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2010 | 117 | 4 | 681-687
Article title

Sign and Amplitude Representation of the Forex Networks

Content
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Languages of publication
EN
Abstracts
EN
We decompose the exchange rates returns of 38 currencies (including gold) into their sign and amplitude components. Then we group together all exchange rates with a common base currency, construct Minimal Spanning Trees for each group independently, and analyze properties of these trees. We show that both the sign and the amplitude time series have similar correlation properties as far as the core network structure is concerned. There exist however interesting peripheral differences that may open a new perspective to view the Forex dynamics.
Keywords
EN
Publisher

Year
Volume
117
Issue
4
Pages
681-687
Physical description
Dates
published
2010-04
Contributors
author
  • Institute of Nuclear Physics, Polish Academy of Sciences, E. Radzikowskiego 152, 31-342 Kraków, Poland
author
  • Institute of Nuclear Physics, Polish Academy of Sciences, E. Radzikowskiego 152, 31-342 Kraków, Poland
author
  • Institute of Nuclear Physics, Polish Academy of Sciences, E. Radzikowskiego 152, 31-342 Kraków, Poland
  • Faculty of Mathematics and Natural Sciences, University of Rzeszów, Rzeszów, Poland
References
  • 1. S. Drożdż, A.Z. Górski, J. Kwapień, Eur. Phys. J. B 58, 499 (2007)
  • 2. A.Z. Górski, S. Drożdż, J. Kwapień, Eur. Phys. J. B 66, 91 (2008)
  • 3. J. Kwapień, S. Gworek, S. Drożdż, Acta Phys. Pol. B 40, 175 (2009)
  • 4. J. Kwapień, S. Gworek, S. Drożdż, A.Z. Górski, J. Econ. Interact. Coord. 4, 55 (2009)
  • 5. Sauder School of Business, Pacific Exchange Rate System, http://fx.sauder.ubc.ca/data.html
  • 6. M. McDonald, O. Suleman, S. Williams, S. Howison, N.F. Johnson, Phys. Rev. E 72, 046106 (2005)
  • 7. R.N. Mantegna, Eur. Phys. J. B 11, 193 (1999)
  • 8. G. Bonanno, G. Caldarelli, F. Lillo, C. Miccichè, N. Vandewalle, R.N. Mantegna, Eur. Phys. J. B 38, 363 (2004)
  • 9. P. Sieczka, J.A. Hołyst, Physica A 388, 1621 (2009)
  • 10. J.P. Onnela, J. Saramaki, J. Kertesz, K. Kaski, Phys. Rev. E 71, 065103 (2005)
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.bwnjournal-article-appv117n463kz
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