Comparing series of rankings with ties by using complex networks: an analysis of the Spanish stock market (IBEX-35 index)

DOI10.3934/NHM.2015.10.101MaRDI QIDQ258462zbMATHOpenAlexFDO

Authors Francisco Pedroche, Regino Criado, E. Garcia, Miguel Romance, Victoria E. Sánchez

Publication date 10 March 2016

Published in Networks and Heterogeneous Media (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1407.3180

zbMATH Keywords

volatilitycompetitivenesscompetitivity graphsranking analysisreturn

Mathematics Subject Classification ID

Applications of graph theory (05C90) Small world graphs, complex networks (graph-theoretic aspects) (05C82) Distance in graphs (05C12) Structural characterization of families of graphs (05C75) Financial applications of other theories (91G80)

Abstract: In this paper we extend the concept of Competitivity Graph to compare series of rankings with ties ({em partial rankings}). We extend the usual method used to compute Kendall's coefficient for two partial rankings to the concept of evolutive Kendall's coefficient for a series of partial rankings. The theoretical framework consists of a four-layer multiplex network. Regarding the treatment of ties, our approach allows to define a tie between two values when they are close {em enough}, depending on a threshold. We show an application using data from the Spanish Stock Market; we analyse the series of rankings defined by $25$ companies that have contributed to the IBEX-35 return and volatility values over the period 2003 to 2013.

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Cites work

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Cited in

(1)

• A biplex approach to PageRank centrality: From classic to multiplex networks

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