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Models, Algorithms and Technologies for Network Analysis pp 21–35Cite as

Market Graph Construction Using the Performance Measure of Similarity

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Part of the book series: Springer Proceedings in Mathematics & Statistics ((PROMS,volume 104))

Abstract

The paper presents the description of the modification of the stock market graph model. Authors suggest a new similarity measure between stocks. Following the market graph model a vertex represents a stock. For each pair of stocks we calculate a number of weeks when both stocks were profitable simultaneously. This number is used as a weight of edge between two vertices. The structural properties of the graph constructed by means of the suggested measure can be used to evaluate potential profitability, performance of the stock market. The model was applied to Russian stock market and to US stock market for the time period from 2001 to 2011. The main result of the analysis is the description of the peculiarity of the Russian stock market comparing with the well-developed US stock market and observation that constructed US stock market graph follows the power law model.

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References

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Author information

Authors and Affiliations

  1. National Research University Higher School of Economics, 25/12 Bolshaja Pecherskaja Ulitsa, Nizhny Novgorod, 603155, Russia

    Andrey A. Glotov & Arsenii N. Vizgunov

  2. Laboratory of Algorithms and Technologies for Networks Analysis, Department of Applied Mathematics and Informatics, National Research University Higher School of Economics, Nizhny Novgorod, 603155, Russia

    Valery A. Kalyagin

  3. Department of Industrial and Systems Engineering, Center for Applied Optimization, University of Florida, Gainesville, FL, 32608, USA

    Panos M. Pardalos

  4. Laboratory of Algorithms and Technologies for Networks Analysis, National Research University, Higher School of Economics, Nizhny Novgorod, 603155, Russia

    Panos M. Pardalos

Authors
  1. Andrey A. Glotov
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  2. Valery A. Kalyagin
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  3. Arsenii N. Vizgunov
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  4. Panos M. Pardalos
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Corresponding author

Correspondence to Arsenii N. Vizgunov .

Editor information

Editors and Affiliations

  1. Laboratory of Algorithms and Technologies for Networks Analysis, Department of Applied Mathematics and Informatics, National Research University Higher School of Economics, Nizhny Novgorod, Russia

    Mikhail V. Batsyn

  2. Laboratory of Algorithms and Technologies for Networks Analysis, Department of Applied Mathematics and Informatics, National Research University Higher School of Economics, Nizhny Novgorod, Russia

    Valery A. Kalyagin

  3. Laboratory of Algorithms and Technologies for Networks Analysis, Department of Industrial and Systems Engineering, Center for Applied Optimization, National Research University Higher School of Economics, Nizhny Novgorod, Russia, University of Florida, Gainesville, Florida, USA

    Panos M. Pardalos

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© 2014 Springer International Publishing Switzerland

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Glotov, A.A., Kalyagin, V.A., Vizgunov, A.N., Pardalos, P.M. (2014). Market Graph Construction Using the Performance Measure of Similarity. In: Batsyn, M., Kalyagin, V., Pardalos, P. (eds) Models, Algorithms and Technologies for Network Analysis. Springer Proceedings in Mathematics & Statistics, vol 104. Springer, Cham. https://doi.org/10.1007/978-3-319-09758-9_3

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