DOI

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.

Язык оригиналаанглийский
Номер статьи88
Число страниц12
ЖурналComputation
Том9
Номер выпуска8
DOI
СостояниеОпубликовано - 2 авг 2021

    Предметные области Scopus

  • Теоретические компьютерные науки
  • Прикладная математика
  • Компьютерные науки (все)
  • Моделирование и симуляция

ID: 84892086