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Medientyp:
E-Artikel
Titel:
Analyzing, Modeling, and Utilizing Observation Series Correlation in Capital Markets
Beteiligte:
Musaev, Alexander;
Grigoriev, Dmitry
Erschienen:
MDPI AG, 2021
Erschienen in:
Computation, 9 (2021) 8, Seite 88
Sprache:
Englisch
DOI:
10.3390/computation9080088
ISSN:
2079-3197
Entstehung:
Anmerkungen:
Beschreibung:
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.