Cross-Correlations of the Forex Market Using Power Law Classification Scheme Picture

• Authors: J. Miśkiewicz
• Languages of publication: EN

Abstracts

EN

The analysis of crisis influence on the cross-correlation of the foreign exchange market (forex) daily exchange rates time series is presented. The analysis was conducted on 42 exchange rates with PLN as the common base currency. The time series cover the period from 09.10.2007 till 08.08.2015. Cross-correlation of the time series was analysed by power law classification scheme. It was shown that the strength of correlation allows not only to properly distinguish crisis and prosperity periods but also, followed by network analysis, is capable of recognizing the nodes which are the source of the crisis.

Keywords

EN

89.65.Gh; 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)

• Journal: Acta Physica Polonica A
• Year: 2016
• Volume: 129
• Issue: 5
• Pages: 917-921

Dates

published

2016-05

Contributors

author

J. Miśkiewicz

• Institute of Theoretical Physics, University of Wrocław, pl. M. Borna 9, 50-204 Wrocław, Poland
• Department of Physics and Biophysics, Wrocław University of Environmental and Life Sciences, C.K. Norwida 25, 50-375 Wrocław, Poland

References

• [1] G.M. Grossman, E. Helpman, Am. Econ. Rev. 105, 100 (2015), doi: 10.1257/aer.p20151068
• [2] G.K. MacDonald, K.A. Brauman, Shipeng Sun, K.M. Carlson, E.S. Cassidy, J.S. Gerber, P.C. West, BioScience 65, 275 (2015), doi: 10.1093/biosci/biu225
• [3] E. Owen, D.P. Quinn, Brit. J. Polit. Sci. 46, 95 (2016), doi: 10.1017/S000712341400009X
• [4] J. Miśkiewicz, M. Ausloos, Int. J. Mod. Phys. C 17, 317 (2006), doi: 10.1142/S0129183106008480
• [5] J. Miśkiewicz, M. Ausloos, Physica A 387, 6584 (2008), doi: 10.1016/j.physa.2008.08.004
• [6] J. Miśkiewicz, M. Ausloos, Physica A 389, 797 (2010), doi: 10.1016/j.physa.2009.10.029
• [7] J. Miśkiewicz, Physica A 387, 6595 (2008), doi: 10.1016/j.physa.2008.08.007
• [8] R. Rak, S. Drożdż, J. Kwapień, P. Oświęcimka, Euro Phys. Lett. 112, 48001 (2015), doi: 10.1209/0295-5075/112/48001
• [9] B. Podobnik, D.F. Fu, H.E. Stanley, P.Ch. Ivanov, Eur. Phys. J. B 56, 47 (2007), doi: 10.1140/epjb/e2007-00089-3
• [10] V. Plerou, P. Gopikrishnan, B. Rosenow, L.A. Nunes Amaral, H. E. Stanley, Phys. Rev. Lett. 83, 1471 (1999), doi: 10.1103/PhysRevLett.83.1471
• [11] J. Miśkiewicz, Physica A 392, 2150 (2013), doi: 10.1016/j.physa.2012.12.039
• [12] J. Miśkiewicz, Acta Phys. Pol. A 123, 589 (2013), doi: 10.12693/APhysPolA.123.589
• [13] B. Podobnik, H.E. Stanley, Phys. Rev. Lett. 100, 084102 (2008), doi: 10.1103/PhysRevLett.100.084102
• [14] Wei-Xing Zhou, Phys. Rev. E 77, 066211 (2008), doi: 10.1103/PhysRevE.77.066211
• [15] Xi-Yuan Qian, Ya-Min Liu, Zhi-Qiang Jiang, B. Podobnik, Wei-Xing Zhou, H.E. Stanley, Phys. Rev. E 91, 062816 (2015), doi: 10.1103/PhysRevE.91.062816
• [16] P. Oświęcimka, S. Drożdż, M. Forczek, S. Jadach, J. Kwapień, Phys. Rev. E 89, 023305 (2014), doi: 10.1103/PhysRevE.89.023305
• [17] J. Miśkiewicz, in: Strength of Cross-Correlations in Crisis. Evolving Network Analysis, Eds.: I. Rojas, G. Ruiz, Copicentro Granada S.L. University of Granada, Spain 2014, p. 269
• [18] J. Miśkiewicz, Acta Phys. Pol. A 127, A-103 (2015), doi: 10.12693/APhysPolA.127.A-103

Identifiers

DOI

10.12693/APhysPolA.129.917