Statistical Analysis of Current Financial Instrument Quotes in the Conditions of Market Chaos
In this paper, the problem of estimating the current value of financial instruments using multidimensional statistical analysis is considered. The research considers various approaches to constructing regression computational schemes using quotes of financial instruments correlated to the data as re...
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-02-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/10/4/587 |
| _version_ | 1797478338014478336 |
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| author | Alexander Musaev Andrey Makshanov Dmitry Grigoriev |
| author_facet | Alexander Musaev Andrey Makshanov Dmitry Grigoriev |
| author_sort | Alexander Musaev |
| collection | DOAJ |
| description | In this paper, the problem of estimating the current value of financial instruments using multidimensional statistical analysis is considered. The research considers various approaches to constructing regression computational schemes using quotes of financial instruments correlated to the data as regressors. An essential feature of the problem is the chaotic nature of its observation series, which is due to the instability of the probabilistic structure of the initial data. These conditions invalidate the constraints under which traditional statistical estimates remain non-biased and effective. Violation of experiment repeatability requirements obstructs the use of the conventional data averaging approach. In this case, numeric experiments become the main method for investigating the efficiency of forecasting and analysis algorithms of observation series. The empirical approach does not provide guaranteed results. However, it can be used to build sufficiently effective rational strategies for managing trading operations. |
| first_indexed | 2024-03-09T21:30:30Z |
| format | Article |
| id | doaj.art-6dd886386bf545edbcc6eb3706b88cfc |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-09T21:30:30Z |
| publishDate | 2022-02-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-6dd886386bf545edbcc6eb3706b88cfc2023-11-23T20:57:03ZengMDPI AGMathematics2227-73902022-02-0110458710.3390/math10040587Statistical Analysis of Current Financial Instrument Quotes in the Conditions of Market ChaosAlexander Musaev0Andrey Makshanov1Dmitry Grigoriev2Saint-Petersburg State Institute of Technology, Technical University, St. Petersburg Institute for Informatics and Automation of the Russian Academy of Sciences, 190013 St. Petersburg, RussiaDepartment of Computing Systems and Computer Science, Admiral Makarov State University of Maritime and Inland Shipping, 198035 St. Petersburg, RussiaCenter of Econometrics and Business Analytics (CEBA), St. Petersburg State University, 199034 St. Petersburg, RussiaIn this paper, the problem of estimating the current value of financial instruments using multidimensional statistical analysis is considered. The research considers various approaches to constructing regression computational schemes using quotes of financial instruments correlated to the data as regressors. An essential feature of the problem is the chaotic nature of its observation series, which is due to the instability of the probabilistic structure of the initial data. These conditions invalidate the constraints under which traditional statistical estimates remain non-biased and effective. Violation of experiment repeatability requirements obstructs the use of the conventional data averaging approach. In this case, numeric experiments become the main method for investigating the efficiency of forecasting and analysis algorithms of observation series. The empirical approach does not provide guaranteed results. However, it can be used to build sufficiently effective rational strategies for managing trading operations.https://www.mdpi.com/2227-7390/10/4/587stochastic chaosmultidimensional statistical analysismulti-regression estimationsliding observation windowasset management |
| spellingShingle | Alexander Musaev Andrey Makshanov Dmitry Grigoriev Statistical Analysis of Current Financial Instrument Quotes in the Conditions of Market Chaos Mathematics stochastic chaos multidimensional statistical analysis multi-regression estimation sliding observation window asset management |
| title | Statistical Analysis of Current Financial Instrument Quotes in the Conditions of Market Chaos |
| title_full | Statistical Analysis of Current Financial Instrument Quotes in the Conditions of Market Chaos |
| title_fullStr | Statistical Analysis of Current Financial Instrument Quotes in the Conditions of Market Chaos |
| title_full_unstemmed | Statistical Analysis of Current Financial Instrument Quotes in the Conditions of Market Chaos |
| title_short | Statistical Analysis of Current Financial Instrument Quotes in the Conditions of Market Chaos |
| title_sort | statistical analysis of current financial instrument quotes in the conditions of market chaos |
| topic | stochastic chaos multidimensional statistical analysis multi-regression estimation sliding observation window asset management |
| url | https://www.mdpi.com/2227-7390/10/4/587 |
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