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Applying Market Graphs for Russian Stock Market Analysis

Author

Listed:
  • Vizgunov, A.

    (National Research University Higher School of Economics, Nizhny Novgorod, Russia)

  • Goldengorin, B.

    (National Research University Higher School of Economics, Moscow Russia)

  • Zamaraev, V.

    (National Research University Higher School of Economics, Moscow Russia)

  • Kalyagin, V.

    (National Research University Higher School of Economics, Nizhny Novgorod, Russia)

  • Koldanov, A.

    (National Research University Higher School of Economics, Nizhny Novgorod, Russia)

  • Koldanov, P.

    (National Research University Higher School of Economics, Nizhny Novgorod, Russia)

  • Pardalos, P.

    (National Research University Higher School of Economics, Moscow Russia)

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.

Suggested Citation

  • Vizgunov, A. & Goldengorin, B. & Zamaraev, V. & Kalyagin, V. & Koldanov, A. & Koldanov, P. & Pardalos, P., 2012. "Applying Market Graphs for Russian Stock Market Analysis," Journal of the New Economic Association, New Economic Association, vol. 15(3), pages 66-81.
    • Handle: RePEc:nea:journl:y:2012:i:15:p:66-81
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    References listed on IDEAS

    as
    1. M. Tumminello & T. Di Matteo & T. Aste & R. N. Mantegna, 2007. "Correlation based networks of equity returns sampled at different time horizons," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 55(2), pages 209-217, January.
    2. R. Mantegna, 1999. "Hierarchical structure in financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 11(1), pages 193-197, September.
    3. Huang, Wei-Qiang & Zhuang, Xin-Tian & Yao, Shuang, 2009. "A network analysis of the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(14), pages 2956-2964.
    4. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    5. J.-P. Onnela & K. Kaski & J. Kertész, 2004. "Clustering and information in correlation based financial networks," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 38(2), pages 353-362, March.
    6. Boginski, Vladimir & Butenko, Sergiy & Pardalos, Panos M., 2005. "Statistical analysis of financial networks," Computational Statistics & Data Analysis, Elsevier, vol. 48(2), pages 431-443, February.
    7. Tumminello, Michele & Lillo, Fabrizio & Mantegna, Rosario N., 2010. "Correlation, hierarchies, and networks in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 75(1), pages 40-58, July.
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    Cited by:

    1. Koldanov, A. & Koldanov, P. & Semenov, D., 2021. "Confidence set for connected stocks of stock market," Journal of the New Economic Association, New Economic Association, vol. 50(2), pages 12-34.
    2. Kalyagin, V. & Koldanov, A. & Koldanov, P. & Pardalos, P., 2017. "Statistical Procedures for Stock Markets Network Structures Identification," Journal of the New Economic Association, New Economic Association, vol. 35(3), pages 33-52.

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    More about this item

    Keywords

    stock market; stock price; correlation coefficient; market graph; clique; independent set;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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