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Statistical Uncertainty of Minimum Spanning Tree in Market Network

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Book cover Models, Algorithms and Technologies for Network Analysis (NET 2014)

Part of the book series: Springer Proceedings in Mathematics & Statistics ((PROMS,volume 156))

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Abstract

The paper deals with uncertainty in market network analysis. The main problem addressed is to investigate statistical uncertainty of Kruskal algorithm for the minimum spanning tree in market network. Uncertainty of Kruskal algorithm is measured by the probability of q incorrectly included edges. Numerical experiments are conducted with the returns of a set of 100 financial instruments traded in the US stock market over a period of 250 days in 2014. Obtained results help to estimate the reliability of minimum spanning tree in market network analysis.

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References

  1. Kalyagin, V.A., Koldanov, A.P., Koldanov, P.A., Pardalos, P.M., Zamaraev, V.A.: Measures of uncertainty in market network analysis. Physica A 413 (1), 59–70 (2014)

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Acknowledgements

This work is partly supported by Russian Federation Government grant, N. 11.G34.31.0057, RFBR grant 14-01-00807, and HSE Scientific Fund 15-09-0239.

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Authors and Affiliations

  1. National Research University Higher School of Economics, 136, Rodionova Str., Nizhny Novgorod, Russia

    Anastasia Komissarova & Petr Koldanov

Authors
  1. Anastasia Komissarova
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  2. Petr Koldanov
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Corresponding author

Correspondence to Petr Koldanov .

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Editors and Affiliations

  1. Laboratory of Algorithms and Technologies for Network Analysis (LATNA), National Research University Higher School of Economics, Nizhny Novgorod, Russia

    Valery A. Kalyagin

  2. Laboratory of Algorithms and Technologies for Network Analysis (LATNA), National Research University Higher School of Economics, Nizhny Novgorod, Russia

    Petr A. Koldanov

  3. Department of Industrial and System Engineering, Center for Applied Optimization University of Florida, Gainesville, Florida, USA

    Panos M. Pardalos

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Komissarova, A., Koldanov, P. (2016). Statistical Uncertainty of Minimum Spanning Tree in Market Network. In: Kalyagin, V., Koldanov, P., Pardalos, P. (eds) Models, Algorithms and Technologies for Network Analysis. NET 2014. Springer Proceedings in Mathematics & Statistics, vol 156. Springer, Cham. https://doi.org/10.1007/978-3-319-29608-1_10

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