Journal
Article title
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Abstracts
Correlation matrices of foreign exchange rate time series are investigated for 60 world currencies. Minimal spanning tree 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 was found for USD and related currencies.
Discipline
Journal
Year
Volume
Issue
Pages
531-538
Physical description
Dates
published
2008-09
received
2007-11-22
Contributors
author
- H. Niewodniczański Institute of Nuclear Physics, Polish Academy of Sciences, Radzikowskiego 152, 31-342 Kraków, Poland
author
- H. Niewodniczański Institute of Nuclear Physics, Polish Academy of Sciences, Radzikowskiego 152, 31-342 Kraków, Poland
author
- H. Niewodniczański Institute of Nuclear Physics, Polish Academy of Sciences, Radzikowskiego 152, 31-342 Kraków, Poland
author
- H. Niewodniczański Institute of Nuclear Physics, Polish Academy of Sciences, Radzikowskiego 152, 31-342 Kraków, Poland
- Institute of Physics, University of Rzeszów, 35-310 Rzeszów, Poland
References
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- 2. Sauder School of Business, Pacific Exchange Rate System, http://fx.sauder.ubc.ca/data.html (2006)
- 3. S. Drożdż, A.Z. Górski, J. Kwapień, Eur. Phys. J. B 58, 499 (2007)
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- 6. D.B. West, Introduction to Graph Theory, Prentice-Hall, Englewood Cliffs 1996
- 7. R.N. Mantegna, Eur. Phys. J. B 11, 193 (1999)
- 8. M. McDonald, O. Suleman, S. Williams, S. Howison, N.F. Johnson, Phys. Rev. E 72, 046106 (2005)
- 9. R. Albert, A.-L. Barab'asi, Rev. Mod. Phys. 74, 47 (2002)
- 10. S. Boccaletti, V. Latora, Y. Moreno, M. Chavez, D.U. Chwang, Phys. Rep. 424, 175 (2006)
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.bwnjournal-article-appv114n306kz