Perestroikas of Shocks and Singularities of Minimum Functions

The shock discontinuities, generically present in inviscid solutions of the forced Burgers equation, and their bifurcations happening in the course of time (perestroikas) are classified in two and three dimensions -- the one-dimensional case is well known. This classification is a result of selecting among all the perestroikas occurring for minimum functions depending generically on time, the ones permitted by the convexity of the Hamiltonian of the Burgers dynamics. Topological restrictions on the admissible perestroikas of shocks are obtained. The resulting classification can be extended to the so-called viscosity solutions of a Hamilton--Jacobi equation, provided the Hamiltonian is convex.Comment: 20 pages, 8 figures, 3 tables; my e-mail: [email protected]

Essays in empirical asset pricing

In this thesis, I study asset pricing models of stock and bond returns, and therole of macroeconomic factors in explaining and forecasting their dynamics. The first chapter is devoted to the identification and measurement of risk premia in the cross-section of stocks, when some of the risk factors are only weakly related to asset returns and, as a result, spurious inference problems are likely to arise. I develop a new estimator for cross-sectional asset pricing models that, simultaneously, provides model diagnostic and parameter estimates. This novel approach removes the impact of spurious factors and restores consistency and asymptotic normality of the parameter estimates. Empirically, I identify both robust factors and those that instead suffer from severe identification problems that render the standard assessment of their pricing performance unreliable (e.g. consumption growth, human capital proxies and others). The second chapter extends the shrinkage-based estimation approach to the class of affine factor models of the term structure of interest rates, where many macroeconomic factors are known to improve the yield forecasts, while at the same time being unspanned by the cross-section of bond returns. In the last chapter (with Christian Julliard), we propose a simple macro model for the co-pricing of stocks and bonds. We show that aggregate consumption growth reacts slowly, but significantly, to bond and stock return innovations. As a consequence, slow consumption adjustment (SCA) risk, measured by the reaction of consumption growth cumulated over many quarters following a return, can explain most of the cross-sectional variation of expected bond and stock returns. Moreover, SCA shocks explain about a quarter of the time series variation of consumption growth, a large part of the time series variation of stock returns, and a significant (but small) fraction of the time series variation of bond returns, and have substantial predictive power for future consumption growth

Проектное обучение в системе профессиональной подготовки студентов: цели и проблемы реализации

In this article, the author conducts a theoretical analysis of the concepts of “vocational training” and “project training”, and also addresses the consideration of project training as a modern technology in the professional training of students. At the present stage of professional training of future specialists, new technologies of professional training are being actively introduced. One of such effective technologies is project-based learning. This technology of training specialists differs significantly from traditional educational forms but it also has both positive and negative characteristics. Despite the existing negative aspects, domestic authors engaged in the study of project-based learning, note the prospects and effectiveness of the use of project-based learning in the system of vocational training. The effectiveness of the application of project training resides in the preparation of specialists for real professional activity. The project approach in teaching allows students to plunge into the practical sphere of their future specialty, perform practical tasks and gain real experience, form professional competencies and personal qualities necessary for further professional activity.В статье автор проводит теоретический анализ понятий «профессиональная подготовка» и «проектное обучение», а также обращается к рассмотрению проектного обучения как современной технологии в профессиональной подготовке студентов. На современном этапе профессиональной подготовки будущих специалистов активно внедряются новые технологии обучения. Одной из таких является проектное обучение. Оно существенным образом отличается от традиционных образовательных форм, имея как положительные характеристики, так и отрицательные. Отечественные исследователи, занимающиеся изучением проектного обучения, отмечают его перспективность и эффективность использования в системе профессиональной подготовки будущих специалистов. Главным достоинством проектного обучения является то, что оно обеспечивает включение студентов в решение конкретных проблем отдельных предприятий. Студенты с помощью преподавателей вуза, специалистов организации занимаются приобретением набора навыков профессиональной деятельности. Проектный подход в обучении позволяет студентам ознакомиться с особенностями будущей специальности, выполнять реальные задачи и приобретать профессиональные компетенции, необходимые для будущей профессиональной деятельности. Приведены результаты пилотажного социологического исследования, направленного на выявление основных проблем, возникающих при организации проектного обучения в вузе студентов разных направлений подготовки

Consumption in Asset Returns

Consumption dynamics are hard to measure accurately in the data, yet they are the crucial ingredient of macro-finance asset pricing models. The central insight of these models is that, in equilibrium, both consumption and returns are largely driven by the same fundamental shocks. Therefore, we use the information in returns to identify the underlying process of consumption. We find that aggregate consumption growth reacts over multiple quarters to the innovations spanned by bond and stock returns. This persistent component: (a) is economically large i.e. it accounts for about 26% of the total variation in consumption; (b) drives most of the time series variation of stocks and a significant (yet small) fraction of bond returns; (c) is reflected in the term structure of interest rates; and (d) is priced jointly in the cross-sections of bond and stock returns. These results, stable across estimation techniques and robustness checks, pose a novel challenge for asset pricing theory

Project-Based Training in the System of Professional Training of Students: Goals and Problems of Implementation

Рукопись поступила в редакцию: 16.11.2021. Принята к публикации: 24.12.2021.Received: 16.11.2021. Accepted: 24.12.2021.В статье автор проводит теоретический анализ понятий «профессиональная подготовка» и «проектное обучение», а также обращается к рассмотрению проектного обучения как современной технологии в профессиональной подготовке студентов. На современном этапе профессиональной подготовки будущих специалистов активно внедряются новые технологии обучения. Одной из таких является проектное обучение. Оно существенным образом отличается от традиционных образовательных форм, имея как положительные характеристики, так и отрицательные. Отечественные исследователи, занимающиеся изучением проектного обучения, отмечают его перспективность и эффективность использования в системе профессиональной подготовки будущих специалистов. Главным достоинством проектного обучения является то, что оно обеспечивает включение студентов в решение конкретных проблем отдельных предприятий. Студенты с помощью преподавателей вуза, специалистов организации занимаются приобретением набора навыков профессиональной деятельности. Проектный подход в обучении позволяет студентам ознакомиться с особенностями будущей специальности, выполнять реальные задачи и приобретать профессиональные компетенции, необходимые для будущей профессиональной деятельности. Приведены результаты пилотажного социологического исследования, направленного на выявление основных проблем, возникающих при организации проектного обучения в вузе студентов разных направлений подготовки.In this article, the author conducts a theoretical analysis of the concepts of “vocational training” and “project training”, and also addresses the consideration of project training as a modern technology in the professional training of students. At the present stage of professional training of future specialists, new technologies of professional training are being actively introduced. One of such effective technologies is project-based learning. This technology of training specialists differs significantly from traditional educational forms but it also has both positive and negative characteristics. Despite the existing negative aspects, domestic authors engaged in the study of project-based learning, note the prospects and effectiveness of the use of project-based learning in the system of vocational training. The effectiveness of the application of project training resides in the preparation of specialists for real professional activity. The project approach in teaching allows students to plunge into the practical sphere of their future specialty, perform practical tasks and gain real experience, form professional competencies and personal qualities necessary for further professional activity

Retail Trading in Options and the Rise of the Big Three Wholesalers

We document a rapid increase in retail trading in options in the United States. Facilitated by payment for order flow (PFOF) from wholesalers executing retail orders, retail trading recently reached over 60% of total market volume. Nearly 90% of PFOF comes from three wholesalers. Exploiting new flags in transaction‐level data, we isolate wholesaler trades and build a novel measure of retail options trading. Our measure comoves with equity‐based retail activity proxies and drops significantly during U.S. brokerage platform outages and trading restrictions. Retail investors prefer cheaper, weekly options with average bid‐ask spread of 12.6%, and lose money on average