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The homogeneity of stock returns connections and rejection graph

Student: Mariia Voronina

Supervisor: Petr Koldanov

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

Educational Programme: Data Mining (Master)

Final Grade: 8

Year of Graduation: 2018

Market network analysis attracts a growing attention last decades. One of the most important problems related with it is the detection of dynamics in market network. In the present paper the stock market network of stock’s returns is considered. Probability of sign coincidence of stock’s returns is used as the measure of similarity between stocks. Robust (distribution free) multiple testing statistical procedure for testing dynamics of network is proposed. The constructed procedure is applied for German, French, UK and USA market. It is shown that in most cases where the dynamics is observed it is determined by a small number of hubs in the associated rejection graph.

Full text (added May 11, 2018)

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