Comparative Analysis of Two Similarity Measures for the Market Graph Construction

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

zbMATH Keywords

similarity measuresconditional riskPearson correlationmarket graphsign correlationnetwork market analysis

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Statistical analysis of financial networks
• Statistical procedures for the market graph construction
• Simple measure of similarity for the market graph construction
• Mining market data: a network approach

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