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Analysis of a correlation network in world currency exchange market

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 10:09
Last Modified:21 Oct 2018 12:33

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