Система методів та моделей оцінювання нелінійної динаміки числової міри економічного ризику
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Date
2020
Journal Title
Journal ISSN
Volume Title
Publisher
Дніпропетровський державний аграрно-економічний університет
Abstract
На підставі аналітичної залежності зв’язку між ризиком та інерційністю економічної
системи встановлюється послідовність оцінок показника ризикованості раціональної
стратегії з урахуванням наявності чи відсутності фактору персистентності
прибутковості обраної раціональної стратегії з оцінюванням показника Херста. Це
дозволяє досліджувати динаміку ризику із плином часу, протягом якого відбуваються події і
процеси в економічних системах з урахуванням ступеня невизначеності – ентропії. як певної
міри невпорядкованості економічного об’єкту, що є відкритою системою.
Використовуючи класичну модель нелінійної динаміки (модель «жертва-хижак») – систему
рівнянь Вольтерри-Лотки, в роботі отримано аналітичні формули оцінювання кількісної
міри ризику поведінки суб’єкта прийняття рішень, який в антагоністичному ринковому
середовищі може бути як «жертвою», так і «хижаком» у довільний момент часу для
випадку двовимірних (площинних) динамічних моделей економіки.
Risk assessment of the economic event has always attracted the attention of a wide range of
economists. It is important for the rational activity of the subject of making strategic economic
decisions to prevent possible unsuccessful business results in the future or correct / compensate the
losses. Practical activities require, as far as possible, a certain quantitative assessment of the above
factors.
Of course, such assessment will only be approximate, and the problem of studying of risk dynamics
over time, during which events and processes occur in economic systems, as an urgent and indemand practice, arises.
This task is still relevant, because the demands of the modern economy bring forward the ability of
evaluation opportunities the persistence (stability) of the economic indicator, the dynamics of
variability of events, the ability to predict the nature of their development in the transition from one
economic state to another.
One of the possible ways to radically improve the management of the viability of the economic
system is the digital economy, which is based on three main components: models - the means of
their study - computational experiment tools (computer implementation of models and algorithms of
their qualitative and quantitative analysis).
The digital economy contributes to a systematic (deep and comprehensive) analysis of the economic
system as a nonlinear dynamic system, with deep direct and inverse hierarchical connections
between its components and the external environment, which are characterized by the global of
interaction, the coexistence of fleeting elements and elements of slow action.
It is known that rational decisions making under conditions of uncertainty, incomplete information,
conflict and the risk caused by them, the scheme of playing with the economic environment - the
market, which may be in one of n mutually exclusive states is used θј є Θ = (θ1, θ2,…,θn).
The game matrix is written in the form of the evaluation functional F+ = ||fkj
+
||,, the elements of
which fkj (k =1…, m; j = 1… n) are the value of the profit of marketing strategies sk є S =
(s1,s2,..,sm) provided that the economic environment is in one of the states θј.
The assessment of these possible states of the external economic environment is formed by
information flows in it, depends on the quality of the study: its analysis and conclusions. But often
the values of the estimation functional are considered without taking into account: changes in time
and the corresponding change in fkj values, that is, it is important to take into account the aging
factor of information, the presence and change over time of the entropy factor, as a degree of
disorder of an economic object that is an open system.
The study of the dynamics of entropy of economic systems, as open systems, is quite promising: a
change in entropy leads to a change in the choice of marketing strategy of companies, their budget,
ordering stocks, changes in a certain structure of networks and cash flows circulating in them, etc.
As a quantitative measure of risk assessment of the chosen strategy, you can choose the Hurst
exponent H, the value of which characterizes the presence or absence of persistence - the stability
of the values of the time series of a particular economic indicator.
Risk management involves, in addition to minimize the negative effects of threats and risks, the
creation of preconditions for balanced functioning, namely sustainable development, even under
conditions of risk, rather than avoiding the latter. In addition, the worsening of qualitative and
quantitative indicators of the enterprise and are the result of reduced risk resistance and
imbalance.
The risk is associated with overcoming uncertainty and randomness in a situation of inevitable
choice by the decision-maker engaged in business activities in the market, i.e in conditions of not
just existing conflict, but in conditions of fierce competition and antagonistic interests. Therefore,
taking into account the systemic nature of nonlinear interactions of economic system factors should
be based on the use of a dynamic model of antagonistic nature, the classical model of nonlinear
dynamics ("predator-prey" model) – Lotka-Volterra system of equation at any time for twodimensional (planar) dynamic models of economics.
The materials of the article will contribute to the preventive assessment of the nonlinear dynamics
of the numerical measure of economic risk.
Description
Keywords
цифрова економіка, нелінійна економіка, ентропія, модель «жертва-хижак», динаміка економічного ризику, кількісний аналіз ризику, digital economy, nonlinear economy, entropy, predator-prey model, economic risk dynamics, quantitative risk analysis
Citation
Коляда Ю. В. Система методів та моделей оцінювання нелінійної динаміки числової міри економічного ризику [Електронний ресурс] / Ю. В. Коляда, Т. Л. Кмитюк, І. Ф. Шатарська // Ефективна економіка : електр. наук. фах. вид. / Дніпропетр. держ. агр.-екон. ун-т. – Дніпропетровськ, 2020. – № 7. – Режим доступу: http://www.economy.nayka.com.ua/?op=1&z=8052. – Назва з титул. екрану.