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 in-tends 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.

Original languageEnglish
Article number88
Number of pages12
JournalComputation
Volume9
Issue number8
DOIs
StatePublished - 2 Aug 2021

    Research areas

  • Chaotic processes, Correlational analysis, Currency market, Evolutionary adaptation, Evolutionary modeling, Forex, Multiregressional analysis, Multivariate statistical analysis, Stock market, evolutionary adaptation, chaotic processes, currency market, stock market, forex, correlational analysis, evolutionary modeling, STOCK MARKETS, multiregressional analysis, multivariate statistical analysis

    Scopus subject areas

  • Theoretical Computer Science
  • Applied Mathematics
  • Computer Science(all)
  • Modelling and Simulation

ID: 84892086