相关论文: World currency exchange rate cross-correlations

We have discovered 12 independent new empirical scaling laws in foreign exchange data-series that hold for close to three orders of magnitude and across 13 currency exchange rates. Our statistical analysis crucially depends on an…

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…

We evaluate the average waiting time between observing the price of financial markets and the next price change, especially in an on-line foreign exchange trading service for individual customers via the internet. Basic technical idea of…

The European Union and Eurozone present an inquisitive case of strongly interconnected network with high degree of dependence among nodes. This research focused on investment network of European Union and its major trading partners for…

Synchronization is a phenomenon in which a pair of fluctuations adjust their rhythms when interacting with each other. We measure the degree of synchronization between the U.S. dollar (USD) and euro exchange rates and between the USD and…

The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Transform to calculate correlation matrices…

High-frequency financial data of the foreign exchange market (EUR/CHF, EUR/GBP, EUR/JPY, EUR/NOK, EUR/SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing the Kullback-Leibler divergence between…

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…

We report on time-varying network connectedness within three banking systems: North America, the EU, and ASEAN. The original method by Diebold and Yilmaz is improved by using exponentially weighted daily returns and ridge regularization on…

During a financial crisis, the capital markets network frequently exhibits a high correlation between returns. We developed a network analysis framework based on daily returns from 42 countries to determine systemic stability. Our network…

Central banks manage about \$12 trillion in foreign exchange reserves, influencing global exchange rates and asset prices. However, some of the largest holders of reserves report minimal information about their currency composition,…

We introduce an autoregressive-type model with self-modulation effects for a foreign exchange rate by separating the foreign exchange rate into a moving average rate and an uncorrelated noise. From this model we indicate that traders are…

To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…

Effects connected with the world globalization affect also the financial markets. On a way towards quantifying the related characteristics we study the financial empirical correlation matrix of the 60 companies which both the Deutsche…

Cross-border equity and long-term debt securities portfolio investment networks are analysed from 2002 to 2012, covering the 2008 global financial crisis. They serve as network-proxies for measuring the robustness of the global financial…

Remittances provide an essential connection between people working abroad and their home countries. This paper considers these transfers as a measure of preferences revealed by the workers, underlying a ranking of countries around the…

A new algorithm of the analysis of correlation among economy time series is proposed. The algorithm is based on the power law classification scheme (PLCS) followed by the analysis of the network on the percolation threshold (NPT). The…

This paper aims at solving FX market volatility modeling problem and finding the most becoming approach to this task. Validity of two competing approaches, classical econometric generalized conditional heteroscedasticity and mathematical…

Node centrality is one of the most important and widely used concepts in the study of complex networks. Here, we extend the paradigm of node centrality in financial and economic networks to consider the changes of node "importance" produced…

The article is concerned with the problem of multi-step financial time series forecasting of Foreign Exchange (FX) rates. To address this problem, we introduce a regression network termed RegPred Net. The exchange rate to forecast is…