Related papers: Correlation Networks Among Currencies
European Monetary Union continues to be characterised by significant macroeconomic imbalances. Germany has shown increasing current account surpluses at the expense of the other member states (especially the European periphery). Since the…
Cryptocurrencies such as Bitcoin and Ethereum have recently gained a lot of popularity, not only as a digital form of currency but also as an investment vehicle. Online marketplaces and exchanges allow users across the world to convert…
There are many studies dealing with the analysis of similarity among currencies in foreign exchange market by using network analysis approach. In those studies, each currency is represented by a univariate time series of exchange rate…
Crypto-coins (also known as cryptocurrencies) are tradable digital assets. Notable examples include Bitcoin, Ether and Litecoin. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption…
The foreign exchange market has taken an important role in the global financial market. While foreign exchange trading brings high-yield opportunities to investors, it also brings certain risks. Since the establishment of the foreign…
In this paper we analyzed dependencies in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 - 2007.12.14. We constructed a minimal spanning tree based on the correlation matrix. The…
Hierarchical analysis is considered and a multilevel model is presented in order to explore causality, chance and complexity in financial economics. A coupled system of models is used to describe multilevel interactions, consistent with…
Relations between average clustering coefficient and global clustering coefficient, local efficiency, radiality, closeness, betweenness and stress centralities were obtained for simple graphs.
We investigate the statistical properties of the EBS order book for the EUR/USD and USD/JPY currency pairs and the impact of a ten-fold tick size reduction on its dynamics. A large fraction of limit orders are still placed right at or…
Collaboration networks are studied as an example of growing bipartite networks. These have been previously observed to have structure such as positive correlations between nearest-neighbour degrees. However, a detailed understanding of the…
The value of an asset in a financial market is given in terms of another asset known as numeraire. The dynamics of the value is non-stationary and hence, to quantify the relationships between different assets, one requires convenient…
Correlation networks were used to detect characteristics which, although fixed over time, have an important influence on the evolution of prices over time. Potentially important features were identified using the websites and whitepapers of…
We describe the structure of the graphs with the smallest average distance and the largest average clustering given their order and size. There is usually a unique graph with the largest average clustering, which at the same time has the…
Much of the analysis of economic growth has focused on the study of aggregate output. Here, we deviate from this tradition and look instead at the structure of output embodied in the network connecting countries to the products that they…
The degree distribution, referred to as the delta-sequence of a network is studied. Using the non-normalized Lorenz curve, we apply a generalized form of the classical majorization partial order. Next, we introduce a new class of small…
Matrices are two-dimensional data structures allowing one to conceptually organize information. For example, adjacency matrices are useful to store the links of a network; correlation matrices are simple ways to arrange gene co-expression…
Understanding the process by which the individuals of a society make up their minds and reach opinions about different issues can be of fundamental importance. In this work we propose an idealized model for competitive cluster growth in…
A number of important transport networks, such as the airline and trade networks of the world, exhibit a characteristic core-periphery structure, wherein a few nodes are highly interconnected and the rest of the network frays into a tree.…
We live in a global village where electronic communication has eliminated the geographical barriers of information exchange. The road is now open to worldwide convergence of information interests, shared values, and understanding.…
This article proposed a hybrid detrended deconvolution foreign exchange network construction method (DDFEN), which combined the detrended cross-correlation analysis coefficient (DCCC) and the network deconvolution method together. DDFEN is…