Network Structures Uncertainty for Different Markets

  • Valery A. Kalyagin
  • Petr A. Koldanov
  • Victor A. Zamaraev
Chapter
Part of the Springer Optimization and Its Applications book series (SOIA, volume 100)

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.

Keywords

Statistical uncertainty Market network analysis Conditional risk Minimum spanning tree Market graph 

Notes

Acknowledgements

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

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Copyright information

© Springer International Publishing Switzerland 2014

Authors and Affiliations

  • Valery A. Kalyagin
    • 1
  • Petr A. Koldanov
    • 1
  • Victor A. Zamaraev
    • 1
  1. 1.Laboratory of Algorithms and Technologies for Network Analysis (LATNA)National Research University Higher School of Economics, Nizhny NovgorodNizhny NovgorodRussia

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