Abstract
The paper presents the analysis of the network model referred to as market graph of the BRIC countries stock markets. We construct the stock market graph as follows: each vertex represents a stock, and the vertices are adjacent if the price correlation coefficient between them over a certain period of time is greater than or equal to specified threshold. The market graphs are constructed for different time periods to understand the dynamics of their characteristics such as correlation distribution histogram, mean value and standard deviation, size and structure of the maximum cliques. Our results show that we can split the BRIC countries into two groups. Brazil, Russia and India constitute the first group, China constitutes the second group.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Boginski, V., Butenko, S., Pardalos, P.M.: On structural properties of the market graph. In: Nagurney, A. (ed.) Innovations in Financial and Economic Networks, pp. 29–45. Edward Elgar, Cheltenham Glos (2003)
Boginski, V., Butenko, S., Pardalos, P.M.: Statistical analysis of financial networks. Comput. Stat. Data Anal. 48, 431–443 (2005)
Boginski, V., Butenko, S., Pardalos, P.M.: Mining market data: a network approach. Comput. Oper. Res., 3171–3184 (2006)
Huang, W.-Q., Zhuang, X.-T., Shuang, Y.: A network analysis of the Chinese stock market. Physica A 388, 2956–2964 (2009)
Jallo, D., Budai, D., Boginski, V., Goldengorin, B., Pardalos, P.M.: Network-based representation of stock market dynamics: an application to American and Swedish stock markets. In: Goldengorin, B., Kalyagin, V., Pardalos, P. (eds.) Models, Algorithms, and Technologies for Network Analysis. Springer Proceedings in Mathematics & Statistics, vol. 32, pp. 91–98 (2012)
Mantegna, R.N., Stanley, H.E.: An Introduction to Econophysics: Correlations and Complexity in Finance. Cambridge University Press, Cambridge (2000)
Salter-Townshend, M., White, A., Gollini, I., Murphy, T.: Review of statistical network analysis: models, algorithms, and software. Stat. Anal. Data Min. 5(4), 243–264 (2012)
Vizgunov, A., Goldengorin, B., Kalyagin, V., Koldanov, A., Koldanov, P., Pardalos, P.M.: Network approach for the Russian stock market. Comput. Manag. Sci. (2013). doi:10.1007/s10287-013-0165-7
Batsyn, M.V., Goldengorin, B.I., Maslov, E.V., Pardalos, P.M.: Improvements to MCS algorithm for the maximum clique problem. J. Comb. Optim. (2013). doi:10.1007/s10878-012-9592-6
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2013 Springer Science+Business Media New York
About this paper
Cite this paper
Vizgunov, A., Glotov, A., Pardalos, P.M. (2013). Comparative Analysis of the BRIC Countries Stock Markets Using Network Approach. In: Goldengorin, B., Kalyagin, V., Pardalos, P. (eds) Models, Algorithms, and Technologies for Network Analysis. Springer Proceedings in Mathematics & Statistics, vol 59. Springer, New York, NY. https://doi.org/10.1007/978-1-4614-8588-9_12
Download citation
DOI: https://doi.org/10.1007/978-1-4614-8588-9_12
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4614-8587-2
Online ISBN: 978-1-4614-8588-9
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)