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Analyzing, modeling, and utilizing observation series correlation in capital markets. / Musaev, Alexander; Grigoriev, Dmitry.

в: Computation, Том 9, № 8, 88, 02.08.2021.

Результаты исследований: Научные публикации в периодических изданиях › статья › Рецензирование

Harvard

Musaev, A & Grigoriev, D 2021, 'Analyzing, modeling, and utilizing observation series correlation in capital markets', Computation, Том. 9, № 8, 88. https://doi.org/10.3390/computation9080088

APA

Musaev, A., & Grigoriev, D. (2021). Analyzing, modeling, and utilizing observation series correlation in capital markets. Computation, 9(8), [88]. https://doi.org/10.3390/computation9080088

Vancouver

Musaev A, Grigoriev D. Analyzing, modeling, and utilizing observation series correlation in capital markets. Computation. 2021 Авг. 2;9(8). 88. https://doi.org/10.3390/computation9080088

Author

Musaev, Alexander ; Grigoriev, Dmitry. / Analyzing, modeling, and utilizing observation series correlation in capital markets. в: Computation. 2021 ; Том 9, № 8.

BibTeX

@article{aac815676c86479dbb93d01b52d1c30e,
title = "Analyzing, modeling, and utilizing observation series correlation in capital markets",
abstract = "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{\textquoteright}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.",
keywords = "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",
author = "Alexander Musaev and Dmitry Grigoriev",
note = "Publisher Copyright: {\textcopyright} 2021 by the authors. Licensee MDPI, Basel, Switzerland.",
year = "2021",
month = aug,
day = "2",
doi = "10.3390/computation9080088",
language = "English",
volume = "9",
journal = "Computation",
issn = "2079-3197",
publisher = "MDPI AG",
number = "8",

}

RIS

TY - JOUR

T1 - Analyzing, modeling, and utilizing observation series correlation in capital markets

AU - Musaev, Alexander

AU - Grigoriev, Dmitry

N1 - Publisher Copyright: © 2021 by the authors. Licensee MDPI, Basel, Switzerland.

PY - 2021/8/2

Y1 - 2021/8/2

N2 - 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.

AB - 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.

KW - Chaotic processes

KW - Correlational analysis

KW - Currency market

KW - Evolutionary adaptation

KW - Evolutionary modeling

KW - Forex

KW - Multiregressional analysis

KW - Multivariate statistical analysis

KW - Stock market

KW - evolutionary adaptation

KW - chaotic processes

KW - currency market

KW - stock market

KW - forex

KW - correlational analysis

KW - evolutionary modeling

KW - STOCK MARKETS

KW - multiregressional analysis

KW - multivariate statistical analysis

UR - http://www.scopus.com/inward/record.url?scp=85112268024&partnerID=8YFLogxK

UR - https://www.mendeley.com/catalogue/ec846889-3e4d-3b67-84f4-722cfdcc6459/

U2 - 10.3390/computation9080088

DO - 10.3390/computation9080088

M3 - Article

AN - SCOPUS:85112268024

VL - 9

JO - Computation

JF - Computation

SN - 2079-3197

IS - 8

M1 - 88

ER -

ID: 84892086