Analysis of intensive and extensive financial market dynamics

Abstract

Purpose: the authors study the possibility of applying an adaptive approach to the formation and analysis of optimal securities portfolios. Discussion: the authors consider the representation of an adaptive regression model as a decomposition into two components. Based on these components, two pseudo-regression equations are constructed, one of which reproduces the extensive dynamics of profitability formation, and the second reproduces the intensive dynamics. Pseudo-regression equations are used to construct securities portfolios with extensive and intensive yield generation using the Sharpe model. Analysis of the simulation results showed that a portfolio with extensive yield formation is preferable in cases when the market shows a low level of average yield, and a portfolio with intensive yield formation is preferable when the market has a high level of profitability. Results: based on the application of an adaptive procedure for constructing regression equations, a method for identifying assets that concentrate the properties of intensive yield formation is proposed.