Alexander Evgenevich Voytovich

Development of adaptive regulatory thresholds for volatility in the Russian stock market

The current mechanism for limiting volatility on the Russian stock market — a discrete auction triggered when the MOEX index falls by more than 15% within ten minutes under Bank of Russia Regulation No. 437-P — was calibrated to prevent catastrophic single-day crashes resembling the 1987 Black Monday and does not accou...