Computational Management Science

, Volume 11, Issue 1, pp 45–55

Network approach for the Russian stock market

  • A. Vizgunov
  • B. Goldengorin
  • V. Kalyagin
  • A. Koldanov
  • P. Koldanov
  • P. M. Pardalos
Original Paper

DOI: 10.1007/s10287-013-0165-7

Cite this article as:
Vizgunov, A., Goldengorin, B., Kalyagin, V. et al. Comput Manag Sci (2014) 11: 45. doi:10.1007/s10287-013-0165-7

Abstract

We consider a market graph model of the Russian stock market. To study the peculiarity of the Russian market we construct the market graphs for different time periods from 2007 to 2011. As characteristics of constructed market graphs we use the distribution of correlations, size and structure of maximum cliques, and relationship between return and volume of stocks. Our main finding is that for the Russian market there is a strong connection between the volume of stocks and the structure of maximum cliques for all periods of observations. Namely, the most attractive Russian stocks have a strongest correlation between their returns. At the same time as far as we are aware this phenomenon is not related to the well developed USA stock market.

Keywords

Russian stock market Market graph Maximum clique 

Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  • A. Vizgunov
    • 1
  • B. Goldengorin
    • 2
  • V. Kalyagin
    • 1
  • A. Koldanov
    • 1
  • P. Koldanov
    • 1
  • P. M. Pardalos
    • 1
    • 2
  1. 1.National Research University Higher School of EconomicsNizhny NovgorodRussia
  2. 2.Industrial and Systems Engineering DepartmentUniversity of FloridaGainesvilleUSA