Comparative Analysis of Financial Network Topology for the Russian, Chinese and US Stock Markets

Author:

Balash Vladimir1,Sidorov Sergei2,Faizliev Alexey2,Chekmareva Alfia2,Grigoriev Alexey1,Melnichuk Dmitriy1

Affiliation:

1. Saratov State University, Faculty of Mechanics and Mathematics, RUSSIAN FEDERATION

2. Saratov State University, Risk Institute, RUSSIAN FEDERATION

Abstract

This paper studies the properties of the Russian stock market by employing the data-driven science and network approaches. The theory of complex networks allows us to build and examine topological network structures of the market with the further identification of relationships between stocks and the analysis of hidden information and market dynamics. In this paper we will present an analysis of structural and topological properties of the Russian stock market using market graph, hierarchical tree, minimum spanning tree approaches. We compare topological properties of the networks constructed for the US and China stock markets with the properties of corresponding networks constructed for the Russian stock market using a dataset spanning over eight years.

Publisher

World Scientific and Engineering Academy and Society (WSEAS)

Subject

Economics and Econometrics,Finance,Business and International Management

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