Related papers: Scale free effects in world currency exchange netw…
Correlation matrices of foreign exchange rate time series are investigated for 60 world currencies. Minimal Spanning Tree (MST) graphs for the gold, silver and platinum are presented. Inverse power like scaling is discussed for these graphs…
A large set of daily FOREX time series is analyzed. The corresponding correlation matrices (CM) are constructed for USD, EUR and PLZ used as the base currencies. The triangle rule is interpreted as constraints reducing the number of…
In a system containing a large number of interacting stochastic processes, there will typically be many non-zero correlation coefficients. This makes it difficult to either visualize the system's inter-dependencies, or identify its dominant…
There is intense interest in understanding the stochastic and dynamical properties of the global Foreign Exchange (FX) market, whose daily transactions exceed one trillion US dollars. This is a formidable task since the FX market is…
A complete understanding of real networks requires us to understand the consequences of the uneven interaction strengths between a system's components. Here we use the minimum spanning tree (MST) to explore the effect of weight assignment…
We analyze structure of the world foreign currency exchange (FX) market viewed as a network of interacting currencies. We analyze daily time series of FX data for a set of 63 currencies, including gold, silver and platinum. We group…
We studied the topology of correlation networks among 34 major currencies using the concept of a minimal spanning tree and hierarchical tree for the full years of 2007-2008 when major economic turbulence occurred. We used the USD (US…
World currency network constitutes one of the most complex structures that is associated with the contemporary civilization. On a way towards quantifying its characteristics we study the cross correlations in changes of the daily foreign…
Exchange arrangements among different countries over the world are foundations of the world economy, which generally stand behind the daily economic evolution. As the first study of the world exchange arrangements web (WEAW), we built a…
We investigate logarithmic price returns cross-correlations at different time horizons for a set of 25 liquid cryptocurrencies traded on the FTX digital currency exchange. We study how the structure of the Minimum Spanning Tree (MST) and…
We study Erd\"{o}s-R\'enyi random graphs with random weights associated with each link. We generate a new ``Supernode network'' by merging all nodes connected by links having weights below the percolation threshold (percolation clusters)…
We decompose the exchange rates returns of 41 currencies (incl. gold) into their sign and amplitude components. Then we group together all exchange rates with a common base currency, construct Minimal Spanning Trees for each group…
The global structure of the minimal spanning tree (MST) is expected to be universal for a large class of underlying random discrete structures. However, very little is known about the intrinsic geometry of MSTs of most standard models, and…
The rate equations are used to study the scale-free behavior of the weight distribution in evolving networks whose topology is determined only by degrees of preexisting vertices. An analysis of these equations shows that the degree…
This paper uses two hierarchical techniques, a minimal spanning tree and an ultrametric hierarchical tree, to extract a topological influence map for major currencies from the ultrametric distance matrix for 1996-2001. We find that these…
The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the…
By analyzing the foreign exchange market data of various currencies, we derive a hierarchical taxonomy of currencies constructing minimal-spanning trees. Clustered structure of the currencies and the key currency in each cluster are found.…
Scaling behavior of scale-free evolving networks arising in communications, citations, collaborations, etc. areas is studied. We derive universal scaling relations describing properties of such networks and indicate limits of their…
In this lecture we will consider the minimum weight spanning tree (MST) problem, i.e., one of the simplest and most vital combinatorial optimization problems. We will discuss a particular greedy algorithm that allows to compute a MST for…
The minimum spanning tree is used to study the process of market integration for a large group of national stock market indices. We show how the asset tree evolves over time and describe the dynamics of its normalized length, mean…