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

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.

The Genesis of Uncertainty: Structural Analysis of Stochastic Chaos in Finance Markets

“…By having multiple connectivity and stable correlations over large intervals of observations, we are able to use statistical data analysis to gain fragments of local stability. Examples of such solutions are given in [42,43].…”

Preface to the Special Issue on “Advances in Differential Dynamical Systems with Applications to Economics and Biology”

“…Using multidimensional statistical analysis, Musaev et al [5] explored the problem of evaluating the current value of financial instruments, examining various methods for building computational schemes for regression. The chaotic nature of the observation series, which is caused by the instability of the starting data's probabilistic structure, is a key aspect of this issue; hence, the primary approach for examining the effectiveness of forecasting and analytical algorithms is numerical experimentation.…”