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Trudy SPIIRAN, 2011, Issue 18, Pages 5–18 (Mi trspy432)  

This article is cited in 2 scientific papers (total in 2 papers)

The correlation analysis of processes of share and the currency markets states evolution

A. A. Musaev

St. Petersburg Institute for Informatics and Automation of RAS
Abstract: The problem of a linkage of interrelation between changes currency and stock market is considered. The purpose of researches is to establish basic possibility of restoration and forecasting of one market state evolution on quotations trajectories of another market. Features of correlation characteristics changes depending on the size of a observations window used for their estimation are established.
Keywords: correlation analysis, indexes of stock markets, the currency market.
Received: 18.04.2011
Accepted: 29.09.2011
Document Type: Article
UDC: 62-501.12
Language: Russian
Citation: A. A. Musaev, “The correlation analysis of processes of share and the currency markets states evolution”, Tr. SPIIRAN, 18 (2011), 5–18
Citation in format AMSBIB
\Bibitem{Mus11}
\by A.~A.~Musaev
\paper The correlation analysis of processes of share and the currency markets states evolution
\jour Tr. SPIIRAN
\yr 2011
\vol 18
\pages 5--18
\mathnet{http://mi.mathnet.ru/trspy432}
Linking options:
  • https://www.mathnet.ru/eng/trspy432
  • https://www.mathnet.ru/eng/trspy/v18/p5
  • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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