Publications

This paper is an empirical study of the changing nature of the dependence of fundamental factors on the stock market index, which is the trend identified earlier in the Russian stock market. We empirically test the impact of daily values of fundamental factors on the MOEX Russia Index from 2003 to 2018. The analysis of the ARIMA-GARCH (1,1) model with a rolling window reveals that the change in the power and direction of the influence of the fundamental factors on the Russian stock market persists. The Quandt-Andrews breakpoint test and Bai-Perron test identify the number and likely location of structural breaks. We find multiple breaks probably associated with the dramatic falls of the stock market index. The results of the regression models over the different regimes, defined by the structural breaks, can vary markedly over time. This research is of value in macroeconomic forecasting and in the investment strategy development

This paper studies how the influence of the fundamental factors on the Russian stock market changes retrospectively. We empirically test the impact of daily values of fundamental factors (indexes of foreign stock markets, oil price, exchange rate and interest rates in Russia and the USA) on the MOEX Russia Index over long time interval from 2003 to 2018. The analysis of the ARIMA-GARCH (1,1) model with a rolling window reveals the changes in the power and direction of the influence of the fundamental factors which are probably caused by the structural instability revealed earlier in Russia and other stock markets. The Quandt-Andrews breakpoint test and Bai-Perron test identify the number and likely location of the structural breaks. We find multiple breaks probably associated with dramatic falls in the stock market index, for example with the significant falls of the then MICEX index in the spring of 2006 and the global financial crisis of 2008-2009. The results of the regression models over the different regimes, defined by the structural breaks, can vary markedly over time.

This paper describes the results of research project on optimal pricing for LLC "Perm Local Rail Company". In this study we propose a regression tree based approach for estimation of demand function for local rail tickets considering high degree of demand heterogeneity by various trip directions and the goals of travel. Employing detailed data on ticket sales for 5 years we estimate the parameters of demand function and reveal the significant variation in price elasticity of demand. While in average the demand is elastic by price, near a quarter of trips is characterized by weakly elastic demand. Lower elasticity of demand is correlated with lower degree of competition with other transport and inflexible frequency of travel.

  In many practical tasks it is needed to estimates effect of a treatemnt on individual level. For example in medicine it is essential to determine the patients that would benifit from a certain medicament. In marketing knowning the persons that are likely to buy a new product would reduce the amount of spam. In this chapter we review the methods to estimate individulize treatment effect from a randomized trial, i.e., an experiment when a part of individuals recieves a new treatment, while the others does not. Finally, it is shown that new efficient methods are needed in this domain.

In this paper, we analyze a new approach for demand prediction in retail. One of the signicant gaps in demand prediction by machine learning methods is the unaccounted sales data censorship. Econometric approaches to modeling censored demand are used to obtain consistent and unbiased estimates of parameters. These approaches can also be transferred to different classes of machine learning models to reduce the prediction error of sales volume. In this study we build two ensemble models to predict demand with and without demand censorship, aggregating predictions for machine learning methods such as Linear regression, Ridge regression, LASSO and Random forest. Having estimated the predictive properties of both models, we test the best predictive power of the models with accounting for the censored nature of demand.

Proceedings of the Fifth Workshop on Experimental Economics and Machine Learning at the National Research Univeristy Higher School of Economics co-located with the Seventh International Conference on Applied Research in Economics (iCare7)

Schizophrenia is a chronic debilitating disease. Sleep disturbances associated with a reduction in spindles are observed as warning signs prior to the first psychotic episode. Every spindle is a short-lasting (~0.5 s) set of bioelectric sinusoidal waves at the frequency of 10-16 Hz generated within the thalamus. Sleep spindles, easily identifiable in a scalp electroencephalogram, occur hundreds of times during sleep and are implicated in cognition like memory processes. For this reason, spindles are seen as an electrobiomarker of the quality of sleep and cognitive performance. In patients at high risk of psychotic transition, the density (number/time unit) of spindles is reduced. The underlying mechanisms of this change are unknown. Glutamate-mediated neurotransmission in the thalamus plays a key role in the generation of spindles and the etiology of schizophrenia. Therefore, we tested the hypothesis that a reduced function of glutamate receptors at the thalamic level is involved in the psychosis-related reduction in spindles. Using cell-to-network neurophysiological methods in sleeping rats, we demonstrate that systemic administration of the NMDA glutamate receptor antagonist, ketamine, significantly decreases spindle density. This effect is consistently prevented by the widely used antipsychotic drug, clozapine. These original findings support the hypothesis of the involvement of a reduced function of NMDA glutamate receptors in the sleep spindle deficit observed in psychosis-related disorders. The present findings lay the foundation for the development of innovative therapies aimed at preventing psychotic, bipolar, and depressive disorders.

Today, treatment effect estimation at the individual level is a vital problem in many areas of science and business. For example, in marketing, estimates of the treatment effect are used to select the most efficient promo-mechanics; in medicine, individual treatment effects are used to determine the optimal dose of medication for each patient and so on. At the same time, the question on choosing the best method, i.e., the method that ensures the smallest predictive error (for instance, RMSE) or the highest total (average) value of the effect, remains open. Accordingly, in this paper we compare the effectiveness of machine learning methods for estimation of individual treatment effects. The comparison is performed on the Criteo Uplift Modeling Dataset. In this paper we show that the combination of the Logistic Regression method and the Difference Score method as well as Uplift Random Forest method provide the best correctness of Individual Treatment Effect prediction on the top 30% observations of the test dataset.

Trial-to-trial variability of the motor evoked potentials (MEP) to transcranial magnetic stimulation (TMS) is a well-known phenomenon. However, the relationship between the fluctuations of the different types of the motor output and other motor system parameters such as corticospinal excitability, interhemispheric inhibition (IHI) and their interhemispheric asymmetry have not yet been fully investigated. We studied 20 young healthy right-handed volunteers. Four TMS sessions were performed (two single-pulse TMS and two paired-coil TMS with IHI paradigm sessions for each hemisphere), 70 stimuli were delivered during every session. Coefficient of quartile variation (CQV) was used to quantify trail-to-trail variability of MEPs amplitude. Resting motor threshold values were correlated between hemispheres (r = .842, p < .001). IHI phenomenon from the left hemisphere was obtained in 18 out of 20 volunteers, while IHI phenomena from the right hemisphere was shown in 16 out of 20. A strong correlation between the variability of MEP‘s amplitudes during IHI paradigm and the degree of IHI was found for the left hand (r = −.718, p < .001). We also observed a strong correlation between CQV of MEPs from both hands to single-pulse TMS (r = .632, p = .004). A side-specific correlation between the variability of the responses to single-pulse and paired-coil TMS was found for the dominant hemisphere (r = .524, p = .021). Our preliminary results demonstrate the importance of the trial-to-trial variability of the MEPs and its interhemispheric specificity as a defining characteristics of the motor system. This study was partially supported by ofi-m RFBR grant 17-29-02518, by HSE Basic Research Program and Russian Academic Excellence Project ‘5-100’.

Russian energy system is one of the largest among centralized ones in the world. For electricity consumption planning it is essential to consider heterogeneity of energy system areas in terms of both consumption structure and climate conditions. In this paper, the relationship of electricity consumption and air temperature is investigated on the data for 64 Russian regions. Hierarchical and non-hierarchical cluster analysis is employed to form homogeneous groups of regions: three temperature clusters are retrieved. Bearing in mind different electricity needs in regions, piecewise regression with endogenous reference temperature is estimated for each temperature cluster. In all clusters both cooling and heating effects are clearly observable but reference temperature differs. For the clusters of hot and middle climate regions cooling effect prevails, while heating effect dominates in the cold regions cluster. These effects consideration in energy consumption planning may result in a higher quality of forecasting. This is of a great importance for wholesale electricity market agents and functioning of Russian energy system as a whole.

Fractional anisotropy (FA) estimated using diffusion tensor magnetic resonance imaging (dMRI) is considered as a promising biomarker in ischemic stroke (IS). The basis of this study is the assumption that the assessment of FA indices for different white matter tracts will be able to predict the main aspects of the rehabilitation potential even without determining the structural and functional bases of these influences.

Objective: to study the diagnostic significance of changes in FA indices to assess various aspects of the rehabilitation potential in acute IS.

Patients and methods. Examinations were made in 100 patients with IS and in 10 individuals without stroke and cognitive impairment. All the patients underwent dMRI and assessments of rehabilitation potential indicators on days 3 and 10 of the disease and at discharge.

Results and discussion. The indices of FA of the ipsilateral upper longitudinal and cingulum bundles, FA and the size of an infarct focus, asymmetry of FA of the cingulum bundle (rFA), corticospinal tract (at the level of the knee of the internal capsule and bridge) and the anterior limb of the internal capsule, as well as the FA of the splenium and knee of the internal capsule of the intact hemisphere are of the most value for the functional outcome of acute IS. The microstructure of these zones determines the state of most rehabilitation domains. With respect to global outcome, the integrity of the associative tracts of the affected hemisphere is more valuable than the microstructure of the intact hemisphere and rFA. The tracts of the intact hemisphere are of particular importance for the restoration of complex rehabilitation spheres, such as cognitive status and daily living and social skills, which is necessary to ensure patient independence.

Conclusion. The FA indices of the tracts under study seem to be a clinically acceptable biomarker of various aspects of the rehabilitation potential in acute IS.

In this research we analyze the demand for performing arts. Since the observed demand is limited by the capacity of house, one needs to account for demand censorship. The presence of consumer segments with different purposes of going to the theatre and willingness-to-pay for performance and ticket characteristics compels to account for heterogeneity in theatre demand. In this paper we propose an estimator for prediction of demand that accounts for both demand censorship and preferences heterogeneity. The estimator is based on the idea of classification and regression trees and bagging prediction aggregation. We extend the algorithm for censored data prediction problem. Our algorithm predicts and combines predictions from both discrete and continuous parts of censored data. We show that the estimator is better in prediction accuracy compared with estimators which account for censorship or heterogeneity of preferences only.

Many economic applications including optimal pricing and inventory management requires prediction of demand based on sales data and estimation of sales reaction to a price change. There is a wide range of econometric approaches which are used to correct a bias in estimates of demand parameters on censored sales data. These approaches can also be applied to various classes of machine learning models to reduce the prediction error of sales volume. In this study we construct two ensemble models for demand prediction with and without accounting for demand censorship. Accounting for sales censorship is based on the idea of censored quantile regression method where the model estimation is splitted on two separate parts: a) prediction of zero sales by classification model; and b) prediction of non-zero sales by regression model. Models with and without accounting for censorship are based on the predictions aggregations of Least squares, Ridge and Lasso regressions and Random Forest model. Having estimated the predictive properties of both models, we empirically test the best predictive power of the model that takes into account the censored nature of demand. We also show that machine learning method with censorship accounting provide bias corrected estimates of demand sensitivity for price change similar to econometric models.

With an increased interest in machine processable data and with the progress of semantic technologies, many datasets are now published in the form of RDF triples for constituting the so-called Web of Data. Data can be queried using SPARQL but there are still needs for integrating, classifying and exploring the data for data analysis and knowledge discovery purposes. This research work proposes a new approach based on Formal Concept Analysis and Pattern Structures for building a pattern concept lattice from a set of RDF triples. This lattice can be used for data exploration and in particular visualized thanks to an adapted tool. The specific pattern structure introduced for RDF data allows to make a bridge with other studies on the use of structured attribute sets when building concept lattices. Our approach is experimentally validated on the classification of RDF data showing the efficiency of the underlying algorithms.

Studying the heterogeneity of consumers allows to price the product differently for consumer segments or groups of a product. In this paper we estimate a model of aggregate demand for Perm Opera and Ballet Theatre focusing on the heterogeneity in price effect on demand for tickets on different performances and seats. We estimate parameters of demand function using censored quantile regression that accounts for the limited capacity of the theatre house. We reveal the price effect variation across different types of theatrical productions and seats with lower elastic demand on ballets and for seats of higher quality.

Following publication is a conceptual article solving the problem of responses to challenges of contemporary education. Contemporary students are often characterized as incapable of holding their attention on the same object for long. Requirements of the labor market are constantly changing, requiring new competencies, skills, work styles from university alumni. Universities have to adopt to these societal changes to remain in demand. The study is aimed at review and analysis of educational approaches created to solve this problem. The approaches reviewed here have a common practice: use of agile methods of project management. Agile is a methodology of flexible project management. Its main specific features are the raise of business’s sensitivity to changes of preferences of consumers and project owners and management of communications with them, ending with perpetual improvement of the end product. Starting in computer software development, agile was quickly adopted by project management and general management on different markets. Yet there has been no such success in transition of agile to education so far. To achieve the stated aim, following methods were used: collection and analysis of scientific publications on agile in education. A part of this analysis was the comparison of conceptually important elements of these approaches to each other and the main ideas expressed in Agile Manifesto. Special attention was given to two of the most discussed approaches: agile teaching-learning methodology (ATLM) and eXtreme Pedagogy (XP). The analysis allowed for characterising the agile approaches as generally uniform and universal, i. e. they can be applied to different disciplines, despite of disciplines being aimed at theoretical or practical preparation of the students. Analysis of the values of different agile educational programs allowed for concluding that methodology can be easily adopted to solving specific educational problems in the universities practically without changing the central ideas expressed in Agile Manifesto. The originality of the data produced in the survey is based on the following characteristics: 1) the comparison of the main agile principles used in the education; 2) conceptual argumentation of possibility of using agile in university environment; 3) preparation of recommendations for the use of the agile at universities. The analysis of educational practices and approaches allowed authors to formulate following practical recommendations for creating new educational programs. First, applied educational practices should correspond to the values of adopted agile methodology. Second, the iterative interaction between the teacher and the student should become a basis of the educational practices. The result of interaction can be in the form of both student knowledge and changes in educational program.