Simple measure of similarity for the market graph construction

DOI10.1007/s10287-013-0169-3zbMath1282.91382OpenAlexW2046343990MaRDI QIDQ2438062

Panos M. Pardalos, Grigory A. Bautin, Valeriy A. Kalyagin, Alexander P. Koldanov, Petr A. Koldanov

Publication date: 10 March 2014

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-013-0169-3

zbMATH Keywords

stock returnscliquesindependent setsPearson correlationmarket graphmeasure of dependence of random variablessign correlation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (10)

Statistical procedures for the market graph construction ⋮ On some statistical procedures for stock selection problem ⋮ On multivariate network analysis of statistical data sets with different measures of association ⋮ Optimal decision for the market graph identification problem in a sign similarity network ⋮ Robust identification in random variable networks ⋮ Reliability of maximum spanning tree identification in correlation-based market networks ⋮ Robustness of Sign Correlation in Market Network Analysis ⋮ Network Structures Uncertainty for Different Markets ⋮ Measures of uncertainty in market network analysis ⋮ Comparative Analysis of Two Similarity Measures for the Market Graph Construction

Cites Work

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• Statistical analysis of financial networks
• Correlation based networks of equity returns sampled at different time horizons
• Mining market data: a network approach
• Robust estimation and outlier detection with correlation coefficients
• Introduction to Econophysics
• Robust Statistics

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