Measures of uncertainty in market network analysis

DOI10.1016/J.PHYSA.2014.06.054zbMATH Open1402.91147arXiv1311.2273OpenAlexW2084118472MaRDI QIDQ1783053FDOQ1783053

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)

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.

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

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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)

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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

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