Система методів та моделей оцінювання нелінійної динаміки числової міри економічного ризику

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.

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.