Sign and Amplitude Representation of the Forex Networks

• Authors: S. Gworek , J. Kwapień , S. Drożdż
• 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

89.75.Da; 89.75.Fb

Discipline

• 89.75.Da: Systems obeying scaling laws
• 89.75.Fb: Structures and organization in complex systems

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2010
• Volume: 117
• Issue: 4
• Pages: 681-687

Dates

published

2010-04

Contributors

author

S. Gworek

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

author

J. Kwapień

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

author

S. Drożdż

• 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

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Identifiers

DOI

10.12693/APhysPolA.117.681