Universiti Teknologi Malaysia Institutional Repository

Multivariate outlier detection in currency exchange rate

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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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
ID Code:40933
Deposited By: Liza Porijo
Deposited On:20 Aug 2014 16:19
Last Modified:15 Feb 2017 14:41

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