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ОБНАРУЖЕНИЕ ДИНАМИКИ ГРАФА ФОНДОВОГО РЫНКА РОССИИ
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ЦЫГАНКОВА Е. П., Koldanov P.
The task of analyzing the dynamics of the market graph is to determine whether the observed changes in the market graph are systematic or if such changes can be explained by random fluctuations in correlation estimates on the market. The work proposes a test for detecting market graph dynamics and a procedure for constructing a statistically significant set of stock pairs responsible for the market graph's dynamics, as well as a set of stock pairs whose correlation changes do not lead to market graph dynamics. The results of applying the proposed statistical procedures to the analysis of the market graph, based on key stocks of the MICEX, are presented. It is shown that the commonly used procedure for detecting market graph dynamics often leads to statistically unjustified conclusions.
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Вып. 10. , Саратов: Саратовский университет, 2025.
Koldanov A. P., Koldanov P., Semenov D., Журнал Новой экономической ассоциации 2025 № 1(66) С. 54–74
The problem of connections’ analysis between the stock returns is considered. The connections are measured by traditional Pearson correlation as well as rank Kendall correlation. Different measures of uncertainty conclusions on connections in the stock markets based on separation of the conclusions by significant and admissible are proposed. The proposed measures of uncertainty include the ...
Added: December 3, 2024
Kalyagin V. A., Koldanov A. P., Koldanov P. et al., Annals of Operations Research 2018 Vol. 266 No. 1-2 P. 313–327
Research into the market graph is attracting increasing attention in stock market analysis. One of the important problems connected with the market graph is its identification from observations. The standard way of identifying the market graph is to use a simple procedure based on statistical estimations of Pearson correlations between pairs of stocks. Recently a ...
Added: May 17, 2017
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
Koldanov P., Kalyagin V. A., Koldanov A. P. et al., , in: Optimization oi Science and Engineering (In Honor of the 60th Birthday of Panos M. Pardalos).: NY: Springer, 2014. Ch. 15 P. 301–313.
Market graph is known to be a useful tool for market network analysis. Cliques and independent sets of the market graph give an information about con- centrated dependent sets of stocks and distributed independent sets of stocks on the market. In the present paper the connections between market graph and classical Markowitz portfolio theory are ...
Added: October 3, 2014
Vizgunov A. N., Трифонов Ю. В., В кн.: Инновационная экономика XXI века. Материалы Девятой Международной научно-практической конференции.Т. 2.: Н. Новгород: Нижегородский государственный университет им. Н.И. Лобачевского, 2013. С. 1126–1128.
Для анализа современного рынка ценных бумаг с целью построения сбалансированного портфеля инвестиций используются как классические подходы, так и методы, появившиеся сравнительно недавно. В основе одной из групп таких методов лежит теория графов. Представление наблюдаемой экономической системы в виде графа позволяет отразить сложность и взаимосвязанность объектов наблюдаемой экономической системы. В работе представлены результаты применения модели графа ...
Added: May 15, 2014
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., 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
Arsenii Vizgunov, Andrey Glotov, Pardalos P. M., , in: Models, Algorithms, and Technologies for Network AnalysisVol. 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
Vizgunov A. N., Вестник Воронежского государственного университета. Серия: Системный анализ и информационные технологии 2013 № 1 С. 119–125
Процесс глобализации затрагивает каждого в наши дни, но до сих пор в академических кругах и среди практиков не сложилось четкого определения, что такое глобализация и как можно ее измерить. В статье проводится исследование влияния глобализации фондового рынка России путем построения и анализа графовой модели. В ходе анализа исследуется размер и состав максимальных клик построенного графа ...
Added: October 14, 2013
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
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
Vizgunov A. N., Goldengorin B. I., Zamaraev V. A. et al., Журнал Новой экономической ассоциации 2012 № 3(15) С. 66–81
В работе исследуется структура фондового рынка России на основе анализа рыночного графа. Найдены распределения корреляций ценных бумаг, плотность ребер рыночного графа, размеры и составы максимальных клик и независимых множеств. Показано, как результаты зависят от изменения временного интервала анализа. ...
Added: November 15, 2012