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Statistical Uncertainty of Market Network Structures

Authors:
Petr Koldanov
Panos M. Pardalos
Victor Zamaraev

Keywords: Statistical uncertainty; Market network model; Conditional risk; Minimum Spanning Tree; Market Graph

Abstract:
A common network representation of the stock market is based on correlations of time series of return fluctuations. It is well-known that financial time series have a stochastic nature. Therefore, there is uncertainty in inferences about filtered structures in market network. Thus, market network analysis needs to be complemented by estimation of uncertainty of the obtained results. However, as far as we know there are no relevant research in the literature. In the present paper we make the first step in this direction. We propose the approach to measure statistical uncertainty of different market network structures. This approach is based on conditional risk for corresponding multiple decision statistical procedures. The proposed approach is illustrated by numerical evaluation of statistical uncertainty for popular network structures. Our experimental study validates the possibility of application of the approach for comparison of uncertainty of different network structures.

Pages: 91 to 94

Copyright: Copyright (c) IARIA, 2014

Publication date: August 24, 2014

Published in: conference

ISSN: 2308-4464

ISBN: 978-1-61208-358-2

Location: Rome, Italy

Dates: from August 24, 2014 to August 28, 2013