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Regular version of the site

Book chapter

Statistical Uncertainty of Market Network Structures

P. 91-94.
Koldanov P., Pardalos P. M., Zamaraev V. A.

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 obtained results. However as far as we know there are no relevant research in the literature. In the present paper we maake the first step in this direction. We propose the approach to measure statistical uncertainty of different market network structures. This approach is based on conditional risk for corresponding multiple decision statistical procedures. The proposed appoach is illustrated by numerical evaluation of statistical ucertainty for popular network structures. Our experimental study validates the possibility of application of the  approach for comparison of uncerttainty of different network structures.