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Applying Market Graphs for Russian Stock Market Analysis

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Author Info

  • 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.

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Bibliographic Info

Article provided by New Economic Association in its journal Journal of the New Economic Association.

Volume (Year): 15 (2012)
Issue (Month): 3 ()
Pages: 66-81

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Handle: RePEc:nea:journl:y:2012:i:15:p:66-81

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Keywords: stock market; stock price; correlation coefficient; market graph; clique; independent set;

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  1. 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.
  2. M. Tumminello & T. Di Matteo & T. Aste & R. N. Mantegna, 2006. "Correlation based networks of equity returns sampled at different time horizons," Papers physics/0605251, arXiv.org, revised Apr 2007.
  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. Rosario N. Mantegna, 1998. "Hierarchical Structure in Financial Markets," Papers cond-mat/9802256, arXiv.org.
  5. J.-P. Onnela & K. Kaski & J. Kert├ęsz, 2004. "Clustering and information in correlation based financial networks," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 38(2), pages 353-362, 03.
  6. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
  7. 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.
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