Nonparametric Procedures for Testing Dynamics of Market Graph Degree of Vertices

Student: Kislitsyna Anastasiia

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

Educational Programme: Applied Mathematics and Information Science (Bachelor)

Final Grade: 9

Year of Graduation: 2021

The network model of a complex system is a complete weighted graph, where vertices correspond to the elements of the system. The edge weights are some similarity measures between the elements. Studying such network models, their network structures, or subgraphs, is analyzed. In this study, nonparametric procedures for checking the dynamics of network structures are proposed. The procedure under the study is based on the Wilcoxon sum of ranks test. This method is applied to random vectors from a multivariate normal distribution and to the stock returns of the American stock market. It is assumed that this tests have high power, and therefore can be used to analyze the network model of the stock market.

Full text (added May 20, 2021)

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses