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Robust Statistical Procedures for Testing Dynamics in Market Network
P. 135–142.
Koldanov A. P., Voronina M.
Market network analysis attracts a growing attention last decades. One of the most important problems related with it is the detection of dynamics in market network. In the present paper, the stock market network of stock’s returns is considered. Probability of sign coincidence of stock’s returns is used as the measure of similarity between stocks. Robust (distribution free) multiple testing statistical procedure for testing dynamics of network is proposed. The constructed procedure is applied for German, French, UK, and USA market. It is shown that in most cases where the dynamics is observed it is determined by a small number of hubs in the associated rejection graph.
In book
Valery A. Kalyagin, Panos M. Pardalos, Oleg Prokopyev, Irina Utkina Vol. 247. , Springer, 2018.
Haniev A., Suhih V., Journal of Applied Economic Research 2025 Т. 24 № 1 С. 319–343
This study examines the impact of ESG indicators on the financial well-being of shareholders in Russian companies. Using data from publicly traded non-financial companies in Russia for the period 2018–2023, the analysis focuses on the overall ESG rating and its components – environmental (E), social (S), and governance (G) – in the context of their ...
Added: December 11, 2025
Larin A. V., Ryabova E., Чепурова В. А., Финансы и бизнес 2024 Т. 20 № 3 С. 19–31
In recent years, there have been significant changes in the field of sustainable development, with international and national regulations regulating non-financial reporting being adopted. Quite often, stock exchanges set their own requirements for companies, including those issuing “green” instruments. Thus, an institutional environment is formed that supports and stimulates the sustainable development agenda. In such ...
Added: January 2, 2025
Koldanov P., Alexander Koldanov, Semenov D., Operations Research Forum 2024 Vol. 5 Article 116
The issue of identifying sets of weakly correlated stocks is explored. Four distinct
methods for constructing these sets are compared: the traditional approach using
Pearson correlation, the traditional approach using Kendall correlation, and multi
ple hypothesis testing methods, which apply both Pearson and Kendall correlations.
To derive specific findings, we analyze daily returns of a selection of stocks listed ...
Added: December 14, 2024
МакНайт Ф. Д., Managerial Finance 2016 Vol. 42 Article 11
Added: November 13, 2024
Haniev A., Journal of Applied Economic Research 2024 Vol. 23 No. 3 P. 833–854
This study examines the impact of intangible assets on stock returns in the U.S. using the Drucker Institute indices, which assess companies based on customer satisfaction, employee engagement and development, innovation, social responsibility, and financial stability. The relevance of this study lies in the growing importance of considering non-financial indicators in investment decision-making. The objective ...
Added: September 10, 2024
Riabykh A., Surzhko D., Konovalikhin M. et al., PeerJ Computer Science 2022 Vol. 8 Article e1156
Open text data, such as financial news, are thought to be able to affect or to describe stock market behavior, however, there are no widely accepted algorithms for extracting the relationship between stock quotes time series and fast-growing textual representation of economic information. The field remains challenging and understudied. In particular, topic modeling as a ...
Added: December 18, 2022
Maksim Kopyrin, Naidenova I. N., Journal of Corporate Finance Research 2021 Vol. 15 No. 2 P. 5–15
Information about companies published in a news feed is invariably tinted by emotional tonality. As such, resulting
perceptions may influence the opinion of market players, and consequently affect the dynamics of a company’s share
price. This study aims to evaluate various hypotheses about the impact of the tone of news items regarding dividends,
capital expenditures, and development on ...
Added: June 16, 2021
Dmitri Trifonov, / Series WP BRP "Basic research program". 2020. No. 230/EC/2020.
This paper provides comprehensive empirical evidence on political connections of Russian corporations based on a sample of companies for the period 2011 – 2015, divided into subsamples before and after the events in Ukraine. Specifically, the study (1) evaluates how common political connections are for Russian corporate environment, and (2) investigates the impact of political ...
Added: March 24, 2021
Trifonov D., Journal of Behavioral and Experimental Finance 2021 Vol. 29 Article 100458
This paper provides comprehensive empirical evidence on political connections of Russian corporations based on a sample of companies for the period 2011–2015 (divided into subsamples before and after the events in Ukraine). Based on a unique database, the study (1) evaluates how common political connections are for Russian corporate environment, and (2) investigates the impact ...
Added: March 24, 2021
Koldanov P., Journal of Mathematical Sciences 2020 Vol. 248 No. 1 P. 129–137
It is proved that sign network with elliptical distribution with known shift parameter is equivalent
to sign network with elliptical distribution with unknown shift parameter estimated as sample mean.
This result is proved for the case of independent identically distributed observation and for the case
of sample from matrix elliptically contoured distribution with any dependence between observations. ...
Added: May 31, 2020
Klemashev N., Труды Московского физико-технического института 2018 Т. 10 № 2 С. 99–108
In this paper I study the crisis on Chinese stock market in the end of August 2015. I show that the crisis may be described as the change of preferences of the main investors, and that during several months one needs to consider two representative consumers with different utility functions in order to describe the ...
Added: March 5, 2019
Dranev Y., Frolova K., Ochirova E., Research in International Business and Finance 2019 Vol. 48 P. 353–364
Technological development and digitalization plays a crucial role in financial sector by allowing firms to create value in a rapidly changing environment. The acquisitions of firms related to financial technologies are one of the ways to obtain vital knowledge. In order to identify the fintech companies we are looking at firms that are involved in business activities in both ...
Added: February 14, 2019
Koldanov P., , in: Computational Aspects and Applications in Large-Scale Networks. Springer Proceedings in Mathematics & StatisticsVol. 247.: Springer, 2018. P. 289–297.
Invariance properties of statistical procedures for threshold graph identification are considered. An optimal procedure in the class of invariant multiple decision procedures is constructed. ...
Added: October 11, 2018
Воронина М., Koldanov P., , in: Models, Algorithms, and Technologies for Network Analysis. Springer Proceedings in Mathematics & StatisticsVol. 197.: Springer, 2017. P. 163–174.
The problem of stability of connections of stock returns over time is considered. This problem is formulated as a multiple testing problem of homogeneity of covariance matrices. A statistical procedure based on Box’s M-test and Bonferroni correction is proposed. This procedure is applied to French and German stock markets. ...
Added: March 12, 2018
Kholodilin K., Journal of Forecasting 2014 Vol. 33 No. 1 P. 15–31
We evaluate the informational content of ex post and ex ante predictors of periods of excess stock (market) valuation. For a cross section comprising 10 OECD economies and a time span of at most 40 years alternative binary chronologies of price bubble periods are determined. Using these chronologies as dependent processes and a set of ...
Added: April 17, 2017
Peresetsky A., Yakubov R., International Journal of Computational Economics and Econometrics 2017 Vol. 7 No. 1-2 P. 152–169
In this paper, a Kalman filter-type model is used to extract a global stochastic trend from discrete non-synchronous data on daily stock market index returns from different markets. The model allows for the autocorrelation in the global stochastic trend, which means that its increments are predictable. It does not necessarily mean the predictability of market ...
Added: January 4, 2017
Latyshev A., Koldanov P., , in: Models, Algorithms, and Technologies for Network Analysis / From the 4th International Conference on Network Analysis.: NY: Springer, 2016. P. 175–182.
The connection between the sign correlation of Fechner and the classic Pearson correlation is studied. The sign correlation is linearly connected with the probability of the coincidence of the signs of random variables. One of the features of this measure is its simplicity. Therefore it can be used as an alternative measure of similarity between ...
Added: December 13, 2015