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Correlation networks among currencies

Author

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  • Mizuno, Takayuki
  • Takayasu, Hideki
  • Takayasu, Misako

Abstract

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.

Suggested Citation

  • Mizuno, Takayuki & Takayasu, Hideki & Takayasu, Misako, 2006. "Correlation networks among currencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 364(C), pages 336-342.
    • Handle: RePEc:eee:phsmap:v:364:y:2006:i:c:p:336-342
    DOI: 10.1016/j.physa.2005.08.079
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    References listed on IDEAS

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    1. R. Mantegna, 1999. "Hierarchical structure in financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 11(1), pages 193-197, September.
    2. L. Kullmann & J. Kertesz & K. Kaski, 2002. "Time dependent cross correlations between different stock returns: A directed network of influence," Papers cond-mat/0203256, arXiv.org, revised May 2002.
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