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Computational Management Science

, Volume 11, Issue 1–2, pp 45–55 | Cite as

Network approach for the Russian stock market

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

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 

Notes

Acknowledgments

We would like to thank the anonymous referees for their useful comments for improving the quality and the presentation of the paper. The authors are partially supported by LATNA Laboratory, NRU HSE, RF, government grant ag. 11.G34.31.0057.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  • A. Vizgunov
    • 1
    Email author
  • 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

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