English
Related papers

Related papers: Correlation Networks Among Currencies

200 papers

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…

General Finance · Quantitative Finance 2010-10-28 Mustafa Keskin , Bayram Deviren , Yusuf Kocakaplan

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…

Statistical Finance · Quantitative Finance 2009-06-03 Jaroslaw Kwapien , Sylwia Gworek , Stanislaw Drozdz , Andrzej Gorski

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…

Other Condensed Matter · Physics 2011-09-06 Mark McDonald , Omer Suleman , Stacy Williams , Sam Howison , Neil F. Johnson

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…

Physics and Society · Physics 2008-12-02 A. Z. Gorski , S. Drozdz , J. Kwapien , P. Oswiecimka

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…

Physics and Society · Physics 2009-11-13 Michael J. Naylor , Lawrence C. Rose , Brendan J. Moyle

Using data from a sample of 28 representatives countries, we propose a classification of currency crises consequences based on the ultrametric analysis of the real exchange rate movements time series, without any further assumption. By…

Data Analysis, Statistics and Probability · Physics 2008-12-02 Guillermo J. Ortega , David Matesanz

The decentralized international market of currency trading is a prototypical complex system having a highly heterogeneous composition. To understand the hierarchical structure relating the price movement of different currencies in the…

Statistical Finance · Quantitative Finance 2022-01-07 Abhijit Chakraborty , Soumya Easwaran , Sitabhra Sinha

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…

Physics and Society · Physics 2011-02-19 Xiang Li , Yu Ying Jin , Guanrong Chen

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…

Statistical Finance · Quantitative Finance 2013-05-02 Sitabhra Sinha , Uday Kovur

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…

Statistical Finance · Quantitative Finance 2009-11-13 S. Drozdz , A. Z. Gorski , J. Kwapien

We investigate hierarchical structure in various complex systems according to Minimum Spanning Tree methods. Firstly, we investigate stock markets where the graphis obtained from the matrix of correlations coefficient computed between all…

General Finance · Quantitative Finance 2014-06-13 Andrzej Jarynowski , Andrzej Buda

A large collection of daily time series for 60 world currencies' exchange rates is considered. The correlation matrices are calculated and the corresponding Minimal Spanning Tree (MST) graphs are constructed for each of those currencies…

Statistical Finance · Quantitative Finance 2009-11-13 A. Z. Gorski , S. Drozdz , J. Kwapien

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…

Physics and Society · Physics 2009-11-11 Neil F. Johnson , Mark McDonald , Omer Suleman , Stacy Williams , Sam Howison

We investigate topology and temporal evolution of the foreign currency exchange market viewed from a weighted network perspective. Based on exchange rates for a set of 46 currencies (including precious metals), we construct different…

Statistical Finance · Quantitative Finance 2009-02-02 Jaroslaw Kwapien , Sylwia Gworek , Stanislaw Drozdz

We follow up on the study of correlations between GDP's of rich countries. We analyze web-downloaded data on GDP that we use as individual wealth signatures of the country economical state. We calculate the yearly fluctuations of the GDP.…

Physics and Society · Physics 2012-09-25 M. Ausloos , R. Lambiotte

For the purpose of elucidating the correlation among currencies, we analyze daily and high-resolution data of foreign exchange rates. There is strong correlation for pairs of currencies of geographically near countries. We show that there…

Statistical Mechanics · Physics 2008-12-02 Takayuki Mizuno , Shoko Kurihara , Misako Takayasu , Hideki Takayasu

Using data from world stock exchange indices prior to and during periods of global financial crises, clusters and networks of indices are built for different thresholds and diverse periods of time, so that it is then possible to analyze how…

Statistical Finance · Quantitative Finance 2014-09-02 Leonidas Sandoval Junior

This study uses hierarchical structure methods (minimal spanning tree, (MST) and hierarchical tree, (HT)) to examine the hierarchical structures of the United State (US) foreign trade by using the real prices of their commodity export and…

Statistical Finance · Quantitative Finance 2014-06-30 Ersin Kantar

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…

Statistical Finance · Quantitative Finance 2008-12-02 A Z Gorski , S. Drozdz , J. Kwapien

We obtain the clustering coefficient, the degree-dependent local clustering, and the mean clustering of networks with arbitrary correlations between the degrees of the nearest-neighbor vertices. The resulting formulas allow one to determine…

Statistical Mechanics · Physics 2009-11-10 S. N. Dorogovtsev
‹ Prev 1 2 3 10 Next ›