相关论文: Correlation Networks Among Currencies

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…

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…

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…

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…

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…

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…

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…

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…

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…

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…

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…

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…

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…

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…

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.…

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…

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…

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…

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…

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…