Publications

Analyzing, Modeling, and Utilizing Observation Series Correlation in Capital Markets Computation

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 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.

Link to work
Grant 20 - 78 -10113 2021 articles