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Regular version of the site

Article

Robustness of sign correlation in market network analysis

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 of network characteristics. It is shown tat sign correlation is a robust measure of similarity in contrast with Person correlation widely used in market network analysis. This gives a possibility to get more precise information on stock market from observations.