Поздравляем Дмитрия Григорьева и соавторов с публикацией статьи!
2022-02-15 18:00
Статья "Statistical Analysis of Current Financial Instrument Quotes in the Conditions of Market Chaos" опубликована в журнале Mathematics. Поздравляем соавторов Alexander Musaev, Andrey Makshanov и Dmitry Grigoriev!
Abstract: 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.