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...

We study the structural properties of Russian stock market by means of analysis of the corresponding market graph. For this graph we found the distribution of correlations, edge density, maximum cliques and maximum independent sets. We also study the evolution of the structural properties of the...

We consider a market graph model of the Russian stock market. To study the peculiarity of the Russian market we construct the market graphs for different time periods from 2007 to 2011. As characteristics of constructed market graphs we use the distribution of correlations, size and structure of...