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Trudy SPIIRAN, 2011, Issue 18, Pages 5–18
(Mi trspy432)
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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
Citation:
A. A. Musaev, “The correlation analysis of processes of share and the currency markets states evolution”, Tr. SPIIRAN, 18 (2011), 5–18
Linking options:
https://www.mathnet.ru/eng/trspy432 https://www.mathnet.ru/eng/trspy/v18/p5
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