Complexity characteristics of currency networks
A. Z. Gorski, S. Drozdz, J. Kwapien, P. Oswiecimka
Abstract
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 independent returns. The CM spectrum is computed and compared with the cases of shuffled currencies and a fictitious random currency taken as a base currency. The Minimal Spanning Tree (MST) graphs are calculated and the clustering effects for strong currencies are found. It is shown that for MSTs the node rank has power like, scale free behavior. Finally, the scaling exponents are evaluated and found in the range analogous to those identified recently for various complex networks.
Create a lesson
Related papers
Distinct routes to phase transitions in spatial activation systems
Jialu Zhang, Guanyu Zhang, Leyang Xue et al.
District-Level Food Environment Indicators and Social Vulnerability in São Paulo
Pedro Lemes Sixel Lobo, Eric Tokuda, Kuruvilla Joseph Abraham et al.
Prompt Sensitivity of Generative Agents: Evidence from an Epidemic Model
Ross Williams, Niyousha Hosseinichimeh
Giant strongly biconnected components of directed networks: a generating function approach
Minsoo Yang, Reinhard Laubenbacher, Byungjoon Min
(k,n)-core percolation on hypergraphs with anchor nodes
Hoseung Jang, Byungjoon Min, Ginestra Bianconi
The complex relationship between anti-immigrant sentiment and exposure in the Netherlands
Benedikt Meylahn, Tommaso Giommoni, Mike Lees et al.