Coherence Analysis of Financial Analysts’ Recommendations in the Framework of Evidence Theory

P. 12–23.

Bronevich A., Lepskiy A., Penikas H. I.

This article is devoted to the analysis of coherence of financial recommendations with respect to securities of the Russian companies. The study is based on the analysis of approximately 4000 recommendations and forecasts of 23 investment banks with respect to around forty securities of Russian stock market over the period of 2012-2014 years. The predictive history of each of the investment bank was considered as evidence in the framework of evidence theory. The coherence of recommendations was evaluated with the help of the so-called conflict measure between the evidence, which determined on the subsets of the set of all evidence. Then the study of coherence was reduced to analysis of values of the conflict measure. This analysis was performed with the help of game-theoretic methods (Shapley index, interaction index), network analysis methods (centralities), fuzzy relation methods, hierarchical clustering methods.

Keywords: network analysis, conflict measure, hierarchical clustering, analysts' recommendations, interaction index

Publication based on the results of: Development and research of new mathematical models in socio-economic and political spheres (2016)

In book

SCAKD 2016 – The Second International Workshop on Soft Computing Applications and Knowledge Discovery. Proceedings of the Second International Workshop on Soft Computing Applications and Knowledge Discovery. July 18, 2016

Vol. 1687. , CEUR Workshop Proceedings, 2016.