Minimal Spanning Tree graphs and power like scaling in FOREX networks

Details Minimal Spanning Tree graphs and power like scaling in FOREX networks Minimal Spanning Tree graphs and power like scaling in FOREX networks

2008-09-02

arxiv.org/abs/0809.0437v1

Acta. Phys. Pol. A114 (2008) 531

Economy

Quantitative Finance

Statistical Finance

9 pages, 7 figures

Scientific paper

Correlation matrices of foreign exchange rate time series are investigated for 60 world currencies. Minimal Spanning Tree (MST) graphs for the gold, silver and platinum are presented. Inverse power like scaling is discussed for these graphs as well as for four distinct currency groups (major, liquid, less liquid and non-tradable). The worst scaling has been found for USD and related currencies.

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