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JOURNALS // Informatics and Automation // Archive

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

This article is cited 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.

UDC: 62-501.12

Received: 18.04.2011
Accepted: 29.09.2011



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