Correlation networks among currencies

By T. Mizuno, H. Takayasu, M. Takayasu. 2005

192 citations recorded by the source corpus.

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.

Subfields: Condensed Matter Physics, Economics and Econometrics, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/0b9827a261021530001ac018755d88c8c56f3fd5

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In Condensed Matter Physics

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Citations in the corpus

Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective (2012, methodology): “, 2010) and that foreign exchange rates create clusters with respect to the geographical location (Jang et al., 2011; Keskin et al., 2011; Mizuno et al., 2006).”
Dynamical Hierarchical Tree in Currency Markets (2007, unknown): “(see [39], [33], [29], [37], [6], [8]) This is the point that we will modify in our paper.”
A new approach to quantify power-law cross-correlation and its application to commodity markets (2011, background): “Many simultaneously recorded time series in various real world commodity or financial markets are found to exhibit spatial or temporal cross-correlations [3, 7-17].”
Nonlinear bivariate dependency of price–volume relationships in agricultural commodity futures markets: A perspective from Multifractal Detrended Cross-Correlation Analysis (2011, background): “The cross-correlations are also investigated in stocks [12–14] and currency markets [15].”
Multifractal Detrended Cross-Correlation Analysis of agricultural futures markets (2011, methodology): “Many scholars have studied the cross-correlation among financial time series, such as stocks [5-9] and currencies [5], using the methods which assume that both of analyzed time series are stationary.”