Synchronous components of financial time series
The article proposes a method of joint analysis of multidimensional financial time series based on the evaluation of the set of properties of stock quotes in a sliding time window and the subsequent averaging of property values for all analyzed companies. The main purpose of the analysis is to const...
| Main Authors: | , |
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| Format: | Article |
| Language: | Russian |
| Published: |
Institute of Computer Science
2017-08-01
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| Series: | Компьютерные исследования и моделирование |
| Subjects: | |
| Online Access: | http://crm.ics.org.ru/uploads/crmissues/crm_2017_4/2017_04_08.pdf |