo I pa: B TerreHueqaca; Ha 3aKpbrrne scefi no3r.rrlr4r4
orBo.qr4Tcs20 waroB, r{To coorBercrnyer 3 ToproBbIMAH{M. Ha pnc. 3 noxaraHo,
Ha KalxAonaruare (n).
cKonbKoocraercq axuufi n nopr$e ne 6)
10
x 10'
..,'ir_,-b=_
I
i'i
6
i. q
t'r ti
h
c 'r
Gti
c
t.,
i 'q.
><
4
?'.= 0.O0OO
--EF- i. = O.OO05
-.-GF.- :
?_
0.OO20
. . . . E l . . . i .=O.OO5O
\
\
'. \[ 'i' \ q.
.
t- 1,
' b t
E*
Er
2
,.
E+\
tq-E*
-Tls
-E*
"-'..-...3-'E'-s.-o-
-o
-{r-
5
10
n
-
:-
15
20
Ilpnveuauue: sepmuKcmbHbte
"quHuucoomlemcmsynm uta?.y,Ha KomopoM omKpbtsaemcnmop?oBAfl CeCCUfl.
Puc.3. - Jlurcnu4arluq uopr{ern us 100 000 arcqufi OAO <<Jlyrcofi,r>>
upr.rN:20 c yqeroM rrMnyJrbcaBoJ'rarrrJrbuocrrr
Taxnu o6pa:ona, qeM 6onblrle 3HaueHI4eKos$Sr,rqueHra Helpr4flTLrflpkrcKa,
rpaeKropr4r4nr4KBnila\uvrnopr$enr MexAy
reu 6oree KpyrbrMu craHoBqrcr I43JIoMbr
IrraraMr4 r43 pa3nHr{HbIXTopfoBbrx AHer4,KofAa yrlr4TblBaeTcflI4MnyJrbc BoJraTr4JIbHo-
crn. ,{pyrrrMrr cJroBaMr{,.reNa6rraNe uonrrfi ropronufi AeHb, rerra6omurufr o6lev
HeooxoArrMorrpoAaTb,T.e. Herrprr{TrreK pr4cKynpotrBnf,eTcrKaK BHyrpr,rAHfl, TaK n
MexAy AHrMr4.Pucx-nefiTpulnbHoMyr'rHBecropy(rt:0) 6espa:nurrHo,cKoJrbKoBpeMeHr4npoxoAr4T,rro3ToMyoH nuKBHAI{pyer[o3I{uHIo paBHbIMr{Aon-sMrrB ruo6ou cnyqae.
Ocuonusre BbrBoabl
1. Ha ocHoBe aHaJwr3a
Saxropon u o6crosreJrbcrB,KoropbreAonxHbr 6rrrr yureHbr rrpr4pecrpyKTyprr3ar\vvruopr$enx B ycnoBr{rx HI43Kofira SparnaeHTr.rpoBaHHofr
o6ocHoBaHaHe3aBr'rcr4Mo
or cnoco6a [poBeAeHr4qpecrpyKTypr43arrr4r4
nr.rKBr4AHocu.r,
LJ
HeooxoAlrMocrb
HcrroJrb3oBaH:/lfl,rroTeHrluanbHor
nr4KBrrAarlrroHHorr cToHMocTr4
ropr$enr B KaqecrBe6euuuapxa(uepu eQSer<rr,rnnocru)
An-f,rocne4yroqeil orleHKr4pe3ynbrarn BHo ct"'
o
v1ar\vrkrnopr$ enx.
rrapacrpo fi ru LIJITI
JILIKB
aHaIrr43a
uoAenefi pucKa pbrHorrHofirnxua4no2. Ha ocHoBecpaBHr{TeJrbHoro
cTrr cAenaH BbrBoA,r{To Anr rrpoBeAeHr4flpar\voHaJrbHbrMoopa3oM cAenoK no noKyn-
o6rel4oe rleHHbrx6yrraarHeo6xoAuMo rlcrroJrb3oBarb
xe (npo4axe) 3HaqnTeJrbHbrx
MoAeJrr.r,
AorrycKaroqr4eBo3Mo)KHocrbpaz6ueuu{ KpyrrHoro rraKera (6noxa) Ha orAeJrbHbrerracrl4 (npr4 }laJlug.vu Aocryrra K BbrcoKorracrorHbrM AaHHbrM o xoAe roproB
rIeHHbrMr{6yuaravu).
llp,
3ToM AonxHbI orleHl4Barbc.aHe roJIbKo noreHlll4arrF,Hbre
r{3AepxKrr,Ho 14pvrcKn,cB{3aHHbIec se6raro[pl4-tlTHbrMABr.rxeHr.rTpaHcaKrlr4oHHbre
eM rleHbr. CAeran BbrBoA,.rro Hau6oJreerroAxoAf,rrlefigttx perxeHrrs raKoro copra
3a4aqrBJrrercr MeroAonoruq AmNarpeHaH Kpucca.
pa3nur{HbrxnoKa3arerefi TpaHcaKr-u43. Ha ocHoBe cpaBHrrreJrbHoroanaJrvr3a
o6ocuonan nrr6op 4e$nqrara HcIIoiIHeHunA.lleporlr4a
oHHbrxr43.{ep}KeK
B KaqecrBe
cror{MocrH noprSer r.
ueHoBoro6 euuuapx a Ans,orIeHKr4nr4KBr4Aarluounofi
4. Ha ocHoBe yqera pa3nr4qHbrxacrreKToBMuKpocrpyKrypbr pr,rHKaco3AaHa
obocnosaHHa-scxeMa yrrpaBneHraa
nopr$eJreM aKTr4BoB
B ycnoBr4rx
3KoHoMur{ecKr4
yAeneHo
unsxofi nlrKBrrAHocrrrpbrHKa.B panarcax
AaHHoficllcreMbr oco6oe BHr4MaHLre
crorlMocrra noprQeJrr aKTrrBoBHa peulnbHbrxAaHHbrxo xoorIeHKenr4KBr4.qaqzoHuofi
(na npr,rrr,repe
MMBF). lrr
Ae roproB aKrIr4flMH
3roro paspa6oraH Kar{ecrBeHHoHo-
slrft HnxeuepHufi(rpy6rrfi, Ho orpaxarorqraficrpyKrypy AaHHbrx)cnoco6, ncrroJrbpbIHKa.
:yrorqHft nn$opuaqvrc o rny6uHe I4penaKcaql4l,I
crouuocrn B coorBercrBrru c npeAno5. l.itt onpeAeneHnr JTHKBT{.{arIHoHHofr
xeHHbrMcrrocoooM rrocTpoeHaMoAenb c yrreToMfnyor{Hbr pbrHKa,Koropar npr{BonoprQers. Ha
AHTK perxeHr4ronerranefisofi ouruuu3arrrroHHoit.zara'au nrrKBr4Aarlr,rH
noprQenr B ycBbrxoAepa:pa6orauHofi MoAenu nonyqaercr crparerlrr JTT4KBlzAary:zn
KoTopas. [rrfl onpeAeneHHofo ypoBHr HenpHnoBnrx orpaHr4qeHHorr Jrr,rKBr4AHocTr4,
'o
9 ua crp. 13.
Cr. rprrMeqaHrre
24
flTvrflK prrcKy 3aAaer o6levmr, Koropbre r4HBecropAonxeH nvKBHAHpoBarbBHyrpr,r
rrHTepBaJroB,
KoruqecrBo Koropbrx 3apaHeeSurcuporaHo.
BpeMeHHbrx
BpeMeHHoror4HTepBana
MexAy rua6. !.itr- nonyqeHu-sorIeHKr4Mr4Hr4MEUrbHoro
Koroporo Aon)KHarrpoBoArTbeflnnKBrrAarluranoprSerr, pa:pa6ofaMr{, B Ter{eHr4e
TaH lrHx{euepHufi cnoco6 orleHKtrpenaKcaqr,InpbIHKa,ocHoBaHnufi ua r4ccneAoBanoBe[eHnfl $a:onofi [epeMeHHofi,n KarrecrBercoropofi rac[onb3yercr Mepanr4KHr4r4
XLM. .{nr uepraoAaB oAI4Hropronrtfi AeHb 6rrno npoAeMoHcrpr4poBaHo,
BHAHocrr.r
qro Anr ypoBHr 3Har{HMoctu 99,2o/oAocraror{uo 50 ceKyH.{ .{nr BoccraHoBJreHr{r
xapaKTepr43yeMofoKaK oTKJroHeHr4e
pbrHKarrocJre ruoKa nrrKBkrAHocTV,
oT (Hopvfl AaHHofiS a:onofi uepervreuHofi
.
M€urbHoro)rroBeAeH
7. llpe4no)KeHa cxeMa npoqecca ynpaBneHur nopr$eJreM Ha ocHoBepa:pa6oTaHHoro cnoco6a, rro3BoJl{torqaf, onpeAenf,Tb H cBr3brBarb Me)KAy co6ofr paquoH€UrbHbrecrparefl4n ITIKBHAaTIVVHa pa3nl4rlHbrx BpeMeHHbrx fopr43oHTax, a raKxe
yqr4rbrBarb HeKoropble MrlKpocrpyKTypHblesSSerrrr, raKue KaK r4Mnynbc BoJraTr4JrbHOCTr{,
COOTBeTCTByrOrqr4r4
nepepbrBaM MeXAy TOpfaMr4,14Ce3OHHOCTb
BO BHyrp r4AHeBHoi,t 4ulnarutuKerro Ka3arer efi n 14KBTTAH
o crrr.
III. Cnncorc ny6nurcaqufi rro reMe Arrcceprartrrr
Pa6orrro ony6.nnnoBaHHbIen poccnficKrrx perleH3npyeMbrxHayrrHbrxlKypHaJrax,
peKoMeHAoBaHHbrx
BAK MunucrepcrBa o6pasonarnfl rr Haynu P@:
1. HayueHxo B.B. I,I:vrepenl4eprlcKa I4yrlpaBneHr,re
uopr$eneM B ycnoBuflx Hr43-
rofi rHxsrIAHocrI4
/ Kocron T.8., HayrraeHro
B.B., Crvrr,rpnon
C.H. llVupanne-2009. -J\b 3 (51). -C.66-71 (o6rena-0,68n.n.;BKnaA
pr4cKona.
Hr.re
aBropa
- 0,4 n.n.).
2. Haylenxo B.B. Onpe4eneHrreJrHKBr4AarIHoHHofi
croznaocrr4nopr$enr axrrnfi
pbrHKa(na rpr4MepeMMBE) I A:nc yqeroM oco6eusocrefinazrpocrpyKrypbr
B.B., CvrupnonC.H. ll Vnpanneune
ApeeBH.A., IanurzH B.A., HaynaeHro
-2011. - J\b2 (58). - C. 35-53(o6revr- 1,43n.n.; BKna4anropa- I
pr4cKoM.
n.n.).
3. HaynaeuxoB.B. Bonpocrr yrpaBneHr,rxnopr$eJreM rrpr4pecrpyKrypr.r3arlr4l4
B
pbrHKall @usaHcosrrft6usuec.- 2012. - J\e3
ycnoBnrx HlrsKofiJrr4KBr4AHocrrr
- 0,5 il.n.) .
( 1 5 8 ) .- C . 5 0 -5 5 (o 6 re rvr
[pyrne pa6orrr, ony6nnroBaHHble rlo reMe Auccepralurr:
4. Hayuenxo B.B. MogenupoBaHr4epr4cKapbrHorrHofiruxsr,rAHocrn c ytreroM
- M.: fV BI1I3,2007. - 52 c. (o6rerra- 3,1
ruy6raHupbrHKall WP1612007104.
r.n.).
uH5. Haylaenxo B.B. Onruuarb:aafl nrrKBrrAarluxuopr$er.s c r4crroJrb3oBaHveM
pbrHKa/ Kocroe T.8., HayrraenxoB.B. //
Sopuaqrau o rny6uHe r4 penaKcarlr4r,r
Marepuarur Mex4yHapoAHbrx HayrrHbrxr<oH$epeuqnfi cryAeHToB,acrr4paH(2007-2009 rr.) Cerqprq ((3KoHoMt4roB lr MonoAbrx yrreHbrx <<Jlorraouocon>
Ka>. M.: MAKC |IPECC,2009.. C. 197-202 (o6'sev - 0,25 r.n.; BKnaAaBr o p a - 0 , 1 5n . r . ) .
6. HayrraenxoB.B. Spro4Hvnocrb BpeMeHHoropsp.a o6o6rq€sHoro noKa3arenq
rrr4KBrrAHoqulAu4peer H.A., Jlanruuu 8.A., HaynaenxoB.B. ll C6opnuK crarefi uoro4ux yu€nrx Qarynbrera BMK Mfy. - M.: MAKC-IPECC, 2011. Bun. 8. - C. 34-42 (o6terra- 0,56 r.n.; BKnaAaBropa- 0,23 n.n.).
JIPJ\|l020832or <15>oxu6ps 1993r.
JluqeHsr.rs
floAnucaHo B reqar" rr//,
t /,//,/i r
i2/r.
{Doprraar
60x84/l 6
Byvrarao$cernar. lleqam oQceruaa.
Vcr. neq.r. l.
Trapax 100 exs.3axa: NltfauorpaSHr
Ll3.{arenbcrsa
HI4V BIII3,
125319,r. Mocxea,Kouuoncxnfiilp-.{.,.u.3.
26
Документ
Категория
Экономические науки
Просмотров
14
Размер файла
1 394 Кб
Теги
кандидатская
1/--страниц
Пожаловаться на содержимое документа