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Multiple decision problem for stock selection in market network
P. 98-110.
Koldanov P., Bautin G. A.
In book
Vol. 8426: Lectute Notes in Computer Science. , Switzerland : Springer, 2014
Kalyagin V.A., Koldanov A.P., Koldanov P.A. et al., Physica A: Statistical Mechanics and its Applications 2014 Vol. 413 No. 1 P. 59-70
A general approach to measure statistical uncertainty of different filtration techniques for market network analysis is proposed. Two measures of statistical uncertainty are introduced and discussed. One is based on conditional risk for multiple decision statistical procedures and another one is based on average fraction of errors. It is shown that for some important cases ...
Added: July 19, 2014
Koldanov P., Pardalos P. M., Zamaraev V. A., , in : DATA ANALYTICS 2014, The Third International Conference on Data Analytics. : [б.и.], 2014. P. 91-94.
A common network representation of the stock market is based on correlations of time series of return fluctuations. It is well known that financial time series have a stochastic nature. Therefore there is uncertainty in inference about filtered structures in market network. Thus market network analysis need to be complemented by estimation of uncertainty of the ...
Added: October 13, 2014
Kalyagin V. A., Koldanov P., Zamaraev V. A., Springer Optimization and Its Applications 2014 Vol. 100 P. 181-197
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 ...
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
V. A. Kalyagin, A. P. Koldanov, P. A. Koldanov, Physica A: Statistical Mechanics and its Applications 2022 Vol. 599 Article 127482
Maximum spanning tree is a popular tool in market network analysis. Large number of publications are devoted to the maximum spanning tree calculation and its interpretation for particular stock markets. Usually one use market data to calculate Pearson correlations between stock returns and construct a compete weighted graph, where weights of edges are given by ...
Added: May 18, 2022
Koldanov P., Ученые записки Казанского университета. Серия: Физико-математические науки 2018 Vol. 160 No. 2 P. 317-326
Identification of network structures using the finite-size sample has been considered.
The concepts of random variables network and network model, which is a complete weighted
graph, have been introduced. Two types of network structures have been investigated: network
structures with an arbitrary number of elements and network structures with a fixed number
of elements of the network model. The ...
Added: February 13, 2019
Vizgunov A. N., Глотов А. А., Трифонов Ю. В., В кн. : Инновационная экономика: регулирование и конкуренция. Материалы Десятой Международной научно-практической конференции, Нижний Новгород, 23–24 июня 2016 г. : Н. Новгород : Национальный исследовательский Нижегородский государственный университет им. Н.И. Лобачевского, 2017. С. 520-524.
Финансовый менеджмент предприятий России в настоящее время имеет возможность использовать инстру- менты фондовых рынков различных стран для размещения временно свободных денежных средств. Хорошим вариантом являются инвестиции в фондовый рынок, похожий на хорошо известный рынок России. Наш анализ с использованием сетевой модели фондового рынка показал, что ни один из рынков оставшихся стран БРИК не похож на ...
Added: December 22, 2017
Koldanov P., Kalyagin V. A., Bautin G. A., Annals of Mathematics and Artificial Intelligence 2016 Vol. 76 No. 1 P. 47-57
The problem of stock selection is disscused from different points of view. Three different sequentially rejective statistical procedures for stock selection are described and compared: Holm multiple test procedure, maximin multiple test procedure and multiple decision procedure. Properties of statistical procedures are studied for different loss functions. It is shown that conditional risk for additive loss ...
Added: February 3, 2015
Vizgunov A. N., Глотов А. А., В кн. : XIV Апрельская международная научная конференция по проблемам развития экономики и общества: в 4-х книгах. Книга 4. : М. : Издательский дом НИУ ВШЭ, 2014. С. 382-393.
В статье предлагается методика сравнения фондовых рынков разных стран на основе модели графа рынка и применение этой методики для сравнения фондовых рынков стран БРИК. Рассматриваются акции крупнейших предприятий России, Бразилии, Индии и Китая, анализируется динамика изменения характеристик соответствующих графов рынков. В результате проведенного анализа показано, что хотя фондовые рынки рассмотренных стран демонстрируют следование общим тенденциям, ...
Added: March 31, 2014
Vizgunov A. N., Наумова А. С., Вестник Воронежского государственного университета. Серия: Системный анализ и информационные технологии 2016 № 3 С. 111-115
The globalization process makes all countries stock markets similar to each other. In the paper we try to evaluate this process by analyzing the network models of some countries stock markets by means of neural networks. Our results show that each of the considered countries stock market has a peculiarity that can be used to ...
Added: November 29, 2016
Vizgunov A. N., Трифонов Ю. В., Вестник Нижегородского университета им. Н.И. Лобачевского. Серия: Экономика и финансы 2013 Т. 1 № 6 С. 285-289
The paper presents an analysis of the stocks traded on MICEX from 2007 to 2011. In order to analyze the data, we construct a market graph model. The vertices of the graph represent stocks; the edges represent strong similarity between considered stocks returns. We suggest using the following way to calculate the similarity measure: we ...
Added: February 7, 2014
Vizgunov Arsenii, Goldengorin B., Kalyagin V. A. et al., Computational Management Science 2014 Vol. 11 No. 1-2 P. 45-55
We consider a market graph model of the Russian stock market. To study the peculiarity of the Russian market we construct the market graphs for different time periods from 2007 to 2011. As characteristics of constructed market graphs we use the distribution of correlations, size and structure of maximum cliques, and relationship between return and ...
Added: August 20, 2013
Arsenii Vizgunov, Andrey Glotov, Pardalos P. M., , in : Models, Algorithms, and Technologies for Network Analysis. Vol. 59.: NY : Springer, 2013. Ch. 12. P. 191-201.
The paper presents the analysis of the network model referred to as market graph of the BRIC countries stock markets. We construct the stock market graph as follows: each vertex represents a stock, and the vertices are adjacent if the price correlation coefficient between them over a certain period of time is greater than or ...
Added: October 14, 2013
Koldanov A. P., Koldanov P.A., Springer Optimization and Its Applications 2014 Vol. 87 P. 205-216
Problem of construction of the market graph as a multiple decision statistical problem is considered. Detailed description of a optimal unbiased multiple decision statistical procedure is given. This procedure is constructed using the Lehmann’s theory of multiple decision statistical procedures and the conditional tests of the Neyman structures. The equations for thresholds calculation for the ...
Added: September 13, 2013