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Analysis of a network structure of the foreign currency exchange market

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Author Info

  • Jarosław Kwapień

    ()

  • Sylwia Gworek
  • Stanisław Drożdż
  • Andrzej Górski
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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11403-009-0047-9
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    Bibliographic Info

    Article provided by Springer in its journal Journal of Economic Interaction and Coordination.

    Volume (Year): 4 (2009)
    Issue (Month): 1 (June)
    Pages: 55-72

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    Handle: RePEc:spr:jeicoo:v:4:y:2009:i:1:p:55-72

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    Web page: http://www.springer.com/economics/economic+theory/journal/11403

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    Web: http://link.springer.de/orders.htm

    Related research

    Keywords: Foreign exchange market; Correlation matrix; Networks; Minimal spanning tree;

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. G. Bonanno & G. Caldarelli & F. Lillo & S. Micciché & N. Vandewalle & R. Mantegna, 2004. "Networks of equities in financial markets," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 38(2), pages 363-371, 03.
    2. Michael J. Naylor & Lawrence C. Rose & Brendan J. Moyle, 2006. "Topology of Foreign Exchange Markets using Hierarchical Structure Methods," Papers physics/0608084, arXiv.org, revised Nov 2006.
    3. S. Drozdz & M. Forczek & J. Kwapien & P. Oswiecimka & R. Rak, 2007. "Stock market return distributions: from past to present," Papers 0704.0664, arXiv.org.
    4. R. Mantegna, 1999. "Hierarchical structure in financial markets," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 11(1), pages 193-197, September.
    5. S. Drożdż & A. Z. Górski & J. Kwapień, 2007. "World currency exchange rate cross-correlations," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 58(4), pages 499-502, 08.
    6. Dong-Hee Kim & Hawoong Jeong, 2005. "Systematic analysis of group identification in stock markets," Papers physics/0503076, arXiv.org, revised Oct 2005.
    7. Sieczka, Paweł & Hołyst, Janusz A., 2009. "Correlations in commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1621-1630.
    8. Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna, 2000. "High-frequency Cross-correlation in a Set of Stocks," Papers cond-mat/0009350, arXiv.org, revised Nov 2000.
    9. Yukihiro Aiba & Naomichi Hatano & Hideki Takayasu & Kouhei Marumo & Tokiko Shimizu, 2002. "Triangular arbitrage as an interaction among foreign exchange rates," Papers cond-mat/0202391, arXiv.org, revised Mar 2002.
    10. S. Drozdz & A. Z. Gorski & J. Kwapien, 2007. "World currency exchange rate cross-correlations," Papers 0708.4347, arXiv.org.
    11. Mizuno, Takayuki & Takayasu, Hideki & Takayasu, Misako, 2006. "Correlation networks among currencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 364(C), pages 336-342.
    12. S. Drozdz & J. Kwapien & F. Gruemmer & F. Ruf & J. Speth, 2002. "Are the contemporary financial fluctuations sooner converging to normal?," Papers cond-mat/0208240, arXiv.org, revised Jul 2003.
    13. Aiba, Yukihiro & Hatano, Naomichi & Takayasu, Hideki & Marumo, Kouhei & Shimizu, Tokiko, 2002. "Triangular arbitrage as an interaction among foreign exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 310(3), pages 467-479.
    14. A. Z. Górski & S. Drożdż & J. Kwapień, 2008. "Scale free effects in world currency exchange network," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 66(1), pages 91-96, November.
    15. A. Z. Gorski & S. Drozdz & J. Kwapien, 2008. "Scale free effects in world currency exchange network," Papers 0810.1215, arXiv.org.
    16. J.-P. Onnela & K. Kaski & J. Kertész, 2004. "Clustering and information in correlation based financial networks," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 38(2), pages 353-362, 03.
    17. Drożdż, S. & Forczek, M. & Kwapień, J. & Oświe¸cimka, P. & Rak, R., 2007. "Stock market return distributions: From past to present," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 59-64.
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    Citations

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    Cited by:
    1. Leonidas Sandoval Junior, 2011. "Pruning a Minimum Spanning Tree," Papers 1109.0642, arXiv.org.
    2. Sandoval, Leonidas & Franca, Italo De Paula, 2012. "Correlation of financial markets in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 187-208.
    3. Sandoval, Leonidas, 2012. "Pruning a minimum spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2678-2711.
    4. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2012. "Stock market networks: The dynamic conditional correlation approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(16), pages 4147-4158.
    5. Leonidas Sandoval Junior, 2011. "Cluster formation and evolution in networks of financial market indices," Papers 1111.5069, arXiv.org.
    6. Leonidas Sandoval Junior, 2011. "A Map of the Brazilian Stock Market," Papers 1107.4146, arXiv.org, revised Mar 2013.
    7. Feng, Xiaobing & Hu, Haibo & Wang, Xiaofan, 2010. "The evolutionary synchronization of the exchange rate system in ASEAN+6," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5785-5793.
    8. Sandoval, Leonidas Junior, 2013. "To lag or not to lag? How to compare indices of stock markets that operate at different times," Insper Working Papers wpe_319, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.

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