Kazemilari, Mansooreh and Djauhari, Maman Abdurachman (2013) Analysis of a correlation network in world currency exchange market. International Journal of Applied Mathematics and Statistics, 44 (14). pp. 202-209. ISSN 0973-1377
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Abstract
This paper analyses a correlation network of world currency exchange rate. We examine the network topology of 54 foreign currency exchange rate from 2009-2012 by using the minimum spanning tree method. The approach developed by Mantegna in 1999 has been used to transform the correlation matrix into distance matrix. We perform a network analysis based on centrality measures in order to understand currency's behavior and also identify the most influential currencies
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | centrality measure, minimum spanning tree, network analysis |
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Science |
| ID Code: | 50476 |
| Deposited By: | Siti Nor Hashidah Zakaria |
| Deposited On: | 02 Dec 2015 02:09 |
| Last Modified: | 21 Oct 2018 04:33 |
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