Analysis of weakly correlated nodes in market network

被引：1
|
作者：
Semenov, Dmitry [1 ]
Koldanov, Alexander [1 ]
Koldanov, Petr [1 ]
机构：
[1] Natl Res Univ Higher Sch Econ, Lab Algorithms & Technol Network Anal, 136 Rodionova St, Nizhnii Novgorod 603093, Russia
来源：
COMPUTATIONAL MANAGEMENT SCIENCE | 2024年 / 21卷 / 01期
基金：
俄罗斯科学基金会;
关键词：
Market network; Stock return; Correlation; Histogram of vertices degrees; Degrees distribution; Hubs; Independent sets;
D O I：
10.1007/s10287-023-00499-3
中图分类号：
O1 [数学]; C [社会科学总论];
学科分类号：
03 ; 0303 ; 0701 ; 070101 ;
摘要：
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.
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页数：18
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