Обработка пропусков в рыночных данных на примере задачи оценки кривой доходностей облигаций

Missing observations in market data is a frequent problem in financial studies. The problem of missing data is often overlooked in practice. Missing data is mostly treated using ad hoc methods or just ignored. Our goal is to develop practical recommendations for treatment of missing observations in financial data. We illustrate the issue with an example of yield curve estimation on Russian bond market. We compare three methods of missing data imputation — last observation carried forward, Kalman filtering and EM–algorithm — with a simple strategy of ignoring missing observations. We conclude that the impact of data imputation on the quality of yield curve estimation depends on model sensitivity to the market data. For non-sensitive models, such as Nelson-Siegel yield curve model, final effect is insignificant. For more sensitive models, such as bootstrapping, missing data imputation allows to increase the quality of yield curve estimation. However, the result does not depend on the chosen data imputation method. Both simple last observation carried forward method and more advanced EM–algorithm lead to similar final results. Therefore, when estimating yield curves on the illiquid markets with missing market data, we recommend to use either simple non-sensitive to the data parametric models of yield curve or to impute missing data before using more advanced and sensitive yield curve models.Пропуски в рыночных данных — частая проблема в финансовых исследованиях, которой уделяется относительно мало внимания на практике. Обработка пропусков, как правило, выполняется эвристически и является лишь вспомогательным шагом исследований. Целью нашей работы является разработка практических рекомендаций по работе с пропусками в рыночных данных. Проблема иллюстрируется на примере задачи оценки временной структуры процентных ставок на российском рынке государственных облигаций. Мы сравниваем три различных метода заполнения пропусков в данных — заполнение последним значением, фильтр Калмана и EM-алгоритм — с простой стратегией удаления пропусков. Мы приходим к выводу, что эффект от заполнения пропусков на качество оценки кривой зависит от чувствительности модели кривой доходностей к рыночным данным. Для слабо чувствительных к данным моделей, например для модели кривой доходностей Нельсона-Зигеля, эффект от заполнения пропусков минимален. Для более чувствительных моделей кривой, таких как бутстрэп, за счет заполнения пропусков удается достичь статистически значимого улучшения качества оценки срочной структуры процентных ставок. При этом данный результат не зависит от способа заполнения пропусков. И простой метод заполнения последним значением, и более сложный EM-алгоритм дают схожие результаты. Рекомендация исследования состоит том, что на практике при оценке кривой доходностей в условиях неполных данных необходимо либо использовать слабо чувствительные к данным параметрические модели кривой доходностей, либо заполнять пропуски в данных перед использованием чувствительных моделей

Financial Aspects of Technological Concept for Energy Efficiency Enhancement during Stripper Wells Development in Tomsk Region

The issue of operating costs cutting in terms of falling oil prices on the world market actualizes the challenge to find technological solutions to reduce electricity consumption during well operation. This is especially important for stripped-wells of small deposits in Tomsk region. The correlation analysis between the cost of oil production, electricity, heat and fuel consumption during the extraction of one ton of oil allowed the authors to focus on the financial aspect of such technological solutions like periodic well operation in the Shinginskoye field as well as to recommend the application of this method at the other fields in Tomsk region

ПРОФИЛЬ ОБШИВКИ И ЦИКЛЫ ВИБРОНАГРУЖЕНИЯ ПОЛУВАГОНА

The design of the side walls of freight gondola cars, designed for the use of vibration loading technology assume their sheathing with sheet profiles. Earlier held survey of technical state of gondola cars with a body height of 2365 mm, delivered for unloading and cleaning of cargo residues using vibration equipment [3] revealed an increased damageability of elements of the side walls. About 90% of gondola cars had separations of siding sheets from the side wall pillars and cracks of up to 200 mm in the corners of middle and upper corrugations of the first and second panels. This led to the fact that a new edition of GOST 22235, in force since 2010, prohibits the delivery of cars with body height of 2365 mm for unloading using vibration technology. To increase the operational reliability of such complexes, different designs, models are offered, new calculations and experiments are conducted. The article presents the results of authors’ research, conducted primarily with simulation and hybrid modeling methods, its conclusions and options of alternative sheathing profiles, tested in Yekaterinburg, showing the possibility of using overhead vibration machines for unloading gondola-cars with a height of the body of 2365 mm and with account of permissible time of operation of the rolling stock.Конструкции боковых стен грузовых полувагонов, рассчитанных на использование технологий виброразгрузки, предполагают их обшивку листовыми профилями. Чтобы повысить эксплуатационную надежность таких комплексов, предлагаются разные конструктивные решения, модели, проводятся все новые расчеты и эксперименты. В числе прочих в статье представлены авторские исследования и прошедшие в Екатеринбурге проверку варианты альтернативных профилей обшивки, показавших возможность применения накладных вибромашин на разгрузке полувагонов с высотой кузова 2365 мм и с учетом предельно допустимого времени эксплуатации подвижного состава

Determination of ππ\pi\pi scattering lengths from measurement of π+π−\pi^+\pi^- atom lifetime

The DIRAC experiment at CERN has achieved a sizeable production of $\pi^+\pi^-$ atoms and has significantly improved the precision on its lifetime determination. From a sample of 21227 atomic pairs, a 4% measurement of the S-wave $\pi\pi$ scattering length difference $|a_0-a_2| = (.0.2533^{+0.0080}_{-0.0078}|_\mathrm{stat}.{}^{+0.0078}_{-0.0073}|_\mathrm{syst})M_{\pi^+}^{-1}$ has been attained, providing an important test of Chiral Perturbation Theory.Comment: 6 pages, 6 figure

Magnetic resonance spectroscopy of hippocampal and striatal neurometabolites in experimental PTSD rat modeling

The spectrum of the metabolites in the dorsal region of the hippocampus and striatum was studied using the method of 1H magnetic resonance spectroscopy at experimental modeling of the posttraumatic stress disorder syndrome (PTSD) in rats. PTSD was reproduced by exposure of the cat cue to rats daily along 10 day by 10 minutes at once. The anxiety level of animals was estimated 12 days later after the end of the experimental series of stress. Based on the anxiety index, the rats were divided into 3 phenotypes. The animals with an anxiety index > 0.8 (group 1) had lower plasma corticosterone compared with rats form the control group. In animals with an anxiety index in the range 0.7–0.8 (group 2), an elevated corticosterone level was noted. The rats with an anxiety index < 0.7 (group 3) had a lower plasma corticosterone level compared with animals from the control group. Rats of group 2 were characterized by an increased level of GABA in the hippocampus compared with controls. In the remaining groups, the percentages of GABA in the hippocampus and striatum did not differ significantly from the control. The distribution of NAA differed form that of GABA. The highest level of NAA was found in the striatum for rats from group 1, whereas NAA in animals form groups 1 or 3 did not differ from the control. The NAA level in the hippocampus was similar between all groups, including the control. The results obtained indicate that multiple exposures to psychological stress associated with the sense of proximity of a natural enemy in some animals cause an anxiolytic reaction. These animals are characterized by a stable corticosterone level and a stable level of neurometabolites in the studied structures of the brain. For rats with the highest level of anxiety, a lowered level of corticosterone with a constant level of neurometabolites in the hippocampus and striatum is characteristic. And only in rats with an intermediate level of anxiety, synchronization was observed between the increase in plasma corticosterone and the increase in hippocampal GABA content. The results obtained are in good agreement with the ideas of the protective action of glucocorticoids under PTSD manifested in  restraining violations of the psycho-physiological status. The mate rials allow the neurobiological mechanisms of the protective action of glucocorticoids to be detailed