Add to ORKGWe decompose the exchange rates returns of 41 currencies (incl. gold) into their sign and amplitude components. Then we group together all exchange rates with a common base currency, construct Minimal Spanning Trees for each group independently, and analyze properties of these trees. We show that both the sign and the amplitude time series have similar correlation properties as far as the core network structure is concerned. There exist however interesting peripheral differences that may open a new perspective to view the Forex dynamics.
In this paper, we examine linear and nonlinear co-movements that appear in the real exchange rates o...
We studied the topology of correlation networks among 34 major currencies using the concept of a min...
In this paper we use a network topology approach to examine the interrelationship of 55 world curren...
Correlation matrices of foreign exchange rate time series are investigated for 60 world currencies. ...
Correlation matrices of foreign exchange rate time series are investigated for 60 world currencies. ...
Based on a time-varying copula approach and the minimum spanning tree (MST) method, we propose a tim...
In this paper, we study data from financial markets, using the normalised Mutual Information Rate. W...
A large set of daily FOREX time series is analyzed. The corresponding correlation matrices (CM) are ...
In this paper, we study the high dimensional correlation structure of financial market. Correlation ...
This paper analyses a correlation network of world currency exchange rate. We examine the network to...
In this paper we use a network topology approach to examine the interrelationship of 55 world curren...
By analyzing the foreign exchange market data of various currencies, we derive a hierarchical taxono...
A large collection of daily time series for 60 world currencies' exchange rates is considered. The ...
This project studies and implements the clustering methods introduced by Fenn et al. to detect corre...
We use techniques from network science to study correlations in the foreign exchange (FX) market ove...
In this paper, we examine linear and nonlinear co-movements that appear in the real exchange rates o...
We studied the topology of correlation networks among 34 major currencies using the concept of a min...
In this paper we use a network topology approach to examine the interrelationship of 55 world curren...
Correlation matrices of foreign exchange rate time series are investigated for 60 world currencies. ...
Correlation matrices of foreign exchange rate time series are investigated for 60 world currencies. ...
Based on a time-varying copula approach and the minimum spanning tree (MST) method, we propose a tim...
In this paper, we study data from financial markets, using the normalised Mutual Information Rate. W...
A large set of daily FOREX time series is analyzed. The corresponding correlation matrices (CM) are ...
In this paper, we study the high dimensional correlation structure of financial market. Correlation ...
This paper analyses a correlation network of world currency exchange rate. We examine the network to...
In this paper we use a network topology approach to examine the interrelationship of 55 world curren...
By analyzing the foreign exchange market data of various currencies, we derive a hierarchical taxono...
A large collection of daily time series for 60 world currencies' exchange rates is considered. The ...
This project studies and implements the clustering methods introduced by Fenn et al. to detect corre...
We use techniques from network science to study correlations in the foreign exchange (FX) market ove...
In this paper, we examine linear and nonlinear co-movements that appear in the real exchange rates o...
We studied the topology of correlation networks among 34 major currencies using the concept of a min...
In this paper we use a network topology approach to examine the interrelationship of 55 world curren...