Comparing series of rankings with ties by using complex networks: An analysis of the spanish stock market (IBEX-35 index)

F. Pedroche, R. Criado, E. Garcia, M. Romance and V. E. Sanchez

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Abstract: In this paper we extend the concept of Competitivity Graph to compare series of rankings with ties ({\em partial rankings}). We extend the usual method used to compute Kendall's coefficient for two partial rankings to the concept of evolutive Kendall's coefficient for a series of partial rankings. The theoretical framework consists of a four-layer multiplex network. Regarding the treatment of ties, our approach allows to define a tie between two values when they are close {\em enough}, depending on a threshold. We show an application using data from the Spanish Stock Market; we analyse the series of rankings defined by $25$ companies that have contributed to the IBEX-35 return and volatility values over the period 2003 to 2013.

Date: 2014-07
New Economics Papers: this item is included in nep-fmk
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