Sign and amplitude representation of the forex networks

Details Sign and amplitude representation of the forex networks Sign and amplitude representation of the forex networks

2009-11-16

arxiv.org/abs/0911.3045v1

Acta Phys. Pol. A 117, 681-687 (2010)

Economy

Quantitative Finance

Statistical Finance

Article based on talk by S. Gworek given at FENS'08 Conference, Rzeszow, Poland

Scientific paper

We decompose the exchange rates returns of 41 currencies (incl. gold) into their sign and amplitude components. Then we group together all exchange rates with a common base currency, construct Minimal Spanning Trees for each group independently, and analyze properties of these trees. We show that both the sign and the amplitude time series have similar correlation properties as far as the core network structure is concerned. There exist however interesting peripheral differences that may open a new perspective to view the Forex dynamics.

Affiliated with

Also associated with

No associations

Rating

Sign and amplitude representation of the forex networks does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Sign and amplitude representation of the forex networks, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Sign and amplitude representation of the forex networks will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-499300