Minimal Spanning Tree Graphs and Power Like Scaling in FOREX Networks

• Authors: A. Górski , J. Kwapień , P. Oświęcimka , S. Drożdż
• Languages of publication: EN

Abstracts

EN

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.

Keywords

EN

89.65.Gh; 89.75.Fb; 05.45.Tp

Discipline

• 05.45.Tp: Time series analysis
• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)
• 89.75.Fb: Structures and organization in complex systems

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2008
• Volume: 114
• Issue: 3
• Pages: 531-538

Dates

published

2008-09

received

2007-11-22

Contributors

author

A. Górski

• H. Niewodniczański Institute of Nuclear Physics, Polish Academy of Sciences, Radzikowskiego 152, 31-342 Kraków, Poland

author

J. Kwapień

• H. Niewodniczański Institute of Nuclear Physics, Polish Academy of Sciences, Radzikowskiego 152, 31-342 Kraków, Poland

author

P. Oświęcimka

• H. Niewodniczański Institute of Nuclear Physics, Polish Academy of Sciences, Radzikowskiego 152, 31-342 Kraków, Poland

author

S. Drożdż

• 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)
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Identifiers

DOI

10.12693/APhysPolA.114.531