Rimantas Rudzkis

Econometric models of the impact of macroeconomic processes on the stock market in the Baltic countries

AbstractThe article examines the dependencies of individual sectoral stock price indices of OMX Baltic security market on macroeconomic indicators, using econometric methods. Regression models are constructed using quarterly time series of 2000–2011 years while the methodology is backed with the findings of Lithuanian and foreign scientists from an extensive overview of specific literature. Regression equations, obtained in the paper, allows us to identify the key macroeconomic and global indicators that statistically significantly affect the Baltic securities market and to quantify their impact on the stock price indices of individual sectors in the Baltic countries. Econometric analysis of OMX Baltic security market proves the hypothesis that the set of macroeconomic regressors may vary considerably depending on the individual sectors price indices, especially in the case of small open economy with immature stock markets. The paper provides investors who are shaping their portfolios taking into account...

Stochastic modelling of scientific terms distribution in publications

In this paper, we address the problem of automatic keywords assignment to scientific publications. The idea to use textual traces learned from training data in a supervised manner to identify appropriate keywords is considered. We introduce the transparent concept of identification cloud as a means to represent the semantics of scientific terms. This concept is mathematically defined by models of scientific terms stochastic distributions over publication texts. Characteristics of models as well as procedures for both non-parametric and parametric estimation of probability distributions are presented.