Measures of uncertainty in market network analysis

DOI10.1016/J.PHYSA.2014.06.054MaRDI QIDQ1783053zbMATH OpenOpenAlexFDO

Authors Valery A. Kalyagin, Alexander P. Koldanov, Petr A. Koldanov, Panos M. Pardalos, Victor Zamaraev

Publication date 20 September 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1311.2273

zbMATH Keywords

minimum spanning treeconditional riskstatistical uncertaintymarket graphmarket network model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24)

Abstract: Statistical uncertainty of different filtration techniques for market network analysis is studied. Two measures of statistical uncertainty are discussed. One is based on conditional risk for multiple decision statistical procedures and another one is based on average fraction of errors. It is shown that for some important cases the second measure is a particular case of the first one. Statistical uncertainty for some popular market network structures is analyzed. Results of numerical evaluation of statistical uncertainty for minimum spanning tree, market graph, maximum cliques and maximum independent sets are given. The most stable structures are derived.

Recommendations

• Network structures uncertainty for different markets
• Robustness of sign correlation in market network analysis
• Statistical procedures for the market graph construction
• Comparative analysis of two similarity measures for the market graph construction
• Optimal decision for the market graph identification problem in a sign similarity network

Cites work

• scientific article; zbMATH DE number 50804 (Why is no real title available?)
• scientific article; zbMATH DE number 3061365 (Why is no real title available?)
• A Theory of some Multiple Decision Problems, I
• Comparative analysis of two similarity measures for the market graph construction
• Degree stability of a minimum spanning tree of price return and volatility
• Hub Discovery in Partial Correlation Graphs
• Introduction to Econophysics
• Mining market data: a network approach
• On the shortest spanning subtree of a graph and the traveling salesman problem
• Random matrix theory analysis of cross-correlations in the US stock market: evidence from Pearson's correlation coefficient and detrended cross-correlation coefficient
• Simple measure of similarity for the market graph construction
• Statistical analysis of financial networks
• Testing Statistical Hypotheses

Cited in

(7)

• Network structures uncertainty for different markets
• Robust identification in random variable networks
• Joint modeling of longitudinal relational data and exogenous variables
• Reliability of maximum spanning tree identification in correlation-based market networks
• Statistical procedures for the market graph construction
• Robustness of sign correlation in market network analysis
• Finding weakly correlated nodes in random variable networks

This page was built for publication: Measures of uncertainty in market network analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1783053)