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
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spelling doaj-5a4b0baac75142c3a4ea85764353073d2021-08-26T13:39:01ZengMDPI AGComputation2079-31972021-08-019888810.3390/computation9080088Analyzing, Modeling, and Utilizing Observation Series Correlation in Capital MarketsAlexander Musaev0Dmitry Grigoriev1Laboratory of Information Technologies in the System Analysis and Modeling, St. Petersburg Institute for Informatics and Automation of the Russian Academy of Sciences, 199178 St. Petersburg, RussiaDepartment of Computer Science, Saint Petersburg State University, 199034 St. Petersburg, RussiaIn 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.https://www.mdpi.com/2079-3197/9/8/88stock marketcurrency marketforexchaotic processesmultivariate statistical analysiscorrelational analysis
collection DOAJ
language English
format Article
sources DOAJ
author Alexander Musaev
Dmitry Grigoriev
spellingShingle Alexander Musaev
Dmitry Grigoriev
Analyzing, Modeling, and Utilizing Observation Series Correlation in Capital Markets
Computation
stock market
currency market
forex
chaotic processes
multivariate statistical analysis
correlational analysis
author_facet Alexander Musaev
Dmitry Grigoriev
author_sort Alexander Musaev
title Analyzing, Modeling, and Utilizing Observation Series Correlation in Capital Markets
title_short Analyzing, Modeling, and Utilizing Observation Series Correlation in Capital Markets
title_full Analyzing, Modeling, and Utilizing Observation Series Correlation in Capital Markets
title_fullStr Analyzing, Modeling, and Utilizing Observation Series Correlation in Capital Markets
title_full_unstemmed Analyzing, Modeling, and Utilizing Observation Series Correlation in Capital Markets
title_sort analyzing, modeling, and utilizing observation series correlation in capital markets
publisher MDPI AG
series Computation
issn 2079-3197
publishDate 2021-08-01
description 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.
topic stock market
currency market
forex
chaotic processes
multivariate statistical analysis
correlational analysis
url https://www.mdpi.com/2079-3197/9/8/88
work_keys_str_mv AT alexandermusaev analyzingmodelingandutilizingobservationseriescorrelationincapitalmarkets
AT dmitrygrigoriev analyzingmodelingandutilizingobservationseriescorrelationincapitalmarkets
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