Mutual influence of exchange assets: analysis and estimation

Serhiy Kozmenko and Alex Plastun

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines the dynamic of prices for different exchange assets in relation to the dynamics of other exchange instruments. The analysis shows that in certain periods there exists a strong connection between the exchange assets(direct or indirect) but it is rather unstable. The understanding of such dependencies allows to predict the market price changes. The coefficient of correlation can act as a measure of convergence or divergence of two “equal” assets. For example, a strong positive correlation between the two exchange assets lead to conclusion that in the case of a big movement in one asset we can wait for equivalent changes in other exchange asset.

Keywords: exchange assets; correlation analysis; forecast; price dynamic analysis; prediction; market “focus”. (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
Date: 2011-05-15
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Banks and Bank Systems 2.6(2011): pp. 53-58

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