The problem of interrelation between changes of currency and stock markets 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 an observations window used for their estimation are established
{"title":"Корреляционный анализ процессов изменения состояния фондовых и валютных рынков","authors":"Александр Азерович Мусаев","doi":"10.15622/sp.18.1","DOIUrl":"https://doi.org/10.15622/sp.18.1","url":null,"abstract":"The problem of interrelation between changes of currency and stock markets 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 an observations window used for their estimation are established","PeriodicalId":53447,"journal":{"name":"SPIIRAS Proceedings","volume":"7 6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2014-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85863313","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}