Bautin, Grigory; Kalyagin, Valery; Koldanov, Alexander; … - In: Computational Management Science 10 (2013) 2, pp. 105-124
A simple measure of similarity for the construction of the market graph is proposed. The measure is based on the probability of the coincidence of the signs of the stock returns. This measure is robust, has a simple interpretation, is easy to calculate and can be used as measure of similarity...