Network Structures Uncertainty for Different Markets
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.
KeywordsStatistical uncertainty Market network analysis Conditional risk Minimum spanning tree Market graph
This work is partly supported by RF government grant, ag. 11.G34.31.0057 and RFFI grant 14-01-00807.
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