Abstract
The paper deals with uncertainty in market network analysis. The main problem addressed is to investigate statistical uncertainty of Kruskal algorithm for the minimum spanning tree in market network. Uncertainty of Kruskal algorithm is measured by the probability of q incorrectly included edges. Numerical experiments are conducted with the returns of a set of 100 financial instruments traded in the US stock market over a period of 250 days in 2014. Obtained results help to estimate the reliability of minimum spanning tree in market network analysis.
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Acknowledgements
This work is partly supported by Russian Federation Government grant, N. 11.G34.31.0057, RFBR grant 14-01-00807, and HSE Scientific Fund 15-09-0239.
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Komissarova, A., Koldanov, P. (2016). Statistical Uncertainty of Minimum Spanning Tree in Market Network. In: Kalyagin, V., Koldanov, P., Pardalos, P. (eds) Models, Algorithms and Technologies for Network Analysis. NET 2014. Springer Proceedings in Mathematics & Statistics, vol 156. Springer, Cham. https://doi.org/10.1007/978-3-319-29608-1_10
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DOI: https://doi.org/10.1007/978-3-319-29608-1_10
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