Measures of uncertainty in market network analysis

Statistical uncertainty of different filtration techniques for market network analysis is studied. Two measures of statistical uncertainty are discussed. One is based on conditional risk for multiple decision statistical procedures and another one is based on average fraction of errors. It is shown...

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Published inarXiv.org
Main Authors Kalyagin, V A, Koldanov, A P, Koldanov, P A, Pardalos, P M, Zamaraev, V A
Format Paper Journal Article
LanguageEnglish
Published Ithaca Cornell University Library, arXiv.org 10.11.2013
Subjects
Graph theory
Markets
Network analysis
Physics - Data Analysis, Statistics and Probability
Quantitative Finance - Statistical Finance
Uncertainty analysis
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Summary:Statistical uncertainty of different filtration techniques for market network analysis is studied. Two measures of statistical uncertainty are discussed. One is based on conditional risk for multiple decision statistical procedures and another one is based on average fraction of errors. It is shown that for some important cases the second measure is a particular case of the first one. Statistical uncertainty for some popular market network structures is analyzed. Results of numerical evaluation of statistical uncertainty for minimum spanning tree, market graph, maximum cliques and maximum independent sets are given. The most stable structures are derived.
ISSN:2331-8422
DOI:10.48550/arxiv.1311.2273