PROMISING DIRECTIONS FOR ENSURING THE RELIABILITY AND INCREASING THE PROFITABILITY OF RUSSIAN ENTERPRISES IN THE CONDITIONS OF ECONOMIC INSTABILITY

The article clarifies the purpose of increasing the economic reliability of the enterprise. The tendencies of the unstable economic situation are considered. It was emphasized that urgent measures should be taken to solve problems with liquidity, costs, and profitability. The stages of the anti-crisis program to ensure relia-bility and increase profitability in conditions of instability have been developed. The priorities of the operating model of enterprises during the normalization of the situation with COVID-19 are identified.

Liquidity of the Chinese Agricultural Futures Market and Its Impact on Futures Price—Based on High-Frequency Data

This study examines the price impact of intraday trading activity and daily market liquidity of Chinese agricultural futures by analyzing continuous intraday 15-min and daily trading datasets, respectively. Corn and soybean, the necessity of the nation and people’s survival in China, are taken as case studies. Our main findings are threefold. Firstly, there is evidence of the presence of informed trading through persistent effects of trade size for both purchases and sales. The magnitude of effects and the seasonality of informed trading vary among varieties, which support the importance of night trading for price smoothing. Secondly, the impact of liquidity costs on returns does not permanently persist. For example, there appears a significant Friday effect with a linear negative relationship in the soybean market, while an exact opposite effect can be found in the corn market for Monday. Thirdly, while the results show no effect of holding position on asset returns in the corn market, the market size of soybean futures exerts a positive Thursday effect, which is prior to the Friday effect of transaction cost. A better understanding of liquidity costs and liquidity pricing is of great significance to a sustainable development of the agricultural commodity market in China.

Hedging and pricing illiquid options with market impacts

In this paper, we consider hedging and pricing of illiquid options on an untradable underlying asset, where an alternative asset is used as a hedging instrument. Particularly, we consider the situation where the trade price of the hedging instrument is subject to market impacts caused by the hedger and the liquidity costs paid as a spread from the mid price. Pricing illiquid options, which often appears in trading of structured products, is a critical issue in practice because of its difficulties in hedging mainly due to untradability of the underlying asset as well as the liquidity costs and market impacts of the hedging instrument. First, by setting the problem under a discrete time model, where the optimal hedging strategy is defined by the local risk-minimization, we present algorithms to obtain the option price along with the hedging strategy by an asymptotic expansion. Moreover, we provide numerical examples. This model enables the estimation of the effect of both the market impacts and the liquidity costs on option prices, which is important in practice.