Applying Market Graphs for Russian Stock Market Analysis

A. Vizgunov, B. Goldengorin, V. Zamaraev, V. Kalyagin, A. Koldanov, P. Koldanov and P. Pardalos
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A. Vizgunov: National Research University Higher School of Economics, Nizhny Novgorod, Russia
B. Goldengorin: National Research University Higher School of Economics, Moscow Russia
V. Zamaraev: National Research University Higher School of Economics, Moscow Russia
V. Kalyagin: National Research University Higher School of Economics, Nizhny Novgorod, Russia
A. Koldanov: National Research University Higher School of Economics, Nizhny Novgorod, Russia
P. Koldanov: National Research University Higher School of Economics, Nizhny Novgorod, Russia
P. Pardalos: National Research University Higher School of Economics, Moscow Russia

Journal of the New Economic Association, 2012, vol. 15, issue 3, 66-81

Abstract: We study the structural properties of Russian stock market by means of analysis of the corresponding market graph. For this graph we found the distribution of correlations, edge density, maximum cliques and maximum independent sets. We also study the evolution of the structural properties of the market graph over the time.

Keywords: stock market; stock price; correlation coefficient; market graph; clique; independent set (search for similar items in EconPapers)
JEL-codes: C02 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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