Analysis of weakly correlated nodes in market network

Dmitry Semenov (), Alexander Koldanov () and Petr Koldanov ()
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Dmitry Semenov: National Research University Higher School of Economics
Alexander Koldanov: National Research University Higher School of Economics
Petr Koldanov: National Research University Higher School of Economics

Computational Management Science, 2024, vol. 21, issue 1, No 18, 18 pages

Abstract: Abstract 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: Market network; Stock return; Correlation; Histogram of vertices degrees; Degrees distribution; Hubs; Independent sets (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10287-023-00499-3

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