Classical Market Research Articles

Deep Learning Option Price Movement

Understanding how price-volume information determines future price movement is important for market makers who frequently place orders on both buy and sell sides, and for traders to split meta-orders to reduce price impact. Given the complex non-linear nature of the problem, we consider the prediction of the movement direction of the mid-price on an option order book, using machine learning tools. The applicability of such tools on the options market is currently missing. On an intraday tick-level dataset of options on an exchange traded fund from the Chinese market, we apply a variety of machine learning methods, including decision tree, random forest, logistic regression, and long short-term memory neural network. As machine learning models become more complex, they can extract deeper hidden relationship from input features, which classic market microstructure models struggle to deal with. We discover that the price movement is predictable, deep neural networks with time-lagged features perform better than all other simpler models, and this ability is universal and shared across assets. Using an interpretable model-agnostic tool, we find that the first two levels of features are the most important for prediction. The findings of this article encourage researchers as well as practitioners to explore more sophisticated models and use more relevant features.

Anticipatory gains and event-driven losses in blockchain-based fan tokens: Evidence from the FIFA World Cup

National football teams increasingly issue tradeable blockchain-based fan tokens to strategically enhance fan engagement. This study investigates the impact of 2022 World Cup matches on the dynamic performance of each team's fan token. The event study uncovers fan token returns surged six months before the World Cup, driven by positive anticipation effects. However, intraday analysis reveals a reversal of fan token returns consistently declining and trading volumes rising as matches unfold. To explain findings, we uncover asymmetries whereby defeats in high-stake matches caused a plunge in fan token returns, compared to low-stake matches, intensifying in magnitude for knockout matches. Contrarily, victories enhance trading volumes, reflecting increased market activity without a corresponding positive effect on returns. We align findings with the classic market adage "buy the rumor, sell the news," unveiling cognitive biases and nuances in investor sentiment, cautioning the dichotomy of pre-event optimism and subsequent performance declines.

Институциональный дизайн Порядка 220 в отношении цифровых и классических рынков

The proposed article reflects a methodological description and specific proposals for the content of certain provisions of the Procedure for analyzing the state of competition in the commodity market, approved in accordance with Order No. 220 of the Federal Antimonopoly Service of Russia dated April 28, 2010 in connection with a set of changes related primarily to digital markets. The article presents a brief historical content of changes and transformations of methods for analyzing commodity markets for the purposes of antitrust enforcement, which shows the need for important additions and modernization of the Order 220, both in relation to digital markets and updating concepts and categories of the general outline of commodity market analysis. Special attention is paid to the fact that the instrumental disclosure of the concepts of “decisive influence” and “network effect” are the most important narrative of the regulatory axis in the digital agenda. The article proposes a matrix of variability of research tools for analyzing the relevant market (classical and digital), since significant transformations of the classical market paradigm in the context of expanding digitalization of public and economic life imply a change in research tools for assessing the state of the competitive environment. Given that different types of online platforms compete on the basis of different quality parameters, a description of the SSNDQ test is presented, which may become the main argument for the possibility of switching platform users and its inclusion in the Order of 220 is possible. For the first time in scientific research content, the author’s vision of instrumental assessments of network effects and signs of dominance of digital platforms is systematically reflected, indicators for analyzing the consequences and strength of the network effect are systematized. Four complex groups of indicators are proposed to assess the consequences and strength of the network effect, and their meaningful content is reflected.

Cryptocurrencies from a behavioural finance perspective

In today’s world, cryptocurrencies are no longer a technological miracle for a small group of programmers. They have become a very common investment instrument that attracts the attention of both traditional investors (funds and traders) and those who are not interested in classical markets and investing in general. This is especially true for bitcoin. The purpose of the study was to investigate the influence of behavioural psychology in making investment decisions in cryptocurrency markets. The research methods included analysing historical data on cryptocurrency prices, as well as observing investors’ reactions to important events and news related to cryptocurrencies. In addition, behavioural analysis methods were used to understand and predict investors’ reactions to various incentives and situations in the cryptocurrency markets. The results of the article describe the main provisions of behavioural finance, which are necessary for an overview of the cryptocurrency market. The impact of the main topics of behavioural finance research is also considered. It should be noted that in the absence of a large amount of data, the study of the cryptocurrency market and the behaviour of participants is mainly a hypothetical assessment, and the empirical aspects of the study are copied from the behavioural finance of the classical market. Considering the cryptocurrency market from the point of view of behavioural finance, the main points of view of different parties were considered: both supporters of cryptocurrency and those who consider this phenomenon to be an economic bubble in a technological wrapper. The information reflecting the main biases of behavioural finance, which relate to both classical markets and cryptocurrency markets, is systematised. The study of cryptocurrencies from the point of view of behavioural finance reflects the practical value in understanding the impact of behavioural factors on price dynamics and investment decisions in cryptocurrency markets

Current changes and strategical directions of modernization of oilfield services market

Relevance. Innovative-technological development of oilfield service business is associated with the need of vertically integrated companies (VINCs) in services, which are largely dependent on fluctuations in demand for hydrocarbon raw materials, so the model of strategic planning of innovative-technological development of oilfield service, taking into account the current realities, will be in wide demand. Purpose of the research – Justification of the need to implement the model of strategic planning in innovation and technological development in oilfield service companies based on the analysis of current problems and trends in the oilfield service market. Main results. The analysis of problems and trends in the oilfield services market proves that the growing demand for hydrocarbons is the key factor determining the market growth and forming the outstripping demand for geological exploration, drilling and geophysical support. Increasing sanctions pressure may reduce the volume of high-tech service operations due to the withdrawal of multinationals from the Russian market, which may lead to stagnation of the oilfield services market and cause risks of lower oil and gas production levels. The pandemic-related drop in oil quotations on world stock exchanges has caused an increase in competition in both the Russian and global oilfield services markets, where two opposite trends have manifested themselves: on the one hand, there is a decline in demand for these services, while on the other – data on the growth of drilling volumes indicate the industry’s development prospects. New technological solutions increase the production efficiency of the oilfield service industry, which requires companies to focus on innovative development and use a model of strategic planning for the introduction of modern technologies together with classical market instruments, which determines the practical significance of the results of this study. Conclusion. The analysis of opportunities, trends and problems of oilfield service market development, as well as strategic priorities of oilfield service companies at the present stage confirms the significance and necessity of introducing innovative technologies to form and maintain competitive advantages in the existing global market. The strategic approach to modelling the development of oilfield service companies allows to increase the sustainability and stability of their development, as well as to reduce the negative impact on the environment in the changing energy landscape.

Cryptocurrencies from a behavioural finance perspective

In today's world, cryptocurrencies are no longer a technological miracle for a small group of programmers. They have become a very common investment instrument that attracts the attention of both traditional investors (funds and traders) and those who are not interested in classical markets and investing in general. This is especially true for bitcoin. The purpose of the study was to investigate the influence of behavioural psychology in making investment decisions in cryptocurrency markets. The research methods included analysing historical data on cryptocurrency prices, as well as observing investors' reactions to important events and news related to cryptocurrencies. In addition, behavioural analysis methods were used to understand and predict investors' reactions to various incentives and situations in the cryptocurrency markets. The results of the article describe the main provisions of behavioural finance, which are necessary for an overview of the cryptocurrency market. The impact of the main topics of behavioural finance research is also considered. It should be noted that in the absence of a large amount of data, the study of the cryptocurrency market and the behaviour of participants is mainly a hypothetical assessment, and the empirical aspects of the study are copied from the behavioural finance of the classical market. Considering the cryptocurrency market from the point of view of behavioural finance, the main points of view of different parties were considered: both supporters of cryptocurrency and those who consider this phenomenon to be an economic bubble in a technological wrapper. The information reflecting the main biases of behavioural finance, which relate to both classical markets and cryptocurrency markets, is systematised. The study of cryptocurrencies from the point of view of behavioural finance reflects the practical value in understanding the impact of behavioural factors on price dynamics and investment decisions in cryptocurrency markets

Contemporary Art Market and Positioning of Artist’s Brand on It

The purpose of the article is to study the definitions of the art market and the artist's brand in the first third of the 21st century, as well as to analyse the ways of promoting contemporary branded artists on the art market. The research methodology consists in the application of comparative, empirical, and theoretical methods. This methodological approach allows to analyze the tools of popularization of modern Ukrainian and foreign artists. The scientific novelty lies in a new approach to the definition of "art market", in the comparative disclosure of the definition of "artist’s brand" through the study of non-commercial socio-cultural projects against the background of commercial art projects aimed to generate monetary income. Conclusions. The socio-cultural design of the work of managers of the contemporary Ukrainian commercial and non-commercial segments of the art market corresponds to the planning algorithms of the classical market, and includes such market participants as the producer of an artistic product, the seller, the consumer, pricing algorithms, and advertising. The art market has implemented marketing algorithms for popularising artists' work and promoting art brands. In the modern global art market, each artist’s personal brand is a unique socio-cultural project and one of the main criteria for pricing artworks. The contemporary Ukrainian art space meets the requirements of the global art market, is competitive, and includes state and municipal institutions and facilities, as well as the commercial space of auctions, fairs, and galleries. Key words: art market, marketing research, relationship marketing, motivation of art consumers, art projects, consumption of art works, behaviour of art market consumers.

NFT를 활용한 클래식 음악시장 활성화 방안

This study suggested measures to revitalize the stagnant classic music market by utilizing the recently spotlighted non-fungible token (NFT). This study examined the replaceability based on NFT-related specialized knowledge and relevant preceding studies and utilized them to suggest the classic music market revitalization method by using preceding studies and statistics.
 NFT is blockchain-based exchange measure called non-fungible token. Since NFT is free from reproduction, falsification, and abuse, NFT is able to maintain its value. Furthermore, NFT is able to maintain the economic value not only physical artworks but also non-physical art values. Therefore, NFT can add economic value and revitalize the classic music market and other markets with decreasing attention. Especially, NFT is expected to protect the property rights and copyrights of classic music, create profits through streaming and other services, and boost transactions based on scarcity to expand the classic market.

Clustering of Tadalafil API Samples According to their Manufacturer in the Context of API Falsification Detection

This paper reports the results of the active pharmaceutical ingredient (API) fingerprint study, organised by the General European Official Medicines Control Laboratory Network (GEON), on tadalafil. A classical market surveillance study, evaluating compliance to the European Pharmacopoeia, was combined with a fingerprint study, the latter to obtain characteristic data for the different manufacturers, allowing the network laboratories to conduct authenticity tests for future samples, as well as to detect substandard and falsified samples.In total, 46 tadalafil API samples from 13 different manufacturers were collected. For all samples fingerprint data was collected through analysis of impurities and residual solvents, mass spectrometric screening, X-ray powder diffraction and proton nuclear magnetic resonance (1H-NMR). Chemometric analysis revealed that all manufacturers could be characterised based on the impurity, residual solvent and 1H-NMR data. Future suspicious samples in the network will therefore be analysed with these techniques in order to attribute the sample to one of the manufacturers. If the sample cannot be attributed, a more profound investigation will be necessary to reveal the origin of the sample. In cases where the suspect sample is claimed to be from one of the manufacturers included in this study, analysis can be limited to the test distinguishing that manufacturer.

Empirical evidence for the edge of a centralized regional market over a cross-province balancing market in allocating electricity resources: A case study of Yunnan in China

Alongside China’s new round of electricity reform, Yunnan has implemented medium- and long-term market reform in the electricity sector since 2015 with little progress seen in establishing an electricity spot market. To this end, this paper attempts to identify the pathway to an electricity spot market for Yunnan through its realities and lessons learned from Europe. As such, on the ground of the status quo of the energy mix, generation features, load structure and profiles, power supply–demand situations, and market progress in the Yunnan electricity system, this paper reviews two classical market frameworks commonly adopted worldwide, from the perspectives of market organizing and the core optimization model broadly used in coordinating system operation and clearing the market. Then the contrast of Yunnan with the European experience is analyzed with respect to the energy mix, generation, transmission, and exchange, as well as the political and economic institutional arrangements, market conditions, and driving forces. Moreover, the Yunnan case study scenarios and likely consequences and benefits under different market frameworks are further analyzed to verify the edge of a centralized optimal-power-flow-based regional market over a decentralized cross-province balancing market, in productively reducing price distortion, allocating resources, maintaining power supply–demand balance at all times, and promoting renewable energy integration across a wider region. Finally, policy suggestions concerning the pathway to an electricity spot market are provided for Yunnan in further deepening its electricity reform.

Capital market and public health emergencies in Chinese sports industry based on a market model

<abstract> <p>The public health emergencies have had a significant impact on the world economy, and the sports industry has been no exception. This study employed StataMP-64 software and event study methodologies to examine the reaction of the Chinese sports industry's capital markets to the outbreak of public health emergencies. The event study method, which is becoming increasingly popular in the field of economics and management, is well-suited for evaluating the impact of specific events on stock returns in the capital market. This method has also garnered significant interest in the sports industry. In this study, the expected return is calculated using the classical market model, and the cumulative abnormal return and average cumulative abnormal return were calculated for each sports company during the period of the Wuhan "city closure" event and the inflection point event. The Wilcoxon non-parametric test has been used to examine the significance of the abnormal return. The results indicate that the event study method, applied to a procedural market model, is effective in analyzing the capital market's response to the public health emergencies outbreak in the Chinese sports industry.</p> </abstract>

Trends in the explanatory power of factor-based asset pricing models in determining the cost of capital

The recent research on asset pricing shows that the higher liquidity that results from the globalization of financial markets has significantly reduced the returns tied to many market anomaly-based strategies. However, in general, that research does not evaluate the effects that the mitigation of market anomalies may imply on the performance of the classic asset pricing models. On this basis, in this paper we study to what extent the lower returns provided by market anomaly-based strategies imply better performance of those models. Hence, the main purpose of our study is to compare the performance over time of some of the most prominent asset pricing models, namely, the CAPM and the Fama and French three- and five-factor models, on the European and US equity markets, using return series that cover more than 30 years. Our results show that, although the CAPM is the model with the worst performance in explaining excess returns in all periods both in Europe and US, the model has increased its explanatory power in the recent years principally due to the attenuation of classic market anomalies, such as the size effect or the value effect. Furthermore, our results show that the CAPM correctly prices the three classic Fama and French factors for the years 2006-2021, which explains the best performance of the model for that time interval. Our results have important implications for investment analysis, as well as for determining the cost of capital.

Українська воєнна криза як частина глибинного світового трансформаційного процесу: фінансові механізми стабілізації та відновлення

The article is aimed at characterizing the modern crisis caused by the Russian-Ukrainian war as part of the profound world transformation process, and theoretical-methodological substantiating of the financial mechanisms for stabilization and recovery of the Ukrainian economy. As a result of the carried out study, it is shown that the current crisis in Ukraine is a component of the global transformational transition against the background of the formation of the information and digital economy. On the surface of economic phenomena, this transition is presented as: destabilization as result of the conflict adaptation of the networked person and the social simplification of the classical market entity; the clash of the fading liberal model of the world order and the beginnings of a new digital society; the crisis of globalization and localization. The stages of the unfolding crisis of globalization and localization are the following: the global financial and economic collapse of 2007-2009, the COVID-19 pandemic of 2020-2021, the stage of maximum entropy during the Russian military aggression against Ukraine in 2022. In the context of the crisis of globalization and localization, the role of the State-owned institutions is growing, which absorb global fluctuations and take maximum responsibility for themselves, creating risks for the formation of authoritarian societies. Simultaneously, with the crisis uncertainty growing, this is the most likely option to ensure relative stability and consistency. Financial mechanisms for stabilization and recovery of the Ukrainian economy should be implemented on the basis of the use of digital technologies to ensure supply and demand through the introduction of digital currency, the institution of unconditional income, the development of programs for automatic assistance to small and medium-sized enterprises in the context of crisis, the creation of financial development institutions in the format of a digital bank. Digital technologies will increase the risks of final leveling of market principles of economic activity and cause excessive overregulation, so further research in this direction will be focused on minimizing the risks of totalitarianization of the financial space in the digital economy.

Системний аналіз процесів формування “зеленої економіки” в сучасних умовах

Проведено аналіз сучасних тенденцій цивілізаційного розвитку, що свідчить про нестійкість сучасних моделей економічного розвитку як на регіональному, так і на глобальному рівнях. Спільним недоліком цих моделей є абсолютизація економічного зростання в умовах нехтування соціальних і екологічних проблем. Обґрунтовано положення, що без урахування соціальних і екологічних чинників неможливо забезпечити сталий розвиток економіки на тривалу перспективу. Виокремлено низку глобальних проблем соціально-економічного розвитку на сучасному етапі: зміна клімату, екстенсивне використання природних ресурсів унаслідок прискореного зростання населення світу, яке супроводжується негативним впливом на довкілля.

Neoliberal Approaches in the Model of European Economic Integration

A feature of the first decade of the XXI century was the shift of the EU from the second to the third position in the competition of global geographical centers of power; the beginning of the third decade was marked by the withdrawal of the UK from the EU. Despite many external and internal challenges, the EU remains committed to its chosen economic model and its unique asset, the Single internal market. The article focuses on the following questions. Why did the neoliberal ideas embodied in the creation of a model for the integration of national markets receive support in Europe in the middle of the XX century? How has neoliberalism strengthened over time? Does the process of developing a common economic policy and expanding the EU's powers run counter to the development of a neoliberal idea? What alternative models compete with the European neoliberal model? How stable is the neoliberal idea in the EU? The subject of the study is the growth of supranational economic regulation in the EU. Using general scientific methods, historical, comparative analysis and abstraction, a schematic representation of the classical market model and the EU model (European model) is given, with the designation of common and special reference elements that ensure economic efficiency. The author describes the three stages of the formation of the European model. It is concluded that the EU's regulatory activities are neoliberal in nature. It is aimed at using market leverage, and the model itself retains a margin of stability. The author argues that the current stage started in 2000 is a stage of a smart neoliberal model formation.

Historical Forms of Tourism Gradual Transnationalization and the Perpetuum Mobile Behind it

Over the past 70 years, tourism has always been at the forefront of business transnationalization, as it has consistently used all the advantages of the transnational production and distribution system, thereby creating additional competitive advantages on a truly global scale. The purpose of this study is to analyze the evolution of the international travel market, as well as to identify a number of historical stages of its development, which the market has passed on the way to establishing strong international relations and interaction. In this article, transnationalization is defined as a modern form of organizing tourism and hotel business. It was proposed directly by entrepreneurs as one of the possible solutions to classic market problems (including limited demand and factors of production). These market problems intensified in the second half of the last century, and all of them directly influenced the development of tourism. The study analyzed the driving forces of transnationalization of the tourism and hospitality sectors, taking into account the economic effect of the synergy of transnationalization. Expansion of tourist activities of the sectoral transnational corporations along with their gradual transformation into influential subject of the world economy. All of the considered in the article synergy effects from tourist business transnationalization have nearly simultaneous impact on the process of tourist services’ production.

Development of an Intelligent Decision Support System for Attaining Sustainable Growth within a Life Insurance Company

Consumer behaviour is one of the most important and complex areas of research. It acknowledges the buying behaviour of consumer clusters towards any product, such as life insurance policies. Among various factors, the three most well-known determinants on which human conjecture depends for preferring a product are demographic, economic and psychographic factors, which can help in developing an accurate market design and strategy for the sustainable growth of a company. In this paper, the study of customer satisfaction with regard to a life insurance company is presented, which focused on comparing artificial intelligence-based, data-driven approaches to classical market segmentation approaches. In this work, an artificial intelligence-based decision support system was developed which utilises the aforementioned factors for the accurate classification of potential buyers. The novelty of this paper lies in developing supervised machine learning models that have a tendency to accurately identify the cluster of potential buyers with the help of demographic, economic and psychographic factors. By considering a combination of the factors that are related to the demographic, economic and psychographic elements, the proposed support vector machine model and logistic regression model-based decision support systems were able to identify the cluster of potential buyers with collective accuracies of 98.82% and 89.20%, respectively. The substantial accuracy of a support vector machine model would be helpful for a life insurance company which needs a decision support system for targeting potential customers and sustaining its share within the market.

DEVELOPMENT OF THE CONCEPT OF THE TERRITORIAL PHARMACEUTICAL ECOSYSTEM AS A NEW MARKET MECHANISM IN THE SPHERE OF CIRCULATION OF MEDICINES

One of the established priorities for the development of the retail pharmaceutical market is the digital transformation of classical market mechanisms, in particular, the recent trend is the expanded expansion of ecosystem platforms in retail pharmaceutical activities. The relevance of studies devoted to assessing the applicability of the ecosystem approach for the territorial organizations of productive forces and the market distribution system of the pharmaceutical market is dictated both by the natural processes of the development of the pharmaceutical market and the regulatory specifics of the pharmaceutical sector. The aim of the study was to conceptualize the ecosystem approach to the organization of the pharmaceutical industry at the regional and interregional levels to form the internal potential for the development of the pharmaceutical industry and the distribution network of the pharmaceutical market. The object of the study was a complex of subjects of the pharmaceutical market, for which the architecture of drug distribution was simulated, as well as functional modeling of the processes of pharmaceutical distribution logistics. To assess the integrative and cooperative relationships of the logistics subsystem of a promising territorial pharmaceutical ecosystem, the results of the semantic tree of connections of regional players in the pharmaceutical market were used, as well as the content analysis of shipping documents in the drug supply chains. To assess the applicability of the ecosystem approach in the studied market segment, we have proposed an adaptation of the approach of specialists from Accenture and Kuzmina T.I. and Mandrik N.V., which consists in the industry specialization of the 5p-complex elements for the pharmaceutical market. When testing the proposed methodology, a semantic model of the logistics subsystem of the territorial pharmaceutical ecosystem was obtained, the typology of integrated structures in pharmaceutical logistics of the Ural Federal District (Ural Federal District) was substantiated, 3pl, 4pl, 5pl-operators of the distribution network of the logistics subsystem were determined. The applicability of the ecosystem approach to the modification of the existing structure of logistics channels in the pharmaceutical logistics of the Ural Federal District in the transition from the model of cluster integration in the industrial production of drugs to the ecosystem patient-oriented platform mechanism for the implementation of drug supply has been substantiated.

Pricing distortions in multi-sided platforms

We consider the reasons why a monopoly multi-sided platform may price differently from a social planner. The existing literature has focused only on the classical market power distortion and a distortion in the spirit of Spence. We show two additional distortions appear in the presence of cross-group network effects, which we call the displacement distortion and the scale distortion. We show conditions under which the displacement distortion exactly offsets the Spence distortion, and provide an example in which the total of these different distortions results in monopoly prices per user that are lower than the social planner’s on both sides. Our results have implications for regulatory policy, which we briefly discuss.

Stock market indices and sustainability: A comparison between them

ABSTRACT In this paper, we examine the issue of sustainability in the stock markets by comparing various statistical properties of the classical stock market indices against the recent sustainable ones. Weekly and monthly data from Dow Jones, Eurostoxx and Hang Seng indices were collected, and fractional integration methods were used to analyze differences in terms of persistence and mean reversion for both sustainable and common indices. The results indicate high levels of persistence in all cases, observing almost no differences across the markets. Long memory is also detected in the absolute and squared returns in both markets.