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JOURNALS // Informatics and Automation // Archive

Tr. SPIIRAN, 2011 Issue 19, Pages 243–255 (Mi trspy472)

This article is cited in 1 paper

Stock market state estimation on the basis of multidimensional regression on a sliding observation window

A. A. Musaeva, I. A. Barlasovb

a St. Petersburg Institute for Informatics and Automation of RAS
b Raiffeisen Bank

Abstract: The problem of stock market indexes restoration on the basis of algorithms multidimensional regression analysis is considered. As regressors currency tools are used in electronic market “Forex”. The memory parameters, defining volume of training sample, are set by the size of a sliding observations window.

Keywords: stock market, statistical estimation, multidimensional regression analysis.

UDC: 62-501.12

PACS: -

MSC: 62P05, 62P20

Received: 29.11.2011
Accepted: 29.11.2011



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