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Network Structures Uncertainty for Different Markets

In: Network Models in Economics and Finance

Author

Listed:
  • Valery A. Kalyagin

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

  • Petr A. Koldanov

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

  • Victor A. Zamaraev

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

Abstract

Network model of stock market based on correlation matrix is considered. In the model vector of stock returns is supposed to have multivariate normal distribution with given correlation matrix. Statistical uncertainty of some popular market network structures is analyzed by numerical simulation for network models of stock markets for different countries. For each market statistical uncertainty of different structures is compared. It is observed that despite diversity the results of comparison are nearly the same for different markets. This leads to conjecture that there is some unknown common feature in different market networks.

Suggested Citation

  • Valery A. Kalyagin & Petr A. Koldanov & Victor A. Zamaraev, 2014. "Network Structures Uncertainty for Different Markets," Springer Optimization and Its Applications, in: Valery A. Kalyagin & Panos M. Pardalos & Themistocles M. Rassias (ed.), Network Models in Economics and Finance, edition 127, pages 181-197, Springer.
    • Handle: RePEc:spr:spochp:978-3-319-09683-4_10
    DOI: 10.1007/978-3-319-09683-4_10
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