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Analysis of the Relationship of the Dollar with the Price of Oil Barrel

Student: Natalia Khrustaleva

Supervisor: Alexander P. Koldanov

Faculty: Faculty of Informatics, Mathematics, and Computer Science (HSE Nizhny Novgorod)

Educational Programme: Data Mining (Master)

Year of Graduation: 2019

Annotation to the master's thesis "The analysing relationship between dollar rate and oil barrel price" Keywords: ruble, oil, independence hypothesis, Pearson correlation, Kendall correlation, Fechner correlation, multiple hypothesis testing, Holm’s stepdown procedure, criterion power Subject: a set of correlations between financial assets "ruble" and "oil" in certain time periods . Objective: testing a set of independence hypotheses and analysis of the results In the first part of the thesis is given the describe of correlation analysis basis . The next part contains the independence hypotheses testing using the Pearson, Fechner and Kendall correlation criteria for assets returns and prices for different sample sizes. To summarize obtained results, in general the hypothesis of ruble and oil prices independences is rejected.

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