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Analysis of weakly correlated nodes in market network
Computational Management Science. 2024. Vol. 21. Article 18.
The aim of the article is to analyze graphs of weakly correlated stocks. Characteristics
of these graphs such as number of edges, histogram of vertices degrees, degrees
distribution, hubs and cliques are investigated. Pearson correlation and Kendall correlation
are used to construct these graphs. Graphs constructed by the traditional
procedure and by Holm procedure are compared. Obtained results are exemplified
on the data of French stock market. In particular it is shown that reliable maximum
cliques contain very few nodes despite the large number of edges in the graph of
weakly correlated stocks.
Keywords: correlation independent setsHubsMarket networkStock returnHistogram of vertices degreesDegrees distribution
Publication based on the results of:
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Vukovic D., Lapshina K., Moinak M., North American Journal of Economics and Finance 2021 Vol. 58 No. 2021 Article 101457
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instruments in two regions is inter-correlated before, during and after the financial
crisis of 2008. We apply the econometric analysis and estimate time-series models of
class GARCH to study the historical ...
Added: May 5, 2021