Skip to main content
SpringerLink
Log in

Network Structures Uncertainty for Different Markets

  • Chapter
  • First Online:
Network Models in Economics and Finance

Part of the book series: Springer Optimization and Its Applications ((SOIA,volume 100))

  • 2976 Accesses

Abstract

Network model of stock market based on correlation matrix is considered. In the model vector of stock returns is supposed to have multivariate normal distribution with given correlation matrix. Statistical uncertainty of some popular market network structures is analyzed by numerical simulation for network models of stock markets for different countries. For each market statistical uncertainty of different structures is compared. It is observed that despite diversity the results of comparison are nearly the same for different markets. This leads to conjecture that there is some unknown common feature in different market networks.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 84.99
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD 109.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Similar content being viewed by others

References

  1. Bautin, G.A., Kalyagin, V.A., Koldanov, A.P., Koldanov, P.A., Pardalos, P.M.: Simple measure of similarity for the market graph construction. Comput. Manag. Sci. 10, 105–124 (2013)

    Article  MathSciNet  MATH  Google Scholar 

  2. Boginski, V., Butenko, S., Pardalos, P.M.: On structural properties of the market graph. In: Nagurney, A. (ed) Innovations in Financial and Economic Networks, pp. 29–45. Edward Elgar, Northampton (2003)

    Google Scholar 

  3. Boginski, V., Butenko, S., Pardalos, P.M.: Statistical analysis of financial networks. Comput. Stat. Data Anal. 48(2), 431–443 (2005)

    Article  MathSciNet  MATH  Google Scholar 

  4. Boginski, V., Butenko, S., Pardalos, P.M.: Mining market data: a network approach. Comput. Oper. Res. 33(11), 3171–3184 (2006)

    Article  MATH  Google Scholar 

  5. Bonanno, G., Caldarelli, G., Lillo, F., Micciché, S., Vandewalle, N., Mantegna, R.N.: Networks of equities in financial markets. Eur. Phys. J. B 38(2), 363–371 (2004)

    Article  Google Scholar 

  6. Galazka, M.: Characteristics of the Polish Stock Market correlations. Int. Rev. Financ. Anal. 20(1), 1–5 (2011)

    Article  Google Scholar 

  7. Hero, A., Rajaratnam, B.: Hub discovery in partial correlation graphs. IEEE Trans. Inform. Theory 58(9), 6064–6078 (2012)

    Article  MathSciNet  Google Scholar 

  8. Huang, W.-Q., Zhuang, X.-T., Yao, S.: A network analysis of the Chinese stock market. Phys. A Stat. Mech. Appl. 388(14), 2956–2964 (2009)

    Article  Google Scholar 

  9. Kalyagin, V.A., Koldanov, A.P., Koldanov, P.A., Pardalos, P.M., Zamaraev, V.A.: Measures of uncertainty in market network analysis. Phys. A Stat. Mech. Appl. 413, 59–70 (2014)

    Article  MathSciNet  Google Scholar 

  10. Koldanov, A.P., Koldanov, P.A., Kalyagin, V.A., Pardalos, P.M.: Statistical procedures for the market graph construction. Comput. Stat. Data Anal. 68, 17–29 (2013)

    Article  MathSciNet  Google Scholar 

  11. Mantegna, R.N.: Hierarchical structure in financial markets. Eur. Phys. J. B 11, 193–197 (1999)

    Article  Google Scholar 

  12. Micciche, S., Bonanno, G., Lillo, F., Mantegna, R.N.: Degree stability of a minimum spanning tree of price return and volatility. Phys. A 324, 66–73 (2003)

    Article  MathSciNet  MATH  Google Scholar 

  13. Tumminello, M., Aste, T., Matteo, T.D., Mantegna R.N.: A tool for filtering information in complex systems. Proc. Natl. Acad. Sci. 102(30), 10421–10426 (2005)

    Article  Google Scholar 

  14. Vizgunov, A., Goldengorin, B., Kalyagin, V., Koldanov, A., Koldanov, P., Pardalos, P.M.: Network approach for the Russian stock market. Comput. Manag. Sci. 11(1–2), 45–55 (2014)

    Article  Google Scholar 

  15. Wang, G.-J., Xie, C., Chen, Y.-J., Chen, S.: Statistical properties of the foreign exchange network at different time scales: evidence from detrended cross-correlation coefficient and minimum spanning tree. PEntropy 15(5), 1643–1662 (2013)

    Article  MathSciNet  Google Scholar 

Download references

Acknowledgements

This work is partly supported by RF government grant, ag. 11.G34.31.0057 and RFFI grant 14-01-00807.

Author information

Authors and Affiliations

  1. Laboratory of Algorithms and Technologies for Network Analysis (LATNA), National Research University Higher School of Economics, Nizhny Novgorod, Bolshaya Pecherskaya street 25/12, 603155, Nizhny Novgorod, Russia

    Valery A. Kalyagin, Petr A. Koldanov & Victor A. Zamaraev

Authors
  1. Valery A. Kalyagin
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Petr A. Koldanov
    View author publications

    You can also search for this author in PubMed Google Scholar

  3. Victor A. Zamaraev
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Valery A. Kalyagin .

Editor information

Editors and Affiliations

  1. Laboratory of Algorithms and Technologies for Network Analysis, National Research University, Higher School of Economics, Nizhny Novgorod, Russia

    Valery A. Kalyagin

  2. Department of Industrial and Systems Engineering, University of Florida, Gainesville, Florida, USA

    Panos M. Pardalos

  3. Department of Mathematics, National Technical University of Athens, Athens, Greece

    Themistocles M. Rassias

Rights and permissions

Reprints and permissions

Copyright information

© 2014 Springer International Publishing Switzerland

About this chapter

Cite this chapter

Kalyagin, V.A., Koldanov, P.A., Zamaraev, V.A. (2014). Network Structures Uncertainty for Different Markets. In: Kalyagin, V., Pardalos, P., Rassias, T. (eds) Network Models in Economics and Finance. Springer Optimization and Its Applications, vol 100. Springer, Cham. https://doi.org/10.1007/978-3-319-09683-4_10

Download citation

Publish with us

Policies and ethics

Search

Navigation