Proceedings of the Third Workshop on Computer Modelling in Decision Making (CMDM 2018)

Analysis of the Dynamics of Market Graph Characteristics

Authors
Alexey Faizliev, Vladimir Balash, Andrey Vlasov, Tatiana Tryapkina, Sergei Mironov, Ivan Androsov, Vladimir Petrov
Corresponding Author
Alexey Faizliev
Available Online February 2019.
DOI
https://doi.org/10.2991/cmdm-18.2019.3How to use a DOI?
Keywords
network analysis, market graph, degree distribution, maximum clique
Abstract
In recent years the network models have been successfully employed for the analysis of the stock market. The network model of the stock market is defined as a full weighted graph, which vertices correspond to the returns of market assets, and the weights of the edges are determined by the measure of its interdependencies. To obtain important information from the network model, many researches extract subgraphs, which are called network structures. One of the most popular network structures is the so called market graph. In this paper the market graph is constructed as follows: each company is a node and the value of sign correlation between assets of the two stocks establishes a link between them. Network analysis is carried out for the companies whose shares are traded on the NYSE and NASDAQ for the period from November 22, 2013 to November 10, 2017. It was shown that distribution of degrees and clustering coefficient for our network follows the power law.
Open Access
This is an open access article distributed under the CC BY-NC license.

Download article (PDF)

Proceedings
Third Workshop on Computer Modelling in Decision Making (CMDM 2018)
Part of series
Advances in Computer Science Research
Publication Date
February 2019
ISBN
978-94-6252-674-7
ISSN
2352-538X
DOI
https://doi.org/10.2991/cmdm-18.2019.3How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Alexey Faizliev
AU  - Vladimir Balash
AU  - Andrey Vlasov
AU  - Tatiana Tryapkina
AU  - Sergei Mironov
AU  - Ivan Androsov
AU  - Vladimir Petrov
PY  - 2019/02
DA  - 2019/02
TI  - Analysis of the Dynamics of Market Graph Characteristics
BT  - Third Workshop on Computer Modelling in Decision Making (CMDM 2018)
PB  - Atlantis Press
SP  - 13
EP  - 19
SN  - 2352-538X
UR  - https://doi.org/10.2991/cmdm-18.2019.3
DO  - https://doi.org/10.2991/cmdm-18.2019.3
ID  - Faizliev2019/02
ER  -