Pedroche Sánchez, F.; Criado, R.; García, EH.; Romance, M.; Sánchez, VE. (2015). Comparing series of rankings with ties by using complex networks: An analysis of the Spanish stock market (IBEX-35 index). Networks and Heterogeneous Media. 10(1):101-125. https://doi.org/10.3934/nhm.2015.10.101
Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/67097
Título:
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Comparing series of rankings with ties by using complex networks: An analysis of the Spanish stock market (IBEX-35 index)
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Autor:
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Pedroche Sánchez, Francisco
Criado, Regino
García, Esther Higueras
Romance, Miguel
Sánchez, Victoria E.
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Entidad UPV:
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Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada
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Fecha difusión:
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Resumen:
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In this paper we extend the concept of Competitivity Graph to
compare series of rankings with ties (partial rankings). We extend the usual
method used to compute Kendall's coe cient for two partial rankings to the
...[+]
In this paper we extend the concept of Competitivity Graph to
compare series of rankings with ties (partial rankings). We extend the usual
method used to compute Kendall's coe cient for two partial rankings to the
concept of evolutive Kendall's coe cient for a series of partial rankings. The
theoretical framework consists of a four-layer multiplex network. Regarding
the treatment of ties, our approach allows to de ne a tie between two values
when they are close enough, depending on a threshold. We show an application
using data from the Spanish Stock Market; we analyse the series of rankings
de ned by 25 companies that have contributed to the IBEX-35 return and
volatility values over the period 2003 to 2013.
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Palabras clave:
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Ranking analysis
,
Competitiveness
,
Competitivity graphs
,
Volatility
,
Return
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Derechos de uso:
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Reserva de todos los derechos
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Fuente:
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Networks and Heterogeneous Media. (issn:
1556-1801
) (eissn:
1556-181X
)
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DOI:
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10.3934/nhm.2015.10.101
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Editorial:
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American Institute of Mathematical Sciences (AIMS)
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Versión del editor:
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http://dx.doi.org/doi:10.3934/nhm.2015.10.101
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Código del Proyecto:
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info:eu-repo/grantAgreement/MICINN//MTM2009-13848/ES/Analisis Estructural, Optimizacion Y Dinamica En Sistemas Reales Con Estructuras Tipo Red/ /
info:eu-repo/grantAgreement/Junta de Andalucía//FQM-264/ES/Estructuras De Jordan/
info:eu-repo/grantAgreement/MICINN//MTM2010-16153/ES/SISTEMAS DE JORDAN Y ALGEBRAS DE LIE/
info:eu-repo/grantAgreement/MICINN//MTM2010-18674/ES/SOLUCION ITERATIVA DE SISTEMAS LINEALES Y APLICACIONES/
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Descripción:
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This is a pre-copy-editing, author-produced PDF of an article accepted for publication in [Networks and Heterogeneous Media] following peer review. The definitive publisher-authenticated version [Pedroche, F… (et al.) (2015). Comparing series of rankings with ties by using complex networks: An analysis of the Spanish stock market (IBEX-35 index). Springfield, MO: American Institute of Mathematical Science. Networks and Heterogeneous Media.Volume 10, Number 1, March 2015, pp. 101-125. eISSN 1556-181X] is available online at: https://aimsciences.org/journals/pdfs.jsp?paperID=10842&mode=full
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Agradecimientos:
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This work was partially supported by Spanish MICINN Funds and FEDER Funds MTM2009-13848, MTM2010-16153 and MTM2010-18674, and Junta de Andalucia Funds FQM-264. The authors would like to thank the referees for their valuable ...[+]
This work was partially supported by Spanish MICINN Funds and FEDER Funds MTM2009-13848, MTM2010-16153 and MTM2010-18674, and Junta de Andalucia Funds FQM-264. The authors would like to thank the referees for their valuable comments and remarks.
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Tipo:
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Artículo
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