Sharif, Shamshuritawati and Djauhar, Maman Abdurachman and Yusoffi, Nur Syahidah (2013) Multivariate outlier detection in currency exchange rate. International Journal of Basic and Applied Sciences, 13 (1). pp. 1-5. ISSN 2077-1223
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Abstract
In correlation networks analysis, the influential currencies is usually identified by using minimal spanning tree (MST) to filter the important information followed by the centrality measures analysis. In this paper, we introduce an analysis to identify the currencies that might have different behaviour compared to the others which is also conducted based on MST by using outlier labelling and testing. A case study on 78 currency exchange rate will be reported and discussed.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | correlation matrix, distance matrix, gamma distribution, Kruskal’s algorithm |
| Subjects: | Q Science |
| Divisions: | Science |
| ID Code: | 40933 |
| Deposited By: | Liza Porijo |
| Deposited On: | 20 Aug 2014 08:19 |
| Last Modified: | 15 Feb 2017 06:41 |
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