Network Structures Uncertainty for Different Markets

Valery A. Kalyagin (), Petr A. Koldanov and Victor A. Zamaraev
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Valery A. Kalyagin: National Research University Higher School of Economics, Nizhny Novgorod
Petr A. Koldanov: National Research University Higher School of Economics, Nizhny Novgorod
Victor A. Zamaraev: National Research University Higher School of Economics, Nizhny Novgorod

A chapter in Network Models in Economics and Finance, 2014, pp 181-197 from Springer

Abstract: Abstract Network model of stock market based on correlation matrix is considered. In the model vector of stock returns is supposed to have 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 markets for different countries. For each market statistical uncertainty of different structures is compared. It is observed that despite diversity the results of comparison are nearly the same for different markets. This leads to conjecture that there is some unknown common feature in different market networks.

Keywords: Statistical uncertainty; Market network analysis; Conditional risk; Minimum spanning tree; Market graph (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/978-3-319-09683-4_10

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