Statistical Analysis of Current Financial Instrument Quotes in the Conditions of Market Chaos

Alexander Musaev, Andrey Makshanov and Dmitry Grigoriev
Additional contact information
Alexander Musaev: Saint-Petersburg State Institute of Technology, Technical University, St. Petersburg Institute for Informatics and Automation of the Russian Academy of Sciences, 190013 St. Petersburg, Russia
Andrey Makshanov: Department of Computing Systems and Computer Science, Admiral Makarov State University of Maritime and Inland Shipping, 198035 St. Petersburg, Russia
Dmitry Grigoriev: Center of Econometrics and Business Analytics (CEBA), St. Petersburg State University, 199034 St. Petersburg, Russia

Mathematics, 2022, vol. 10, issue 4, 1-16

Abstract: In this paper, the problem of estimating the current value of financial instruments using multidimensional statistical analysis is considered. The research considers various approaches to constructing regression computational schemes using quotes of financial instruments correlated to the data as regressors. An essential feature of the problem is the chaotic nature of its observation series, which is due to the instability of the probabilistic structure of the initial data. These conditions invalidate the constraints under which traditional statistical estimates remain non-biased and effective. Violation of experiment repeatability requirements obstructs the use of the conventional data averaging approach. In this case, numeric experiments become the main method for investigating the efficiency of forecasting and analysis algorithms of observation series. The empirical approach does not provide guaranteed results. However, it can be used to build sufficiently effective rational strategies for managing trading operations.

Keywords: stochastic chaos; multidimensional statistical analysis; multi-regression estimation; sliding observation window; asset management (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.mdpi.com/2227-7390/10/4/587/pdf (application/pdf)
https://www.mdpi.com/2227-7390/10/4/587/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jmathe:v:10:y:2022:i:4:p:587-:d:749349

Access Statistics for this article

Mathematics is currently edited by Ms. Emma He

More articles in Mathematics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().