Построение доверительного множества связанных акций фондового рынка

Журнал Новой экономической ассоциации. 2021. Т. 2. № 50. С. 12–34.

Koldanov A. P., Koldanov P., Semenov D.

. 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 as measure of dependence. The construction problems of sets of stocks with strong connections between its returns are investigated. The construction problems of sets of stocks with strong connections between its returns are investigated. To construct such sets the multiple hypotheses testing procedures on values of correlations are used. The properties of these statistical procedures are investigated by simulations. The simulation results show that procedures based on individual Fechner and Kendall tests lead to such sets of stocks with given confidence probability unlike procedure based on Pearson individual tests which do not control the confidence probability. At the same time it is emphasized that for Student distribution the constructed set is nearly the same to the confidence set. The procedure of consistency testing with elliptical model is proposed and exemplified. The peculiarities of the model are discussed.

Keywords: Threshold graph, Pearson correlation, Network model of stock market, Kendall correlation, Fechner correlation, sufficient set, multiple hypotheses testing procedures, сетевая модель фондового рынка, отсеченный граф, классический коэффициент корреляции Пирсона, корреляция Кендалла, корреляция Фехнера, доверительное множество, процедуры множественной проверки гипотез

Publication based on the results of: Theoretical and algorithmic aspects of network analysis algorithms (2021)