A Complex Algorithm for Selecting Instruments to~Finance Mergers and Acquisitions

Yakunina, Alla V.; Varygin, Sergey; Nesterenko, E. A.; Korobov, Eugene; Semernina, Yulia; Yakunin, Sergey

doi:10.2991/cmdm-18.2019.6

Cited by 2 publications

(2 citation statements)

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“…Computer models of bond portfolio selection and evaluation are also presented rather sparsely in the works of Russian and foreign researchers. Russian papers on this topic can be found in [25,26].…”

Section: Introductionmentioning

confidence: 99%

Robotizing bond portfolio selection on the Russian debt market on the basis of a modified strategy of riding the yield curve

Korobov¹,

Semernina²,

Usmanova³

et al. 2021

Bus. Inform.

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The modern global debt market features historically low average interest rates, convergence of yields on bonds with different maturities, an increase of yield curve inversion emergence frequency and a large-scale trend to automate financial decision making. The researchers’ attention in these fields is mainly focused on designing models that describe the state of the debt market as whole or its individual instruments in particular, as well as on risk management methods. At the same time, the specialized literature offers very few works concerning the topic of computer algorithms for bond portfolio selection based on traditional or advanced investment strategies. The aim of the present research is to create a modification of the existing algorithm of riding the yield curve strategy application, employing, first, average bond yield over the holding period instead of traditional bond yield to maturity; second, a developed algorithm for calculating the market spread on bonds; and, third, alternative risk evaluation indicators (compensation coefficients), which allow us to measure objectively price risk, liquidity risk, transaction costs risk and a general risk. The modification and the development of the algorithm for calculating the market spread were carried out using the direct measurement of the result technique, which entails application of the strategy to the data on bond issues received through the Moscow Exchange API. The selection of financial instruments was conducted in all sectors of the Russian debt market: public bonds, sub-federal and municipal bonds, corporate bonds. The modified algorithm enabled us to get extra yield for each selected bond issue, thereby proving the high effectiveness of the technique compared to the traditional strategy. Software implementation of the algorithm can be integrated into any robotized or semi-robotized stock exchange trading application.

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Section: Introductionmentioning

confidence: 99%

Robotizing bond portfolio selection on the Russian debt market on the basis of a modified strategy of riding the yield curve

Korobov¹,

Semernina²,

Usmanova³

et al. 2021

Bus. Inform.

Self Cite

View full text Add to dashboard Cite

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“…Infrastructure of the Financial Intermediation Market (compiled by the author according to[8,26])The existing infrastructure of the financial intermediation market is primarily focused on financing large and stable innovative projects. Projects of the new economy and industry 4.0 do not meet the standards of traditional financial institutions.…”

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confidence: 99%

Development of financial intermediation in a sustainable economy

Mikryukov

Serebrennikova

2020

E3S Web Conf.

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The article examines the theoretical and practical aspects of the development of financial intermediation in the context of sustainable economic development. Sustainable economic development has an impact on the life of the population and enterprises and leads to changes in their needs. Meeting the needs of the entire society is possible through the sustainable development of the financial market as a whole and its individual segments, including new areas of financial intermediation. Banks are considered one of the first financial intermediaries, but the steady development of the economy, accompanied by digitalization, leads to the emergence of new, alternative directions. One of them is crowdfunding. For credit institutions, crowdfunding is an opportunity to diversify their business, reduce lending risks, and expand their customer base. The article presents the dynamics of crowdfunding development in the Russian Federation and presents a comparative analysis of the main financial indicators of the largest Russian banks and crowdfunding platforms.The conclusion is made about the role of banks and alternative financing methods in a sustainable economy and their positive impact on the development of the real sector of the economy.

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A Complex Algorithm for Selecting Instruments to~Finance Mergers and Acquisitions

Cited by 2 publications

References 10 publications

Robotizing bond portfolio selection on the Russian debt market on the basis of a modified strategy of riding the yield curve

Robotizing bond portfolio selection on the Russian debt market on the basis of a modified strategy of riding the yield curve

Development of financial intermediation in a sustainable economy

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