Comparative analysis of two similarity measures for the market graph construction

DOI10.1007/978-1-4614-8588-9_3zbMATH Open1344.91019OpenAlexW41182002MaRDI QIDQ2820106FDOQ2820106

Authors: Grigory A. Bautin, Valery A. Kalyagin, Alexander P. Koldanov 

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

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zbMATH Keywords

conditional riskPearson correlationsimilarity measuresmarket graphsign correlationnetwork market analysis

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Mining market data: a network approach
• Statistical procedures for the market graph construction
• Simple measure of similarity for the market graph construction
• Statistical analysis of financial networks

Cited In (6)

• On multivariate network analysis of statistical data sets with different measures of association
• Robust identification in random variable networks
• Optimal decision for the market graph identification problem in a sign similarity network
• Uniformly most powerful unbiased test for conditional independence in Gaussian graphical model
• Measures of uncertainty in market network analysis
• Robustness of Sign Correlation in Market Network Analysis

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