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The Application of Quasi-clique Pattern for Analyzing the Stock Market Model

Student: Kondratev Nikita

Supervisor: Arseniy Nikolayevich Vizgunov

Faculty: Faculty of Informatics, Mathematics, and Computer Science (HSE Nizhny Novgorod)

Educational Programme: Business Informatics (Bachelor)

Year of Graduation: 2016

Previous research has focused on applying network approaches to stock market analysis. Besides quasi-clique pattern is one of the most popular methods for analyzing graphs and networks, it is time-consuming to adopt quasi-clique model for practical use. This paper aims to construct the possible extension of the original quasi-clique pattern in order to reduce time of detection quasi-cliques in large graphs and apply it to Russian stock market analysis. I employed the following methods to achieve the aim of the research. Modeling will be used for constructing original and extended quasi-clique models. Programming will allow to solve quasi-clique problems via MIP approach and heuristic-based algorithm. Parsing will be the method of collecting experimental data. The extended quasi-clique model and the table with sets of correlated Russian stocks will be presented in the results. The findings can support the prediction that extended quasi-clique model may be applied for practical use on experimental data and heuristic-based algorithm is quite efficient for Russian stock market analysis.

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