Related papers: Correlation Networks Among Currencies
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…
We apply a method to filter relevant information from the correlation coefficient matrix by extracting a network of relevant interactions. This method succeeds to generate networks with the same hierarchical structure of the Minimum…
We investigate the tendency for financial instruments to form clusters when there are multiple factors influencing the correlation structure. Specifically, we consider a stock portfolio which contains companies from different industrial…
We discuss some methods to quantitatively investigate the properties of correlation matrices. Correlation matrices play an important role in portfolio optimization and in several other quantitative descriptions of asset price dynamics in…
I find a topological arrangement of stocks traded in a financial market which has associated a meaningful economic taxonomy. The topological space is a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting…
We investigate hierarchical structures of the European countries by using debt as a percentage of Gross Domestic Product (GDP) of the countries as they change over a certain period of time. We obtain the topological properties among the…
The cluster analysis methods are used in order to perform a comparative study of 15 EU countries in relation with the fluctuations of some basic macroeconomic indicators. The statistical distances between countries are calculated for…
We study the international interbank market through a geometrical and a topological analysis of empirical data. The geometrical analysis of the time series of cross-country liabilities shows that the systematic information of the interbank…
We develop a model where currency issuers provide liquidity, while users in a trade network choose currency usage for trade settlement. We identify a feedback mechanism where a user's currency preference spillovers to others and increases…
This study investigates whether Topological Data Analysis (TDA) can provide additional insights beyond traditional statistical methods in clustering currency behaviours. We focus on the foreign exchange (FX) market, which is a complex…
We develop a network in which the natural numbers are the vertices. We use the decomposition of natural numbers by prime numbers to establish the connections. We perform data collapse and show that the degree distribution of these networks…
In this paper we study data from financial markets using an information-theory tool that we call the normalised Mutual Information Rate and show how to use it to infer the underlying network structure of interrelations in foreign currency…
Multifractal detrended cross-correlation methodology is described and applied to Foreign exchange (Forex) market time series. Fluctuations of high frequency exchange rates of eight major world currencies over 2010-2018 period are used to…
We inspect a possible clustering structure of the corruption perception among 134 countries. Using the average linkage clustering, we uncover a well-defined hierarchy in the relationships among countries. Four main clusters are identified…
We present a simplistic model of the competition between different currencies. Each individual is free to choose the currency that minimizes his transaction costs, which arise whenever his exchanging relations have chosen a different…
We use techniques from network science to study correlations in the foreign exchange (FX) market over the period 1991--2008. We consider an FX market network in which each node represents an exchange rate and each weighted edge represents a…
We uncover the global organization of clustering in real complex networks. As it happens with other fundamental properties of networks such as the degree distribution, we find that real networks are neither completely random nor ordered…
The statistical distances between countries, calculated for various moving average time windows, are mapped into the ultrametric subdominant space as in classical Minimal Spanning Tree methods. The Moving Average Minimal Length Path (MAMLP)…
We investigate the hierarchical structures of countries based on electricity consumption and economic growth by using the real amounts of their consumption over a certain time period. We use of electricity consumption data to detect the…
Understanding the structure of communities in a network has a great importance in the economic analysis. Communities are indeed characterized by specific properties, that are different from those of both the individual node and the whole…