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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-08-01
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| Series: | Computation |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2079-3197/9/8/88 |
| _version_ | 1797524234284564480 |
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| author | Alexander Musaev Dmitry Grigoriev |
| author_facet | Alexander Musaev Dmitry Grigoriev |
| author_sort | Alexander Musaev |
| collection | DOAJ |
| 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. |
| first_indexed | 2024-03-10T08:54:31Z |
| format | Article |
| id | doaj.art-5a4b0baac75142c3a4ea85764353073d |
| institution | Directory Open Access Journal |
| issn | 2079-3197 |
| language | English |
| last_indexed | 2024-03-10T08:54:31Z |
| publishDate | 2021-08-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Computation |
| spelling | doaj.art-5a4b0baac75142c3a4ea85764353073d2023-11-22T07:15:26ZengMDPI AGComputation2079-31972021-08-01988810.3390/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 |
| 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 |
| title | 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_short | Analyzing, Modeling, and Utilizing Observation Series Correlation in Capital Markets |
| title_sort | analyzing modeling and utilizing observation series correlation in capital markets |
| 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 |