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Robust Statistical Procedures for Testing Dynamics in Market Network

  • A. P. Koldanov
  • M. A. VoroninaEmail author
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 247)

Abstract

Market network analysis attracts a growing attention last decades. One of the most important problems related with it is the detection of dynamics in market network. In the present paper, the stock market network of stock’s returns is considered. Probability of sign coincidence of stock’s returns is used as the measure of similarity between stocks. Robust (distribution free) multiple testing statistical procedure for testing dynamics of network is proposed. The constructed procedure is applied for German, French, UK, and USA market. It is shown that in most cases where the dynamics is observed it is determined by a small number of hubs in the associated rejection graph.

Keywords

Stock returns Probability of sign coincidence Sign correlation Stock markets Uniformly most powerful test Multiple hypothesis testing Bonferroni correction 

Notes

Acknowledgements

The work is partially supported by RFHR grant 15-32-01052.

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Copyright information

© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Laboratory of Algorithms and Technologies for Network AnalysisNational Research University Higher School of EconomicsNizhny NovgorodRussia

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