dorsal/arxiv
View SchemaTopology of Foreign Exchange Markets using Hierarchical Structure Methods
| Authors | Michael J. Naylor, Lawrence C. Rose, Brendan J. Moyle |
|---|---|
| Categories | |
| ArXiv ID | physics/0608084 |
| URL | https://arxiv.org/abs/physics/0608084 |
| DOI | 10.1016/j.physa.2007.02.019 |
Abstract
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 two techniques generate a defined and robust scale free network with meaningful taxonomy. The topology is shown to be robust with respect to method, to time horizon and is stable during market crises. This topology, appropriately used, gives a guide to determining the underlying economic or regional causal relationships for individual currencies and will prove useful to understanding the dynamics of exchange rate price determination as part of a complex network.
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"abstract": "This paper uses two hierarchical techniques, a minimal spanning tree and an\nultrametric hierarchical tree, to extract a topological influence map for major\ncurrencies from the ultrametric distance matrix for 1996-2001. We find that\nthese two techniques generate a defined and robust scale free network with\nmeaningful taxonomy. The topology is shown to be robust with respect to method,\nto time horizon and is stable during market crises. This topology,\nappropriately used, gives a guide to determining the underlying economic or\nregional causal relationships for individual currencies and will prove useful\nto understanding the dynamics of exchange rate price determination as part of a\ncomplex network.",
"arxiv_id": "physics/0608084",
"authors": [
"Michael J. Naylor",
"Lawrence C. Rose",
"Brendan J. Moyle"
],
"categories": [
"physics.soc-ph",
"q-fin.ST"
],
"doi": "10.1016/j.physa.2007.02.019",
"title": "Topology of Foreign Exchange Markets using Hierarchical Structure Methods",
"url": "https://arxiv.org/abs/physics/0608084"
},
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