Skip to main content
SpringerLink
Log in

On some statistical procedures for stock selection problem

  • Published:
Annals of Mathematics and Artificial Intelligence Aims and scope Submit manuscript

Abstract

The problem of stock selection in market network is discussed from different points of view. Three different sequentially rejective statistical procedures for stock selection are described and compared: Holm multiple test procedure, maximin multiple test procedure and multiple decision procedure. Properties of statistical procedures are studied for different loss functions. It is shown that conditional risk for additive loss function essentially depends on correlation matrix for maximin procedure, and does not depend for multiple decision procedure. The dependence on correlation matrix is different for 0-1 (non additive) loss functions. Dependence of error probability and conditional risk on the selection threshold is studied as well.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Similar content being viewed by others

References

  1. Boginski, V., Butenko, S., Pardalos, P.M.: Statistical analysis of financial networks. J. Comput. Stat. Data Anal. 48(2), 431–443 (2005)

    Article  MathSciNet  MATH  Google Scholar 

  2. Boginski, V., Butenko, S., Pardalos, P.M.: Mining market data: a network approach. J. Comput. Oper. Res. 33(11), 3171–3184 (2006)

    Article  MATH  Google Scholar 

  3. Cohen, A., Sackrowitz, H.b., Xu, M.: A new multiple testing method in the dependent case. Ann. Stat. 37(3), 1518–1544 (2009)

    Article  MathSciNet  MATH  Google Scholar 

  4. Hochberg, Y., Tamhane, A.: Multiple Comparison Procedures. Wiley, New York (1987)

    Book  MATH  Google Scholar 

  5. Kalyagin, V.A., Koldanov, A.P., Koldanov, P.A., Pardalos, P.M., Zamaraev, V.A.: Measures of uncertainty in market network analysis. Physica A Stat. Mech. Appl. 413(1), 59–70 (2014)

    Article  MathSciNet  MATH  Google Scholar 

  6. Koldanov, A.P., Koldanov, P.A., Kalyagin, V.A., Pardalos, P.M.: Statistical procedures for the market graph construction. Comput. Stat. Data Anal. 68, 17–29 (2013)

    Article  MathSciNet  MATH  Google Scholar 

  7. Koldanov, P., Kalyagin, V.A., Koldanov, A.P., Zamaraev, V.A.: Market graph and Markowitz model. In: Optimization in Science and Engineering (In Honor of the 60th Birthday of Panos M. Pardalos), pp. 301–313. Springer Science, Business Media (2014)

  8. Koldanov, P., Bautin, G.A.: Multiple decision problem for stock selection in market network. In: Pardalos, P.M., Resende, M., Vogiatzis, C., Walteros, J. (eds.) Learning and Intelligent Optimization, Lecture Notes in Computer Science, Vol. 8426, pp 98–110. Springer (2014)

  9. Koldanov, A.P., Koldanov, P.A: Optimal multiple decision statistical procedure for inverse covariance matrix. In: Demyanov, V.F., Pardalos, P.M., Batsyn, M.V. (eds.) Constructive Nonsmooth Analysis and Related Topics, Springer Optimization and Its Applications, Vol. 87, pp 205–216 (2014)

  10. Koldanov, P.A.: Efficiency analysis of branch network. Springer Proc. Math. Stat. 59(XIV), 71–84 (2013)

    Article  Google Scholar 

  11. Lehmann, E.L.: A theory of some multiple decision procedures 1. Ann. Math. Stat. 28, 1–25 (1957)

    Article  MATH  Google Scholar 

  12. Lehmann, E.L., Romano, J.P.: Testing Statistical Hypotheses. Springer, New York (2005)

    MATH  Google Scholar 

  13. Wald, A.: Statistical Decision Function. Wiley, New York (1950)

    MATH  Google Scholar 

  14. Duncan, D.: Multiple range and multiple F tests. Biometrics 11, 1–42 (1955)

    Article  MathSciNet  Google Scholar 

  15. Randles, R.H., Hollander, M.: γ-minimax selection procedures in treatments versus control problems. Ann. Math. Stat. 42, 330–341 (1971)

    Article  MathSciNet  MATH  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. National Research University Higher School of Economics, Nizhny Novgorod, Bolshaya Pecherskaya 25, 603155, Russia

    Petr A. Koldanov, Valeriy A. Kalyagin & Grigory A. Bautin

  2. Lab LATNA, National Research University Higher School of Economics, Nizhny Novgorod, Rodionova 136, 603155, Russia

    Petr A. Koldanov, Valeriy A. Kalyagin & Grigory A. Bautin

Authors
  1. Petr A. Koldanov
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Valeriy A. Kalyagin
    View author publications

    You can also search for this author in PubMed Google Scholar

  3. Grigory A. Bautin
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Petr A. Koldanov.

Rights and permissions

Reprints and permissions

About this article

Check for updates. Verify currency and authenticity via CrossMark

Cite this article

Koldanov, P.A., Kalyagin, V.A. & Bautin, G.A. On some statistical procedures for stock selection problem. Ann Math Artif Intell 76, 47–57 (2016). https://doi.org/10.1007/s10472-014-9447-1

Download citation

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s10472-014-9447-1

Keywords

Mathematics Subject Classifications (2010)

Search

Navigation