Simple measure of similarity for the market graph construction

Bautin, Grigory A.; Kalyagin, V. A.; Koldanov, A. P.; Koldanov, Petr A.; Pardalos, Pãnos M.

doi:10.1007/s10287-013-0169-3

Cited by 28 publications

(18 citation statements)

References 13 publications

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“…In particular, many papers have obtained applicable empirical results using real market data while exploring various structural features and aspects of market graph such as maximum cliques, maximum independent sets, degree distribution [16][17][18][19], clustering in Pearson correlation [20], dynamics of the US market graphs [21], complexity of market graph [22]. The papers [17,[23][24][25][26] examine distinct financial markets to find differences between them. Market graphs with measures of similarity diverse from correlation are under investigation in works [23,[27][28][29][30]].…”

Section: Market Network Constructionmentioning

confidence: 99%

“…The papers [17,[23][24][25][26] examine distinct financial markets to find differences between them. Market graphs with measures of similarity diverse from correlation are under investigation in works [23,[27][28][29][30]]. An analysis for estimation of reliability of market graph approach results was presented in [31].…”

Section: Market Network Constructionmentioning

confidence: 99%

“…The market graph constructed with use of the measure linearly dependent on the sign correlation was studied in [23,32]. The paper showed that the measure is capable for the analysis of the market graphs.…”

Section: Market Network Constructionmentioning

confidence: 99%

“…The paper showed that the measure is capable for the analysis of the market graphs. As pointed out in [23], the sign correlation has a few important differences from the Pearson correlation, which makes it more applicable to our analysis than the classical correlation.…”

Section: Market Network Constructionmentioning

confidence: 99%

“…In accordance with the efficient market hypothesis, it is assumed that stock prices of companies and their mutual behavior reflect all publicly available information about companies. Thus, economic and financial connections between companies may be reflected by the correlation of the log returns of company assets [15][16][17][18][19][20][21][22][23][24][25][26][27][28][29][30][31][32]. • Some researchers believed that a connection between companies arises, if both companies have common members of the board of directors [33][34][35][36][37].…”

Section: Introductionmentioning

confidence: 99%

See 4 more Smart Citations

Stability Analysis of Company Co-Mention Network and Market Graph Over Time Using Graph Similarity Measures

Faizliev

Balash

Petrov

et al. 2019

Journal of Open Innovation: Technology, Market, and Complexity

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The aim of the paper is to provide an analysis of news and financial data using their network representation. The formation of network structures from data sources is carried out using two different approaches: by building the so-called market graph in which nodes represent financial assets (e.g., stocks) and the edges between nodes stand for the correlation between the corresponding assets, by constructing a company co-mention network in which any two companies are connected by an edge if a news item mentioning both companies has been published in a certain period of time. Topological changes of the networks over the period 2005–2010 are investigated using the sliding window of six-month duration. We study the stability of the market graph and the company co-mention network over time and establish which of the two networks was more stable during the period. In addition, we examine the impact of the crisis of 2008 on the stability of the market graph as well as the company co-mention network. The networks that are considered in this paper and that are the objects of our study (the market graph and the company co-mention network) have a non-changing set of nodes (companies), and can change over time by adding/removing links between these nodes. Different graph similarity measures are used to evaluate these changes. If a network is stable over time, a measure of similarity between two graphs constructed for two different time windows should be close to zero. If there was a sharp change between the graphs constructed for two adjacent periods, then this should lead to a sharp increase in the value of the similarity measure between these two graphs. This paper uses the graph similarity measures which were proposed relatively recently. In addition, to estimate how the networks evolve over time we exploit QAP (Quadratic Assignment Procedure). While there is a sufficient amount of works studying the dynamics of graphs (including the use of graph similarity metrics), in this paper the company co-mention network dynamics is examined both individually and in comparison with the dynamics of market graphs for the first time.

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Section: Market Network Constructionmentioning

confidence: 99%

Section: Market Network Constructionmentioning

confidence: 99%

Section: Market Network Constructionmentioning

confidence: 99%

Section: Market Network Constructionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Stability Analysis of Company Co-Mention Network and Market Graph Over Time Using Graph Similarity Measures

Faizliev

Balash

Petrov

et al. 2019

Journal of Open Innovation: Technology, Market, and Complexity

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Networks in economics and finance in Networks and beyond: A half century retrospective

Nagurney

2019

Networks

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This paper presents a panoramic view of research on economic and financial networks in the journal Networks, since its inception half a century ago. This paper focuses on both the breadth and depth of the journal articles, and within the context of earlier contributions, as well as more recent related ones in other scientific publications. From network optimization to game theory and a plethora of equilibrium concepts, along with novel dynamical systems frameworks, the journal has led the way in advancing economic and financial network models, algorithms, and applications. Moreover, Networks has helped to attract researchers in a variety of disciplines to the science of networks and the formulation and solution of associated problems drawn from the real world. KEYWORDS economic networks, financial equilibrium, financial networks, game theory, projected dynamical systems, spatial price equilibrium, variational inequalities 1 INTRODUCTION Networks, from transportation and logistical ones, to communications and energy, have provided the foundation and connectivity for the flow of people, and the exchange of goods, information, and services across space and time. Intimately related to such physical networks, in which the identification of nodes, links, and associated flows with physical entities is well-understood, are economic and financial networks. The importance of all such network systems to the functioning of our societies and economies, coupled with the need to understand their interrelationships, has spurred numerous advances in methodologies for their modeling, analysis, and solution, under different behavioral concepts associated with usage and management. The origins of network theory can be traced back to the 1700s, to the classical paper of Euler [64], the earliest paper on graph theory. By a graph in this context is meant, mathematically, a means of abstractly representing a system by its representation in terms of vertices (or nodes) and edges (arcs or, equivalently, links) joining pairs of vertices. Euler sought to determine whether it was possible to walk around Königsberg (later renamed Kaliningrad) by crossing the seven bridges over the River Pregel exactly once. The problem was depicted as a graph with the vertices representing land masses and the edges-bridges. Interestingly, one of the first network models was for a financial system. Specifically, Quesnay [188], in his Tableau Economique, conceptualized the circular flow of financial funds in an economy as a network. His fundamental idea has been utilized in the construction of financial flow of funds accounts, which provide a statistical description of the flows of money and credit in an economy [37]. This work also inspired the first paper on financial networks in Networks, by Nagurney and Hughes [144]. The network model, with an accompanying decomposition algorithm, can be applied to calculate reconciled values of outstanding financial instruments, tangible assets, and net worth. The reconciled dataset can then be utilized as a base line for ...

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Comparative Analysis of Two Similarity Measures for the Market Graph Construction

Bautin

Kalyagin

Koldanov

2013

Springer Proceedings in Mathematics &Amp; Statistics

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Simple measure of similarity for the market graph construction

Cited by 28 publications

References 13 publications

Stability Analysis of Company Co-Mention Network and Market Graph Over Time Using Graph Similarity Measures

Stability Analysis of Company Co-Mention Network and Market Graph Over Time Using Graph Similarity Measures

Networks in economics and finance in Networks and beyond: A half century retrospective

Comparative Analysis of Two Similarity Measures for the Market Graph Construction

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