How market ecology explains market malfunction

Standard approaches to the theory of financial markets are based on equilibrium and efficiency. Here we develop an alternative based on concepts and methods developed by biologists, in which the wealth invested in a financial strategy is like the abundance of a species. We study a toy model of a market consisting of value investors, trend followers, and noise traders. We show that the average returns of strategies are strongly density dependent; that is, they depend on the wealth invested in each strategy at any given time. In the absence of noise, the market would slowly evolve toward an efficient equilibrium, but the statistical uncertainty in profitability (which is calibrated to match real markets) makes this noisy and uncertain. Even in the long term, the market spends extended periods of time away from perfect efficiency. We show how core concepts from ecology, such as the community matrix and food webs, give insight into market behavior. For example, at the efficient equilibrium, all three strategies have a mutualistic relationship, meaning that an increase in the wealth of one increases the returns of the others. The wealth dynamics of the market ecosystem explain how market inefficiencies spontaneously occur and gives insight into the origins of excess price volatility and deviations of prices from fundamental values.

Антикризисное управление: анализ изменений механизмов финансового оздоровления кредитных организаций в национальной экономике

Активная работа по обеспечению устойчивости банковского сектора России, стартовавшая в 2013 г., предусматривает применение механизма отзыва лицензии или финансового оздоровления, которое осуществляется при выявлении системной значимости банка как на уровне банковской системы в целом, так и на региональном уровне, а также риска нарушения функционирования финансового рынка, риска ухудшения положения в отраслях экономики или региона. В настоящее время в экономических школах нет единого мнения относительно того, способно ли государство как публично-правовое образование долгосрочно поддерживать устойчивость банковской системы или лучше оставить эту задачу саморегулирующемуся рынку, однако все эти вопросы крайне актуальны для современного состояния национальной экономики. В работе представлены хронология изменения механизмов санации в Российской Федерации и практики их применения, затронуты вопросы практики применения нормативно-правовой базы банковской сферы, выделены положительные и отрицательные характеристики применения текущего механизма. The energetic efforts to ensure the sustainability of the Russian banking sector started in 2013. It stipulated a license revocation or the financial recovery instruments application. The financial recovery is performed when identifying the bank systemic importance both at the level of the banking system as a whole and at the regional level, as well as the risk of the financial market malfunction, the risk of declining in the branches of economy or in the region. At present there is no consensus of opinion among the economic schools as to whether the state as a legal public entity is able to maintain the stability of the banking system at a long term or it would be better off leaving this responsibility to the self-regulating market. However all these issues are extremely relevant to the current state of the national economy. The article aims at reviewing the chronology of the Resolution Mechanisms changes in the Russian Federation, as well as the practice of their application, encompasses the issues of the banking sector regulatory basis application. Positive and negative characteristics of the current mechanism application are shown.