Comparative Analysis of Two Similarity Measures for the Market Graph Construction
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Publication:2820106
DOI10.1007/978-1-4614-8588-9_3zbMath1344.91019OpenAlexW41182002MaRDI QIDQ2820106
Alexander P. Koldanov, Grigory A. Bautin, Valeriy A. Kalyagin
Publication date: 13 September 2016
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4614-8588-9_3
similarity measuresconditional riskPearson correlationmarket graphsign correlationnetwork market analysis
Statistical methods; risk measures (91G70) Microeconomic theory (price theory and economic markets) (91B24)
Related Items (6)
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 ⋮ Robustness of Sign Correlation in Market Network Analysis ⋮ Uniformly most powerful unbiased test for conditional independence in Gaussian graphical model ⋮ Measures of uncertainty in market network analysis
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