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

DOI10.3934/NHM.2015.10.101zbMATH Open1334.05127arXiv1407.3180OpenAlexW2045170693MaRDI QIDQ258462FDOQ258462

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)

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.

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

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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)

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Cited In (1)

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

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