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Analysis, choice and decision making in socio-economic, political and financial spheres: new models, methods and algorithms

Priority areas of development: economics, mathematics
2017
The project has been carried out as part of the HSE Program of Fundamental Studies.

Goal of research: problems of optimization modeling, multi-criteria decision-making, social chose theory, models of data analysis and forecasting, as well as the application of the developed models and methods in applied problems of socio-economic analysis, political science, in the financial and banking spheres.

Methodology: methods of multi-criteria decision-making, methods of game theory and optimization modeling, methods of individual and social choice theory, methods of statistic, network and cluster data analysis, methods of probability theory, methods of belief functions theory and others.

Empirical base of research: data on the transport system of part of Russia, data on the financial condition of 192 shipping companies in 36 countries around the world for the period 2001-2016, S&P500 stock index data and the USD/RUB currency pair data, data on the recommendations of financial analysts on the prices of shares of Russian companies for the period 2010-2016, data on migrant flows collected UN Population Division, World Bank International Trade Data, open data on the resources and benefits of the Arctic region, data of The Global Innovation Index 2013-2016.

Results of research:

  • a mathematical model is proposed of location of transport nodes with access roads in a regional transport system, taking into account the existing transport system of the region; optimization problem (in the case of known prices for transportation and construction) and robust problem (exact values of prices are not known) are formulated on the basis of the presented model; both problems were tested on data on the transport system of part of Russia;
  • the results of the modification of the previously developed mathematical model of investing in a project for the construction of plants for the processing of solid domestic waste into biomass used as fuel in power supply and heating systems as a three-persons game are presented; the possibility of finding Nash equilibria of this game is proved;
  • a mathematical model has been developed, and the problem of estimating the cost of installing stations for charging electric vehicles on highways has been formulated under linear constraints; it has been proven that the optimum can be found by solving an auxiliary mathematical programming problem with mixed variables;
  • within the framework of modeling preferences using value functions a general definition of the reper functions is given and discussed its properties; the notions of a reper utility function and a reper harm function, representing respectively the binary relations of utility and binary relations of harm on the set of vector estimates and on the set of objects, are considered;
  • the formulation of the sensitivity analysis problem of multicriteria choice to a change in the estimates of the parametric importance of criteria is proposed; the general method of carrying out such an analysis for separate non-dominated alternatives and for sets of alternatives is given;
  • within the framework of a comparative study of choice functions that depend on collective preferences, the study of collective choice functions based on the principle of stability was carried out; some properties and their set-theoretic relations are obtained for these solutions; some properties of procedures for constructing of aggregated rankings, based on the considered rules, are proven;
  • within the framework of the preference diversity estimation a preference diversity and a preference polarization indices has been studied; new axiomatic properties of these indices have been developed; new preference diversity and preference polarization indices has been investigated and axiomatic justifications of the proposed indices has been obtained;
  • within the framework of the study of coalitional manipulation under incomplete information it is shown that: a) for scoring rules the probability of coalitional manipulation is equal to the probability of individual manipulation when voters know winners of the election; b) coalitional manipulation under incomplete information is always safe for plurality rule and veto rule, however, it is not always safe for Borda rule; computational experiments are held for calculating the probability of coalitional manipulation under incomplete information;
  • the risk weight multiplier correcting Basel requirements to cover risks arising from portfolio concentration and correlation of probability of default (PD) and the share of default losses (Loss Given Default-LGD) is calculated;
  • the model for estimating the probability of default is constructed for shipping companies using the method of binary and categorical logistic regression on a sample of 192 shipping companies of 36 countries for the period from 2001 to 2016;
  • the models for prediction of crises in the stock exchange based on the Hawkes processes has been developed; the models were tested on the S&P500 stock index data and the USD/RUB currency pair data;
  • the aggregation of the recommendations of financial analysts within the framework of belief functions theory was studied on the example of the Russian stock market; it is shown that the aggregated forecasts obtained in most cases turn out to be more accurate than consensus forecasts;
  • within the framework of the study of international migration a network model of international migration was developed and a centrality measures were calculated for the model; a relation between total number of migrants and socio-economic indicators of countries (GDP, educational level, intensity of conflicts) was analyzed;
  • new models of conflict zones allocation were proposed and applied to the Arctic region; an analysis of conflict zones in the Barents Sea based on the level of interest in natural resources was performed;
  • in the field of oil spills in the event of emergencies existing mathematical models of oil spills were studied; a dynamic model of oil spills was constructed; a software that allows to visualize the process of oil spills propagation was developed;
  • in the field of food security international trade networks of products were analyzed; there were detected key participants of networks based on LRIC indices; changes of key participants that influence food security of other countries was analyzed over the time;
  • on the basis of previously developed methods of pattern-clustering, numerical methods for calculating indices of heterogeneity of innovative development using the Global Innovation Index data are developed;
  • in the development of methods for analysis of structural complexity, new modifications of the algorithm for analysis of the structural complexity of the graph, based on the normalized value of entropy, are considered and investigated; this modification allowed to accelerate and increase the accuracy of calculating the complexity of the stock market data in the problem of forecasting crisis periods;
  • approaches to the operationalization of polarity in international researches have been studied and the relationship between the polarity and the likelihood of conflicts has been studied.

Level of implementation, recommendations on implementation or outcomes of the implementation of the results

Both fundamental and applied results have been obtained. Most applicable results have an analytical and a recommendation character.

Publications:


Aleskerov F. T., Meshcheryakova N. G., Shvydun S. V. Power in Network Structures, in: Models, Algorithms, and Technologies for Network Analysis. Springer Proceedings in Mathematics & Statistics / Ed. by V. A. Kalyagin, A. I. Nikolaev, P. M. Pardalos, O. Prokopyev . Vol. 197. Springer International Publishing, 2017. doi P. 79-85. doi
Aleskerov F. T., Meshcheryakova N. G., Rezyapova A., Shvydun S. V. Network Analysis of International Migration, in: Models, Algorithms, and Technologies for Network Analysis. Springer Proceedings in Mathematics & Statistics / Ed. by V. A. Kalyagin, A. I. Nikolaev, P. M. Pardalos, O. Prokopyev . Vol. 197. Springer International Publishing, 2017. doi P. 177-185. doi
Aleskerov F. T., Shvydun S. V. A Mathematical Approach to Conflict Resolution in the Arctic Region, in: 2017 3rd IEEE International Conference on Cybernetics (CYBCON). Exeter : IEEE, 2017. P. 1-6. doi
Лазарев А. А., Архипов Д.И. Д. И., Battaia O. O. Long-term production planning problem: scheduling, makespan estimation and bottleneck analysis, in: IFAC-PapersOnLine Vol. V.50. Issue 1. Editions Elsevier, 2017. doi Ch. 50. P. 7970-7974. doi
Lepskiy A., Suevalov A. Application of Fuzzy Asymmetric GARCH-Models to Forecasting of Volatility of Russian Stock Market, in: Proceedings of the Second International Scientific Conference “Intelligent Information Technologies for Industry” (IITI’17). Advances in Intelligent Systems and Computing Vol. 679. Cham : Springer International Publishing, 2018. doi P. 286-294. doi
Alexander Lazarev, Khusnullin N., Musatova E., Yadrentsev D., Ponomarev K. Heuristic Algorithm for Solving the Cosmonauts Training Planning Problem, in: CEUR Workshop Proceedings (CEUR-WS.org) of the VIII International Conference on Optimization Methods and Applications “OPTIMIZATION AND APPLICATINS” (OPTIMA-2017) Vol. 1987. , 2017. Ch. 1987. P. 364-369.
Alexander Lazarev, Dmitry Arkhipov D., German Tarasov g. Estimating Maximum Resource Load for Resource-Constrained Project Scheduling Problem, in: CEUR Workshop Proceedings (CEUR-WS.org) of the VIII International Conference on Optimization Methods and Applications “OPTIMIZATION AND APPLICATINS” (OPTIMA-2017) Vol. 1987. , 2017. Ch. 1987. P. 356-363.
Lepskiy A., Кутынина Е. А. Aggregation of Forecasts and Recommendations of Financial Analysts in the Framework of Evidence Theory, in: Advances in Fuzzy Logic and Technology 2017 Vol. 642. Cham : Springer International Publishing AG, 2018. doi P. 370-381. doi
Rubchinskiy A. A New Approach to Network Decomposition Problems, in: Models, Algorithms, and Technologies for Network Analysis. Springer Proceedings in Mathematics & Statistics / Ed. by V. A. Kalyagin, A. I. Nikolaev, P. M. Pardalos, O. Prokopyev . Vol. 197. Springer International Publishing, 2017. doi P. 127-152. doi
Aleskerov F. T., Ivanov A., Karabekyan D., Yakuba V. I. Manipulability of majority relation-based collective decision rules, in: 9th KES International Conference on Intelligent Decision Technologies, KES-IDT 2017; Vilamoura; Portugal; 21 June 2017 до 23 June 2017, Smart Innovation, Systems and Technologies. Springer Verlag, 2018. P. 82-91. doi
Podinovskaya O. V., Vladislav V. Podinovski. Criteria importance theory for multicriterial decision making problems with a hierarchical structure // European Journal of Operational Research. 2017. Vol. 258. P. 983-992. doi
Ermolova M. D., Penikas H. I. Basel regulation: A dangerous obsession // Model Assisted Statistics and Applications. 2017. Vol. 12. No. 1. P. 63-88. doi
Lozinskaia A. M., Merikas A., Merika A., Penikas H. I. Determinants of the probability of default: the case of the internationally listed shipping corporations // Maritime Policy and Management. 2017. Vol. 44. No. 7. P. 837-858. doi
Субочев А. Н. О возможности имплементации такой функции коллективного выбора, как объединение минимальных внешнеустойчивых множеств, и о других ее полезных свойствах и возможностях применения // В кн.: XVII Апрельская международная научная конференция по проблемам развития экономики и общества: в 4 кн. / Отв. ред.: Е. Г. Ясин. Кн. 1. М. : Издательский дом НИУ ВШЭ, 2017. С. 111-120.
Karpov A. V. Preference diversity orderings // Group Decision and Negotiation. 2017. Vol. 26. No. 4. P. 753-774. doi
Ermolova M. D., Penikas H. I. PD-LGD correlation study: Evidence from the Russian corporate bond market // Model Assisted Statistics and Applications. 2017. Vol. 12. No. 4. P. 335-358. doi
Lepskiy A. Decomposition of Evidence and Internal Conflict, in: Procedia Computer Science Vol. 122: 5th International Conference on Information Technology and Quantitative Management, ITQM 2017. ELSEVIER, 2017. P. 186-193. doi
Lepskiy A. Stochastic and fuzzy ordering with the method of minimal transformations // Automation and Remote Control. 2017. Vol. 78. No. 1. P. 50-66. doi
de Amorim R. C., Makarenkov V., Mirkin B. A-Wardpβ: Effective hierarchical clustering using the Minkowski metric and a fast k-means initialisation // Information Sciences. 2016. Vol. 370-371. No. November . P. 343-354. doi
Мячин А. Л. Использование методов анализа паттернов в задаче оценки инновационного развития // В кн.: Управление развитием крупномасштабных систем (MLSD'2017): Материалы Десятой международной конференции, 2 окт. - 4 окт. 2017 г. / Под общ. ред.: С. Н. Васильев, А. Цвиркун. Т. 2: Пленарные доклады, секции 5 - 13. Институт проблем управления им. В.А. Трапезникова РАН, 2017. С. 196-198.
Maskin E. S. Comments on the Foundations of Incomplete Contracts, in: The Impact of Incomplete Contracts on Economics. Oxford : Oxford Scholarship Online, 2017. doi P. 345-349. doi
Подиновский В. В. Чувствительность многокритериального выбора к изменению оценок важности неоднородных критериев // Информационные технологии в науке, образовании и управлении. 2017. № 4. С. 23-27.
Shvydun S. V. Superposition Models of Conflict Resolution in the Arctic Region, in: Управление развитием крупномасштабных систем (MLSD'2017): Материалы Десятой международной конференции, 2 окт. - 4 окт. 2017 г. / Под общ. ред.: С. Н. Васильев, А. Цвиркун. Т. 2: Пленарные доклады, секции 5 - 13. Институт проблем управления им. В.А. Трапезникова РАН, 2017. P. 452-455.
Aleskerov F. T., Бульдяев А. В., Хуторская О. Е., Ямилов А. И. Parkinson’s Disease: Network Analysis of Patents and Publications’ Activity, in: 11th IEEE International Conference on Application of Information and Communication Technologies (AICT): Conference Proceedings (Vol.2) Vol. 2. M. : Institute of Electrical and Electronics Engineers Inc., 2017. P. 430-432.
Алескеров Ф. Т., Мещерякова Н. Г., Швыдун С. В., Сергеева З. В. Сетевой анализ продовольственной безопасности // В кн.: Управление развитием крупномасштабных систем (MLSD'2017): Материалы Десятой международной конференции, 2 окт. - 4 окт. 2017 г. / Под общ. ред.: С. Н. Васильев, А. Цвиркун. Т. 2: Пленарные доклады, секции 5 - 13. Институт проблем управления им. В.А. Трапезникова РАН, 2017. С. 303-306.
Elena Deryugina, Alexey Ponomarenko, Sinyakov A., Sorokin Constantine. Evaluating underlying inflation measures for Russia // Macroeconomics and Finance in Emerging Market Economies. 2017. P. 1-22. doi
Tverskoy D. N., Makarenkov V., Aleskerov F. T. Modeling functional specialization of a cell colony under different fecundity and viability rates and a resource constraint // Plos One. 2017
Егорова Л. Г., Климюк И. Ю. Применение процессов Хоукса для прогнозирования финансовых рисков / Издательский дом ВШЭ. Серия WP7 "Математические методы анализа решений в экономике, бизнесе и политике". 2017. № 02.
Mirkin B., Fenner T. TIED RANKINGS, ORDERED PARTITIONS, AND WEAK ORDERS: DISTANCE AND CONSENSUS / Издательский дом ВШЭ. Series WP7 "Математические методы анализа решений в экономике, бизнесе и политике". 2016. No. 8.
Nascimento S., Mirkin B. Ideal type model and an associated method for relational fuzzy clustering, in: 2017 IEEE International Conference Fuzzy Systems (FUZZ-IEEE). IEEE, 2017. doi P. 1-6. doi
Nascimento S., Mirkin B. Applying Anomalous Cluster Approach to Spatial Clustering, in: Uncertainty Modeling. Dedicated to Professor Boris Kovalerchuk on his Anniversary Issue 683. Springer International Publishing, 2017. doi P. 147-157. doi
Karpov A. V. Price competition and limited attention / Kiel Institute for the World Economy. Series Economics Discussion Papers "Economics Discussion Papers". 2017. No. 2017-89.
Aleskerov F. T., Demin S. S. Possible Oil Spills in the Barents Sea and their Consequences, in: Управление развитием крупномасштабных систем (MLSD'2017): Материалы Десятой международной конференции, 2 окт. - 4 окт. 2017 г. / Под общ. ред.: С. Н. Васильев, А. Цвиркун. Т. 2: Пленарные доклады, секции 5 - 13. Институт проблем управления им. В.А. Трапезникова РАН, 2017. P. 308-309.
Aleskerov F. T., Yakuba V. I. Polarization and optimal allocation of migrants / NRU Higher School of Economics. Series WP7 "Математические методы анализа решений в экономике, бизнесе и политике". 2017. No. 01.
Подиновский В. В. Реперные функции для многокритериальных задач // Информационные технологии в науке, образовании и управлении. 2017. № 2. С. 17-26.
Подиновский В. В. Реперные функции // Управление большими системами: сборник трудов. 2017. № 68. С. 30-46.
Веселова Ю. А. Манипулирование при неполной информации // В кн.: XVII Апрельская международная научная конференция по проблемам развития экономики и общества: в 4 кн. / Отв. ред.: Е. Г. Ясин. Кн. 1. М. : Издательский дом НИУ ВШЭ, 2017. С. 78-90.