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Uncertainty of Market Graph Identification
Operations Research Forum. 2025. Vol. 6. Article 164.
One of the popular tools for analyzing network models of a market is the threshold similarity graph or market graph, which illustrates the strength and topology of correlations in the stock market. Several papers are devoted to the construction of such a graph in order to analyze correlations in specific stock markets. However, the reliability or uncertainty of the conclusions obtained has not been sufficiently studied. To carry out such studies, we investigate some measures of uncertainty. These measures include classical measures based on risk function and new measures based on recently proposed methods for dividing conclusions about correlations into two sets: a statistically significant set of conclusions and a statistically nonsignificant set of conclusions or zone of uncertainty. The paper shows the relationship of some new measures of uncertainty with classical ones. The proposed measures of uncertainty include the ratio of the size of the nonsignificant set of conclusions to the total number of conclusions and the ratio of the size of the nonsignificant set of conclusions to the size of the significant set of conclusions. These measures are divided into two types. Measures of the first type are defined as functions of the chosen threshold of the market graph. The measures of the second type, or uncertainty indicators, do not depend on the threshold of the threshold similarity graph. Data from 12 stock markets are used to investigate the proposed measures of uncertainty. The correlation is estimated using both the traditional Pearson correlation coefficient and the Kendall correlation coefficient.
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English
Bessonova E., Popova S., Fedulova M., Emerging Markets Review 2026 Vol. 75 Article 101564
To mitigate the shocks caused by the pandemic-related restrictions, many governments implemented extensive support measures for companies facing sharp declines in revenues. In Russia, loan guarantee programmes allowed many firms to apply for loans during the pandemic. As a result, the number of small loans soared. Participation in the loan guarantee programmes helped firms in ...
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Kupavskii A., Noskov F., Forum of Mathematics, Sigma 2026 Vol. 14 Article 124
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Stepanyants V., Andrey V. Fizulin, Chibirov A. et al., FUTURE TRANSPORTATION 2026 Vol. 6 No. 5 Article 225
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Added: October 8, 2026
Kuzminov Y., Koshel A., Kruchinskaia E., Russian Journal of Economics 2026 No. 12(3) P. 311–334
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Added: October 8, 2026
Flamarion M. V., Pelinovsky E., Chaos, Solitons and Fractals 2026 Vol. 213 No. 2 Article 119245
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Groshev Maksim, Rybakov Petr, Teterin N. et al., Sensors 2026 Article 6171
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Томск: Издательство Томского государственного университета, 2026.
Материалы сборника Шестнадцатой Международной конференции «Новые информационные
технологии в исследовании сложных структур» (Москва, 21–25 сентября 2026 г.) ориентированы на
широкий круг специалистов, работающих на стыке теории информации, системного анализа и
прикладных предметных областей. В издание вошли результаты исследований, посвящённые
моделированию дискретных и стохастических структур управления и связи, разработке
высокопроизводительных вычислительных и телекоммуникационных систем, а также вопросам
цифровой трансформации образования, архитектурно-градостроительного проектирования,
экологического ...
Added: October 6, 2026
Lola I. S., Ostapkovich G. V., Asoskov D., ИСИЭЗ НИУ ВШЭ, 2026.
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В основу обзора положены ежеквартальные опросы более 5 тыс. человек в возрасте от 16 лет и старше. Такие опросы Федеральная служба государственной статистики (Росстат) проводит во всех субъектах ...
Added: October 6, 2026
Bernardin C., Chhaibi R., Najnudel J. et al., Probability Theory and Related Fields 2026 Vol. 195 P. 1823–1875
We study the celebrated Shiryaev-Wonham filter (Wonham, W.M., in J. Soc. Ind. Appl. Math. 347–369, 1964) in its historical setup, where the hidden Markov jump process has two states. We are interested in the weak noise regime for the observation equation. Interestingly, this becomes a strong noise regime for the filtering equations. Earlier results of ...
Added: October 5, 2026
Rastvortseva S., Tyushkevich Y., Salushkina Z. S., Journal of regional and international competitiveness 2026 Vol. 7 No. 2 P. 38–49
This paper examines the contemporary models of international competitiveness adopted by Big Tech corporations between 2010 and 2025. The study aims to identify the internal drivers underpinning the resilience of technological giants and to assess their capacity to withstand external shocks, including sanctions, geo-economic fragmentation, and regulatory shifts. To achieve this objective, the authors employ ...
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De Gruyter, 2026.
Post-Soviet Eurasia is one of the world's most geopolitically consequential and rapidly transforming regions. Developments across it increasingly reshape political, economic and social relations far beyond its borders. Understanding these dynamics is therefore both intellectually urgent and analytically demanding, requiring an interdisciplinary approach capable of moving beyond established categories and fragmented national perspectives.
This handbook provides ...
Added: October 5, 2026
М.: Национальный исследовательский университет "Высшая школа экономики", 2026.
В шестнадцатом выпуске электронного издания «Вестник Российского мониторинга экономического положения и здоровья населения НИУ ВШЭ (RLMSHSE)» представлены работы, подготовленные на основании данных лонгитюдного обследования домохозяйств «Российский мониторинг экономического положения и здоровья населения НИУ ВШЭ» (РМЭЗ НИУ ВШЭ) за 1992–2024 гг. В выпуске рассматриваются динамика доходов и расходов российских домохозяйств, тенденции развития рынка труда, социальное самочувствие ...
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Koldanov P., Koldanov A. P., Stat 2025 Vol. 14 No. 4 Article e70122
To identify statistically significant conclusions, it is proposed to simultaneously test hypotheses and alternatives. It is shown that, under the condition of free combination of hypotheses and alternatives, the closure method leads to single-step procedures for the simultaneous testing of hypotheses and alternatives. Using an example it is shown the result is lost when hypotheses ...
Added: November 26, 2025
Koldanov P., Alexander Koldanov, Semenov D., Operations Research Forum 2024 Vol. 5 Article 116
The issue of identifying sets of weakly correlated stocks is explored. Four distinct
methods for constructing these sets are compared: the traditional approach using
Pearson correlation, the traditional approach using Kendall correlation, and multi
ple hypothesis testing methods, which apply both Pearson and Kendall correlations.
To derive specific findings, we analyze daily returns of a selection of stocks listed ...
Added: December 14, 2024
Koldanov A. P., Koldanov P., Semenov D., Журнал Новой экономической ассоциации 2025 № 1(66) С. 54–74
The problem of connections’ analysis between the stock returns is considered. The connections are measured by traditional Pearson correlation as well as rank Kendall correlation. Different measures of uncertainty conclusions on connections in the stock markets based on separation of the conclusions by significant and admissible are proposed. The proposed measures of uncertainty include the ...
Added: December 3, 2024
Semenov D., Alexander Koldanov, Petr Koldanov, Computational Management Science 2024 Vol. 21 Article 18
The aim of the article is to analyze graphs of weakly correlated stocks. Characteristics
of these graphs such as number of edges, histogram of vertices degrees, degrees
distribution, hubs and cliques are investigated. Pearson correlation and Kendall correlation
are used to construct these graphs. Graphs constructed by the traditional
procedure and by Holm procedure are compared. Obtained results are ...
Added: January 24, 2024
P. A. Koldanov, A. P. Koldanov, D. P. Semenov, Statistical Analysis and Data Mining 2023 Vol. 16 No. 6 P. 583–595
Problem of uncertainty of graph structure identification in random variable network is considered. An approach for the construction of upper and lower confidence bounds for graph structures is developed. This approach is applied for the construction of upper and lower confidence bounds for the threshold similarity graph. The stability of confidence bounds and gaps between ...
Added: September 7, 2023
Koldanov A. P., Koldanov P., Semenov D., Журнал Новой экономической ассоциации 2021 Т. 2 № 50 С. 12–34
. The problem of analysis of pairwise connections between stocks of financial market by observations on stock returns is considered. Such problem arise in stock market network analysis. It is assumed that joint distribution of stock returns belongs to the wide class of elliptical distributions. Classical Pearson correlation, Fechner correlation and Kendall correlation are used ...
Added: June 17, 2021
Bautin G. A., Koldanov A. P., Pardalos P. M., Springer Optimization and Its Applications 2014 Vol. 100 P. 25–33
Financial market can be modeled as network represented by a complete weighted graph. Differet characteristics of this graph (minimum spanning tree, market graph ad others) give an impotant information on the network. In the pesent paper it is studied how the choice of measure of similarity between stocks influences the statistical errors in the calculation ...
Added: October 13, 2014
Bautin G. A., Kalyagin V. A., Koldanov A. P., Springer Proceedings in Mathematics & Statistics 2013 Vol. 59 P. 29–41
Market graph is built on the basis of some similarity measure for financial asset returns. The paper considers two similarity measures: classic Pearson correlation and sign correlation. We study the associated market graphs and compare the conditional risk of the market graph construction for these two measures of similarity. Our main finding is that the ...
Added: September 27, 2013