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Statistical Uncertainty of Market Network Structures
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 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.
ЦЫГАНКОВА Е. П., Koldanov P., В кн.: Математическое и компьютерное моделирование в экономике, страховании и управлении рисками: сборник статей. Выпуск 10. Материалы XIV Научно-практической конференции. Саратов, 20–22 ноября 2025 г.Вып. 10.: Саратов: Саратовский университет, 2025.
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 ...
Added: July 20, 2026
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
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
Zhang B., Guan X., Pardalos P. M. et al., Journal of Global Optimization 2021 Vol. 79 P. 757–777
We consider the lower bounded inverse optimal value problem on minimum spanning tree under unit l∞lnorm. Given an edge weighted connected undirected network G=(V,E,w), a spanning tree T0, a lower bound vector l and a value K, we aim to find a new weight vector w respecting the lower bound such that T0 is a minimum spanning tree under the vector w with weight K, and the objective ...
Added: March 2, 2021
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
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
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
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
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
Koldanov P., Bautin G. A., , in: Learning and Intelligent Optimization.Vol. 8426: Lectute Notes in Computer Science.: Switzerland: Springer, 2014. P. 98–110.
Added: September 15, 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