Complexity characteristics of currency networks

Details Complexity characteristics of currency networks Complexity characteristics of currency networks

2006-06-02

arxiv.org/abs/physics/0606020v1

Physics

Physics and Society

LaTeX, 7 figures, to be published in Acta. Phys. Pol. B

Scientific paper

A large set of daily FOREX time series is analyzed. The corresponding correlation matrices (CM) are constructed for USD, EUR and PLZ used as the base currencies. The triangle rule is interpreted as constraints reducing the number of independent returns. The CM spectrum is computed and compared with the cases of shuffled currencies and a fictitious random currency taken as a base currency. The Minimal Spanning Tree (MST) graphs are calculated and the clustering effects for strong currencies are found. It is shown that for MSTs the node rank has power like, scale free behavior. Finally, the scaling exponents are evaluated and found in the range analogous to those identified recently for various complex networks.

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