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Network Topology of Foreign Exchange Rate

Author

Listed:
  • Shamshuritawati Sharif
  • Nur Syahidah Yusoff
  • Maman Djauhari

Abstract

In this paper we use a network topology approach to examine the interrelationship of 55 world currencies which is based on correlation analysis. With this point of view, those relationships can be measured by a correlation structure among currencies. To analyse that network, we filter the important information contained therein by using minimum spanning tree, and we interpret it by using a centrality measures. This topology will gives us a useful guide to understand their behaviour and to determine the dominance currency in the network as part of a complex network. The results show that HKD-Hong Kong Dollar is the most dominance currencies, followed by in order of importance; SGD-Singapore Dollar, USD-US Dollar, SAR-Saudi Riyal, and TWD-New Taiwan Dollar.

Suggested Citation

  • Shamshuritawati Sharif & Nur Syahidah Yusoff & Maman Djauhari, 2012. "Network Topology of Foreign Exchange Rate," Modern Applied Science, Canadian Center of Science and Education, vol. 6(11), pages 1-35, November.
    • Handle: RePEc:ibn:masjnl:v:6:y:2012:i:11:p:35
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    References listed on IDEAS

    as
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    2. Alireza Abbasi & Jorn Altmann, 2010. "On the Correlation between Research Performance and Social Network Analysis Measures Applied to Research Collaboration Networks," TEMEP Discussion Papers 201066, Seoul National University; Technology Management, Economics, and Policy Program (TEMEP), revised Oct 2010.
    3. Jang, Wooseok & Lee, Junghoon & Chang, Woojin, 2011. "Currency crises and the evolution of foreign exchange market: Evidence from minimum spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(4), pages 707-718.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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