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SciNotesIBISciNotesIBIУченые записки Международного банковского институтаProceedings of the International Banking InstituteProceedings of the International Banking InstituteУченые записки Международного банковского институтаМеждународный банковский институтRUhttps://www.ibispb.ru/2413-3345399SFZUAHСтатьиБайесовская эконометрика в финансовых исследованиях: проблемы и перспективыBayesian econometrics in financial research: problems and prospectsКлючников И.К.КлючниковИгорь Константинович

Doctor of Economics, Professor

Autonomous nonprofit organization of higher education «International Banking Institute» (191023, Russian Federation, Saint Petersburg, Nevsky pr., 60)

д.э.н, профессор

Автономная некоммерческая организация высшего образования «Международный банковский институт» (191023, Российская Федерация, Санкт-Петербург, Невский пр., д. 60)

Кольцов А.Н.KoltsovArtem Nikolaevich

postgraduate

Autonomous nonprofit organization of higher education «International Banking Institute» (191023, Russian Federation, Saint Petersburg, Nevsky pr., 60)

аспирант

Кафедра экономики и финансов предприятий и отраслей, Автономная некоммерческая организация высшего образования  «Международный банковский институт» (191023, Российская Федерация, Санкт-Петербург, Невский пр., д. 60)

Автономная некоммерческая организация высшего образования «Международный банковский институт»Автономная некоммерческая организация высшего образования  «Международный банковский институт»2018261220184 (26)306085Received: 1342026Copyright (c) 2018 Scientific Notes of the International Banking Institute2018Scientific Notes of the International Banking Institute<a rel="license" href="https://creativecommons.org/licenses/by-nc/4.0/"><img alt="Лицензия Creative Commons" src="//i.creativecommons.org/l/by-nc/4.0/88x31.png" /></a><p>Это произведение доступно по <a rel="license" href="https://creativecommons.org/licenses/by-nc/4.0/">лицензии Creative Commons «Attribution-NonCommercial» («Атрибуция — Некоммерческое использование») 4.0 Всемирная</a>.</p>

В статье проводится структуризация направлений применения байесовской эконометрики в финансах и определяются перспективы развития байесовского метода в финансовом моделировании. Для этого анализируются основные особенности использования байесовского метода, рассматриваются вопросы соотношения объективного и субъективного, отличия частотно-статистических и байесовских приемов, а также воздействие новых алгоритмов и теорий на развитие байесовского метода в финансовых исследованиях. Прослежены особенности маршрутизации частотного и байесовского выводов в финансовых моделях. Описаны варианты применения байесовского метода в ряде финансовых моделей.

The article deals with the structuring of areas of application of Bayesian econometrics in finance and identifies prospects for the development of the Bayesian method in financial modeling. The authors analyze the main features of the use of the Bayesian method; consider questions of the relationship between the objective and the subjective, the differences in frequency-statistical and Bayesian techniques, as well as the impact of new algorithms and theories on the development of the Bayesian method in financial research. The features of routing frequency and Bayesian conclusions in financial models are traced. The options for applying the Bayesian method in a number of financial models are described.

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