Correlation networks among currencies
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TLDR
In this paper, a hierarchical taxonomy of currencies constructing minimal-spanning trees is derived by analyzing the foreign exchange market data of various currencies, and the key currencies in each cluster are found.Abstract:
By analyzing the foreign exchange market data of various currencies, we derive a hierarchical taxonomy of currencies constructing minimal-spanning trees. Clustered structure of the currencies and the key currency in each cluster are found. The clusters match nicely with the geographical regions of corresponding countries in the world such as Asia or East Europe, the key currencies are generally given by major economic countries as expected.read more
Citations
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References
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TL;DR: A hierarchical arrangement of stocks traded in a financial market is found by investigating the daily time series of the logarithm of stock price and the hierarchical tree of the subdominant ultrametric space associated with the graph provides a meaningful economic taxonomy.