Announcement of Report: A. V. Makarenko, Symbolic CTQ-analysis – a new method for studying of financial indicators
The report A. V. Makarenko, Symbolic CTQ-analysis – a new method for studying of financial indicators, illustrates the basic features of the symbolic CTQ-analysis applied to the study of the dynamics of financial indicators. As an example, we study the structure and parameters of the synchronization rates of world currencies (the U.S. Dollar [USD], Euro [EUR], Japanese Yen [JPH], Swiss Franc [CHF], and the British Pound [GBP]) against the ruble of the Russian Federation [RUB].
Time series were analyzed for the period from 01.01.1999 on 31.03.2013. The initial data are taken from the official web-site Central Bank of Russia. Symbolic CTQ-analysis originally developed by the staff of the research group "Constructive Cybernetics".
Among the results obtained. The analysis revealed a difference between the structure of the time series for the exchange rate USD/RUB and the rest currency pairs. For some combinations found non-random higher values of integral level of T-synchronicity. In the spectra of synchronous domains, detected long periods of synchronized exchange rate fluctuations. For all relevant periods obtained their real date (for linking the to external events).
Report accepted for International Conference "Advanced Finance and Stochastics", Russia, Moscow, on June 24–28, 2013. The conference is held under the auspices of: Steklov Mathematical Institute of Russian Academy of Sciences, Laboratory of Structural Methods of Data Analysis in Predictive Modeling MIPT (PreMoLab) and STRADO. Read more: afs.mi.ras.ru.
03 June 2013.
News Source: Own information.
