Магистерская диссертация посвящена исследованию проблем внедрения цифровых технологий в налоговом администрировании России. Выпускная квалификационная работа состоит из введения, трех глав, заключения, списка использованных источников и приложений. В первой главе рассмотрены теоретические аспекты цифровизации процесса налогового контроля. Во второй главе проведен анализ эффективности внедрения цифровизации налогового контроля по налогу на добавленную стоимость в аспекте собираемости этого налога. Третья глава посвящена направлениям совершенствования процессов цифровизации налогового контроля в России. / The master's thesis is devoted to the study of the problems of introducing digital technologies in the tax administration of Russia. The final qualifying work consists of an introduction, three chapters, a conclusion, a list of sources and applications. The first chapter examines the theoretical aspects of digitalization of the tax control process. The second chapter analyzes the effectiveness of the implementation of digitalization of tax control on value added tax in terms of the collection of this tax. The third chapter is devoted to the directions of improving the processes of digitalization of tax control in Russia.

This thesis is among the first market microstructure studies of an index futures market with designated market makers in the academic literature. The purpose of this thesis is to investigate intraday patterns of key variables, the relative size of the components of the quoted bid-ask spread, and the order decisions of uninformed traders, in a continuous dealer market for index futures with market makers. Overall, our findings aim to contribute to a better understanding of the roles of market makers and public customers in price formation. Intraday patterns of financial market variables such as trade price, volume, trade size, quoted spreads, depth, and volatility separately for designated market makers and public customers are examined. The lack of relevant and appropriate data in futures markets, as evidenced by Hasbrouck (2003) and Kurov (2005), has inhibited the growth of market microstructure in futures markets. Individual orders, quotes, trader identification, and transactions from June 2003 to December 2004, for FTSEurofirst 80 and 100 index futures are used in the study. Inclusion of the parties to order execution distinguishes this data set from most other futures microstructure sources. As this thesis is the first known academic study of the extant market microstructure of the FTSEurofirst index futures, the institutional aspects of the trading process for the FTSEurofirst index futures are also explored. An alternative method for estimating three cost components as a proportion of the bid-ask spread is developed. A framework is developed for the order decision process of an uninformed trader for the first time in a futures market with market makers. The results of this thesis may have implications for other financial markets and the field of market microstructure.

Abstract In this paper, we examine the relation among different information asymmetry measures in Taiwan Stock Exchange and exploit the ability of the microstructure measures to measure asymmetric information. We also investigate the role of information asymmetry measures in affecting stock returns. With a random sample of 180 firms, we find that the market microstructure measure is significantly correlated with most of the corporate finance measures that should shed lights on the level of information asymmetry in advance. We also find that the analysts’ forecast measures have no relation with the microstructure measure. One main result is that the adverse selection risk does affect the stock returns. For the whole sample period, the adverse selection component has a significant impact on the stock returns and dominates all other variables except for the number of analysts following. Other significant measures include the volatility, firm size, leverage, and market to book ratio of equity. Although these information asymmetry measures act as competent determinants in the whole- period regression, they do not have consistent performance across quarters. The inconsistent result suggests that these measures may have diverse performance with regard to different periods.

中文摘要 對於資本市場來說是外國公司的買賣價差的三個成分：逆選擇成分、交易成本成分及存貨成本成分相對於本國公司的買賣價差三成分構成有可能不同。 此篇論文中比較相同股票在不同市場所發行股票，其買賣價差三成分。根據本篇實證結果，相同一支股票在美國NYSE或是NASDAQ的逆選擇成分顯著的高於在TSEC發行的逆選擇成分，這暗指著資本市場中有很多不一樣的地方值得探討，像是流通貨幣的不同、或是法規治令的不同以及取得非公開資訊的難易程度也不同。另外，根據之前的研究的顯示，買單接著買單、賣單接著賣單的機率趨勢也很強，我們也發現了這種現象在TSEC很明顯，根據此篇論文的結論，這大部分的原因很可能是因為TSEC有「限價」規定的緣故。 / Abstract The three components, adverse selection component, order processing component and inventory holding cost, of companies which regarded as foreign companies in terms of the capital market are different from those in domestic capital market. In this paper, the adverse selection components of the stocks we choose in NYSE or NASDAQ are significant higher than those in TSEC. It implies the differences of capital markets, such as currency ,regulation and easy or not obtaining the private information of the company. Furthermore, similar to previous studies, there are strong tendencies for buys follow buys and sells follow sells. We find that the most part of proportion of order persistence derives from price limit in TSEC.

This paper investigates the liquidity and the bid-ask spread components of the Taiwan Stock Exchange Capitalization Weighted Stock Index futures contracts, Taiwan Stock Exchange Electronic Sector Index futures contracts, and Taiwan Stock Exchange Banking and Insurance Sector Index futures contracts traded on the Taiwan Futures Exchange, which switched from an electronic periodic call auction market to an electronic continuous auction market on July 29th 2002. It is a rare opportunity to deeply examine the liquidity and transaction cost components of financial derivatives under different trading mechanisms. Using intraday transaction data of transaction and quotes covering from March 2002 to May 2002 for the old trading mechanism and from October 2002 to December 2002 for the new trading mechanism, liquidity measures and bid-ask spread components are examined before and after the enforcement of the electronic continuous auction mechanism. First, for each type of futures contracts, liquidity measures including bid-ask spread, trading volume, trade number, trade size, volatility, and liquidity ratio are explored to show the multifacet of liquidity. Next, the model of Lin, Sanger, and Booth (1995) is used to decompose the spreads of each product in the two periods. The empirical results show that quote spreads, effective spreads, percentage effective spreads, and dollar-weighted percentage effective spreads of the new system are all significantly lower than those measures in the old system for all of the three types of futures contracts. However, other liquidity measures do not show the same patterns. Overall, improvement of liquidity is found for futures contracts but not very consistent though. Multifacet of liquidity is showed by different measures, although two of these measures, including trade size and trade number, may not be suitable for this study. Moreover, the adverse selection is the most important component in the call auction market, which decreases in the continuous auction market. However, the change of other components, including order processing cost and order persistence, does not demonstrate the same pattern. The results indicate that the electronic continuous auction system protects uninformed traders from being hurt by informed traders. However, we also show that each type of futures contracts has its own specific component structure.

投資型商品連動於特定資產，保險人除了面臨原有的核保風險，更需承擔部分的財務風險。傳統保險商品的純保費價格等於其預期損失，而投資型商品的保險給付依據投資標的波動，保險人的預期損失不易估算，傳統精算的評價方法不完全適用於投資型商品。保證最低給付的給付結構使得投資型商品其有選擇權的特質，Brennan與Schwartz(1976)首先利用選擇權定價理論探討附有保證最低給付投資型商品之價值與避險策略，爾後亦有許多文獻以此方向加以著墨，但選擇權定價理論是基於市場為完全市場的假設，保險市場為不完全市場，以完全市場假設之理論評定保險商品之價值實不合理。本為假設保險人面臨的風險為核保風險及財務風險，財務市場為完全市場，保險人可以藉由市場上的各種金融商品建構避險組合規避財務風險；而預期死亡人數與實際死亡人數所產生的核保誤差，保險人無法利用避險組合完全地規避，因此保險市場為不完全市場。 在不完全市場中請求權的價值牽涉投資者主觀的風險偏好，不存在唯一的平賭測度，請求權的價格也不唯一，最適避險策略依請求權的價格調整，所以投資型保險商品的價格不再等於其公平價值，真正的成交價格應落於買賣價差之中。本文引用Mercurio(1996)的結果，利用二次效用函數，以極大化保險人期末財富之效用為目標，建構生存險的合理價格範圍。以二元樹模型描述股票的波動，分別模擬五年、十年及十五年投資型生存險之價差範圍，保險人的風險規避程度、保單期限以及保證金額的高低將影響商品價差範圍的大小。 關鍵字：不完全市場、效用函數，買賣價差、最適避險策略 / Investment-linked life (LIL) insurance policies integrate the attributes from the mutual fund by introducing the investment options to the policyholders and life insurance through the benefit payments shielding the unexpected events of the insured. Since the execution of the implied options depends on the policyholder's health status. Actuarial equivalent principal and non-arbitrage pricing theory are used in evaluating the prices for LIL insurance policies. Brennan and Schwartz (1976) initially employ the option pricing theory in examining the pricing and hedging strategy for LIL insurance policies with minimum guarantees. Most published literatures are focusing on this issue adopting the B-S methodology. Since the values of the LIL policies cannot be replicated uniquely through the self-financing strategies due to underwriting risks of the insurance market. Insurance market does not satisfy the completeness assumptions, Due to lack of a unique martingale measure under market incompleteness, the utility assumption of the policyholder is involved in the pricing issue. Insurance pricing must consider the risk attitude of the investors in the market. Hence the cost the LIL insurance policies are not necessarily equal to the fair market prices. The market value should fall within the range of the bid and ask prices. In this study, we follow the approach in Mercurio (1996) by adopting the quadratic utility function and compute the reasonable range of the prices based on maximizing the terminal health utility function. Binary tree method is used in modeling the asset dynamics. Then the numerical computations are performed using endowment LIL insurance policies with 5, 10 and 15 years of duration. Based on the results, we find that the risk attitude of the policyholder, the policy duration and minimum amounts of the guarantees significantly affect the bid-ask price spread of LIL insurance policies. Keywords: market incompleteness; utility function; bid-ask spread; optimal hedging strategy.

This thesis is devoted to the study of the applications of the error theory using Dirichlet forms. Our work is split into three parts. The first one deals with the models described by stochastic differential equations. After a short technical chapter, an innovative model for order books is proposed. We assume that the bid-ask spread is not an imperfection, but an intrinsic property of exchange markets instead. The uncertainty is carried by the Brownian motion guiding the asset. We find that spread evolutions can be evaluated using closed formulae and we estimate the impact of the underlying uncertainty on the related contingent claims. Afterwards, we deal with the PBS model, a new model to price European options. The seminal idea is to distinguish the market volatility with respect to the parameter used by traders for hedging. We assume the former constant, while the latter volatility being an erroneous subjective estimation of the former. We prove that this model anticipates a bid-ask spread and a smiled implied volatility curve. Major properties of this model are the existence of closed formulae for prices, the impact of the underlying drift and an efficient calibration strategy. The second part deals with the models described by partial differential equations. Linear and non-linear PDEs are examined separately. In the first case, we show some interesting relations between the error and wavelets theories. When non-linear PDEs are concerned, we study the sensitivity of the solution using error theory. Except when exact solution exists, two possible approaches are detailed: first, we analyze the sensitivity obtained by taking "derivatives" of the discrete governing equations. Then, we study the PDEs solved by the sensitivity of the theoretical solutions. In both cases, we show that sharp and bias solve linear PDE depending on the solution of the former PDE itself and we suggest algorithms to evaluate numerically the sensitivities. Finally, the third part is devoted to stochastic partial differential equations. Our analysis is split into two chapters. First, we study the transmission of an uncertainty, present on starting conditions, on the solution of SPDE. Then, we analyze the impact of a perturbation of the functional terms of SPDE and the coefficient of the related Green function. In both cases, we show that the sharp and bias verify linear SPDE depending on the solution of the former SPDE itself

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När en företagsobligation och en statsobligation har samma löptid och har en skillnad i avkastning, så kallas denna skillnad för kreditspread. Ett känt koncept inom finansvärlden är att risk har en stark koppling till avkastning. När emittenten av obligationen inte kan återbetala överenskommen utdelning eller principiellt lånebelopp så klassas detta som en betalningsinställelse. Eftersom det generellt sett är större risk för en betalningsinställelse för ett företag än för en stat, så vill investerare bli kompenserade för den extra risken de tar sig an. Den totala risken som utgör skillnaden i avkastning kan i sin tur delas upp i flera olika riskkomponenter. Syftet med vår uppsats är att undersöka ifall likviditetsrisk, ränterisk och kreditrisk har en effekt på kreditspread för företagsobligationer på den svenska marknaden. Med detta som bakgrund så har vi samlat in historiska data på förfallna obligationer under de senaste 10 åren via databaserna Thomson Reuter Datastream och Eikon. Vi har sedan laddat ned obligationsspecifika egenskaper i form av finansiella nyckeltal för samtliga obligationer. Dessa nyckeltal har valts för att till bästa förmåga representera och mäta respektive risk. Exempelvis så har vi använt oss av nyckeltalet “bid-ask-spread” för att mäta likviditetsrisk hos en obligation. För att undersöka sambandet mellan våra valda risker och kreditspread så genomförde vi ett hypotestest. Vi skapade en nollhypotes och en alternativhypotes som vi sedan testade med hjälp av en multipel regression. Nollhypotes (H0): Studiens utvalda variabler har inte en effekt på den kreditspread hos svenska företagsobligationer Alternativhypotes (Ha): Studiens utvalda variabler har en effekt på den kreditspread hos svenska företagsobligationer Slutsatsen var att vi kunde statistiskt påvisa ett positivt samband mellan riskernas storlek och storleken på obligationens kreditspread. Detta gjordes både för riskerna var för sig och för modellen när den blev testad i sin helhet. Den bakomliggande teorin bakom variablerna kunde därför antas vara korrekt även vid applicering på svenska marknaden för det senaste decenniet. Vi har som ambition att denna studie skall kunna agera som ett verktyg för fundamental analys för framtida investerare samt vidare studier inom området obligationer på svenska marknaden

In dieser Dissertation befassen wir uns mit ökonometrischen Modellen und empirischen Eigenschaften von Intra-Tages (Hochfrequenz-) Aktienmarktdaten. Der Fokus liegt hierbei auf der Analyse des Einflusses, den die Veröffentlichung von Wirtschaftsnachrichten auf die Aktienmarktaktivität hat, der Vorhersage der Geld-Brief-Spanne sowie der Modellierung von Volatilitätsmaßen auf Intra-Tages-Zeitintervallen. Zunächst quantifizieren wir die Marktreaktionen auf Marktneuigkeiten innerhalb eines Handelstages. Zu diesem Zweck benutzen wir linguistisch vorab bearbeitete Unternehmensnachrichtendaten mit Indikatoren über die Relevanz, Neuheit und Richtung dieser Nachrichten. Mit einem VAR Modell für 20-Sekunden Marktdaten der London Stock Exchange weisen wir durch Nachrichten hervorgerufene Marktreaktionen in Aktienkursrenditen, Volatilität, Handelsvolumina und Geld-Brief-Spannen nach. In einer zweiten Analyse führen wir ein long memory autoregressive conditional Poisson (LMACP)-Modell zur Modellierung hoch-persistenter diskreter positivwertiger Zeitreihen ein. Das Modell verwenden wir zur Prognose von Geld-Brief-Spannen, einem zentralen Parameter im Aktienhandel. Wir diskutieren theoretische Eigenschaften des LMACP-Modells und evaluieren rollierende Prognosen von Geld-Brief-Spannen an den NYSE und NASDAQ Börsenplätzen. Wir zeigen, dass Poisson-Zeitreihenmodelle in diesem Kontext signifikant bessere Vorhersagen liefern als ARMA-, ARFIMA-, ACD- und FIACD-Modelle. Zuletzt widmen wir uns der optimalen Messung von Volatilität auf kleinen 20 Sekunden bis 5 Minuten Zeitintervallen. Neben der Verwendung von realized volatility-Ansätzen konstruieren wir Volatilitätsmaße durch Integration von spot volatility-Schätzern, sodass auch Beobachtungen außerhalb der kleinen Zeitintervalle in die Volatilitätsschätzungen eingehen. Ein Vergleich der Ansätze in einer Simulationsstudie zeigt, dass Volatilitätsmaße basierend auf spot volatility-Schätzern den RMSE minimieren. / In this thesis we present econometric models and empirical features of intra-daily (high frequency) stock market data. We focus on the measurement of news impacts on stock market activity, forecasts of bid-ask spreads and the modeling of volatility measures on intraday intervals. First, we quantify market reactions to an intraday stock-specific news flow. Using pre-processed data from an automated news analytics tool we analyze relevance, novelty and direction signals and indicators for company-specific news. Employing a high-frequency VAR model based on 20 second data of a cross-section of stocks traded at the London Stock Exchange we find distinct responses in returns, volatility, trading volumes and bid-ask spreads due to news arrivals. In a second analysis we introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. We discuss theoretical properties of LMACP models and evaluate rolling window forecasts of quoted bid-ask spreads for stocks traded at NYSE and NASDAQ. We show that Poisson time series models significantly outperform forecasts from ARMA, ARFIMA, ACD and FIACD models in this context. Finally, we address the problem of measuring volatility on small 20 second to 5 minute intra-daily intervals in an optimal way. In addition to the standard realized volatility approaches we construct volatility measures by integrating spot volatility estimates that include information on observations outside of the intra-daily intervals of interest. Comparing the alternative volatility measures in a simulation study we find that spot volatility-based measures minimize the RMSE in the case of small intervals.