کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
979592 933371 2007 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Topology of foreign exchange markets using hierarchical structure methods
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Topology of foreign exchange markets using hierarchical structure methods
چکیده انگلیسی

This paper uses two physics derived hierarchical techniques, a minimal spanning tree and an ultrametric hierarchical tree, to extract a topological influence map for major currencies from the ultrametric distance matrix for 1995–2001. We find that these two techniques generate a defined and robust scale free network with meaningful taxonomy. The topology is shown to be robust with respect to method, to time horizon and is stable during market crises. This topology, appropriately used, gives a useful guide to determining the underlying economic or regional causal relationships for individual currencies and to understanding the dynamics of exchange rate price determination as part of a complex network.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 382, Issue 1, 1 August 2007, Pages 199–208
نویسندگان
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