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Regular version of the site

Article

Network Structure Ucertainty for Different Markets

Springer Optimization and Its Applications. 2014. Vol. 100. P. 181-197.
Kalyagin V. A., Koldanov P., Zamaraev V. A.

Network model of stock market based on correlation matrix is considered. In the model vector of stock returns is supposed to hve multivariate normal distribution with given correlation matrix. Statistical uncertainty of some popular market network structures is analyzed by numerical simulation for network models of stock makets for different countries. For each market statistical uncertainty of different structures is compared. It is observed that despite of diversity the results of comparison are nearly the same for different markets. This leads to conjecture that there is some unknown common feature in different market network.