Analyzing, Modeling, and Utilizing Observation Series Correlation in Capital Markets

Analyzing, Modeling, and Utilizing Observation Series Correlation in Capital Markets

In this paper, we consider the task of the analysis, modeling, and application of dependencies between asset quotes at various capital markets. As an example, we study the dependency between financial instrument observation series in the currency and stock markets. Our work intends to give a theoret...

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Bibliographic Details
Main Authors: Alexander Musaev, Dmitry Grigoriev
Format: Article
Language:English
Published: MDPI AG 2021-08-01
Series:Computation
Subjects:
stock market
currency market
forex
chaotic processes
multivariate statistical analysis
correlational analysis
Online Access:https://www.mdpi.com/2079-3197/9/8/88
Description
Summary:In this paper, we consider the task of the analysis, modeling, and application of dependencies between asset quotes at various capital markets. As an example, we study the dependency between financial instrument observation series in the currency and stock markets. Our work intends to give a theoretical basis to asset management strategies that estimate an asset’s price via regression, taking into account its correlated assets in various markets. Furthermore, we provide a way to increase the estimate quality using an evolutionary algorithm.
ISSN:2079-3197

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