No abstract

The article develops three indicators by which an investor trading on the Russian stock market can assess the level of such types of stock risks as liquidity risk, creditworthiness risk and the risk of force majeure. Based on the obtained indicators, a three-dimensional matrix of stock risks was constructed, with the help of which an investor who does not have high qualifications in finance can assess the degree of reliability of a particular security in order to make an informed decision on its inclusion in the investment portfolio.

Subject. This article deals with the issues of involvement and participation of private investors in stock market trading. Objectives. The article aims to systematize stock risks in terms of improving the quality of private investor risk management and develop a scientific and methodological approach to the construction of a private investor's portfolio on the stock market, which helps minimize risk in various stock trading strategies. Methods. For the study, we used the methods of logical and statistical analyses, correlation, and classification. Results. The article presents a classification of stock market risk, helping apply the criteria of quantitative assessment and source of risk. The developed methodology helps a private investor build a portfolio with minimal risk on the Russian stock market. Conclusions. The existing methods to identify a number of risks are incorrect and need to be refined. For the sustainable development of the country's stock market, it is necessary to develop new and disseminate the current methods to reduce stock risk for the private investor. Based on the presented classification of stock risk, it is possible to develop other new effective methods.

The aim of this work is to develop a model that allows setting a daily interval of the index. The introduction describes the main problems and difficulties associated with forecasting stock markets in General and Russia in particular. In the next part describes in detail the methodology of constructing the model, data preprocessing, parameter selection of autocorrelation. The paper uses such methods as ARIMA, the method of growth indices, the method of artificial neural networks, Fourier spectral analysis, generalization method, two-sample t-test for averages, etc. To assess the results of the study the author used methods of analysis of autocorrelation of the residuals normal distribution of the residuals, the maximum likelihood method, student's t-test, and comparison of forecast based on a row of known (source) data. The evaluation confirmed the hypothesis about the adequacy of the materiality and significance of the model. Based on the model stock strategy is built, designed to minimize investors’ risks. In the discussion so-called "negative results" are given obtained in the course of the study, inadequate models, inappropriate factors, parameters and methods, which had to be abandoned on the way to presented in the result.

The features of the Russian stock market that affect the process and the result of forecasting its main indicator — MICEX — are considered, the mechanism that makes it difficult to predict the index for each of the features is described. A comparative analysis of the Russian stock market with the stock markets of other countries in accordance with the above features. Using the mathematical and statistical methods the increased influence of these features and problems on the Russian stock market in comparison with the stock markets of other BRIC countries, developed countries, the Eurozone countries is proved. The paper uses such methods as: correlation analysis, graphical analysis, analysis of variance, comparison method, method of retrospection. Monthly and daily data for 2010–2017 are used in calculations and graphs.