Related papers: Correlation Networks Among Currencies
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…
The recent financial crisis has stressed the need to understand financial systems as networks of interdependent countries, where cross-border financial linkages play the fundamental role. It has also been emphasized that the relevance of…
Financial markets are complex adaptive systems, and are commonly studied as complex networks. Most of such studies fall short in two respects: they do not account for non-linearity of the studied relationships, and they create one network…
A model of correlated random networks is examined, i.e. networks with correlations between the degrees of neighboring nodes. These nodes do not necessarily have to be direct neighbors, the maximum range of the correlations can be…
The international trade network is a complex system where multiple trade blocs with varying sizes coexist and overlap with each other. However, the resulting structures of community detection in trade networks are often inconsistent and…
The paper applies some recent developments of network analysis in order to perform a comparative study of EU countries in relation with the fluctuations of some macroeconomic indicators. The statistical distances between countries,…
This paper reports empirical evidence that a neural networks model is applicable to the statistically reliable prediction of foreign exchange rates. Time series data and technical indicators such as moving average, are fed to neural nets to…
We demonstrate the existence of an empirical linkage between the nominal financial networks and the underlying economic fundamentals across countries. We construct the nominal return correlation networks from daily data to encapsulate…
We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables…
We review the state of the art of clustering financial time series and the study of their correlations alongside other interaction networks. The aim of this review is to gather in one place the relevant material from different fields, e.g.…
The determination of cluster centers generally depends on the scale that we use to analyze the data to be clustered. Inappropriate scale usually leads to unreasonable cluster centers and thus unreasonable results. In this study, we first…
The time dependence of the recently introduced minimum spanning tree description of correlations between stocks, called the ``asset tree'' have been studied to reflect the economic taxonomy. The nodes of the tree are identified with stocks…
Used to investigate the presence of distinctive recurrent behaviours in natural processes, the recurrence plots can be applied to the analysis of economic data, and, in particular, to the characterization of exchange rates of currencies…
Economy, and consequently trade, is a fundamental part of human social organization which, until now, has not been studied within the network modelling framework. Networks are mathematical tools used in the modelling of a wide variety of…
A hierarchical structure describing the inter-relationships of species has long been a fundamental concept in systematic biology, from Linnean classification through to the more recent quest for a 'Tree of Life.' In this paper we use an…
In this paper, we investigate the mesoscale structure of the World Trade Network. In this framework, a specific role is assumed by short and long-range interactions, and hence by the distance, between countries. Therefore, we identify…
Identifying behavior that is relatively invariant under different conditions is a challenging task in far-from-equilibrium complex systems. As an example of how the existence of a semi-invariant signature can be masked by the heterogeneity…
Following Henry Small in his approach to co-citation analysis, highly cited sources are seen as concept symbols of research fronts. But instead of co-cited sources I cluster citation links, which are the thematically least heterogenous…
We use bank-level balance sheet data from 2005 to 2010 to study interactions within the banking system of five emerging countries: Argentina, Brazil, Mexico, South Africa, and Taiwan. For each country we construct a financial network based…
This paper investigates and compares currency substitution between the currencies of Central and Eastern European (CEE) countries and the euro. In addition, we develop a model with microeconomic foundations, which identifies difference…