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Visibility graph approach to exchange rate series

Author

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  • Yang, Yue
  • Wang, Jianbo
  • Yang, Huijie
  • Mang, Jingshi

Abstract

By means of a visibility graph, we investigate six important exchange rate series. It is found that the series convert into scale-free and hierarchically structured networks. The relationship between the scaling exponents of the degree distributions and the Hurst exponents obeys the analytical prediction for fractal Brownian motions. The visibility graph can be used to obtain reliable values of Hurst exponents of the series. The characteristics are explained by using the multifractal structures of the series. The exchange rate of EURO to Japanese Yen is widely used to evaluate risk and to estimate trends in speculative investments. Interestingly, the hierarchies of the visibility graphs for the exchange rate series of these two currencies are significantly weak compared with that of the other series.

Suggested Citation

  • Yang, Yue & Wang, Jianbo & Yang, Huijie & Mang, Jingshi, 2009. "Visibility graph approach to exchange rate series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(20), pages 4431-4437.
    • Handle: RePEc:eee:phsmap:v:388:y:2009:i:20:p:4431-4437
    DOI: 10.1016/j.physa.2009.07.016
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    Cited by:

    1. An, Haizhong & Gao, Xiangyun & Fang, Wei & Huang, Xuan & Ding, Yinghui, 2014. "The role of fluctuating modes of autocorrelation in crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 393(C), pages 382-390.
    2. Mondal, Mitali & Mondal, Arindam & Mondal, Joyati & Patra, Kanchan Kumar & Deb, Argha & Ghosh, Dipak, 2018. "Evidence of centrality dependent fractal behavior in high energy heavy ion interactions: Hint of two different sources," Chaos, Solitons & Fractals, Elsevier, vol. 113(C), pages 230-237.
    3. Xie, Wen-Jie & Zhou, Wei-Xing, 2011. "Horizontal visibility graphs transformed from fractional Brownian motions: Topological properties versus the Hurst index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3592-3601.
    4. Yao, Can-Zhong & Lin, Ji-Nan & Zheng, Xu-Zhou & Liu, Xiao-Feng, 2015. "The study of RMB exchange rate complex networks based on fluctuation mode," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 359-376.
    5. Junran Wu & Ke Xu & Xueyuan Chen & Shangzhe Li & Jichang Zhao, 2021. "Price graphs: Utilizing the structural information of financial time series for stock prediction," Papers 2106.02522, arXiv.org, revised Nov 2021.
    6. Chen, Shiyu & Hu, Yong & Mahadevan, Sankaran & Deng, Yong, 2014. "A visibility graph averaging aggregation operator," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 1-12.
    7. Sainaghi, Ruggero & Baggio, Rodolfo, 2017. "Complexity traits and dynamics of tourism destinations," Tourism Management, Elsevier, vol. 63(C), pages 368-382.
    8. Liu, Keshi & Weng, Tongfeng & Gu, Changgui & Yang, Huijie, 2020. "Visibility graph analysis of Bitcoin price series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    9. Long, Yu, 2013. "Visibility graph network analysis of gold price time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(16), pages 3374-3384.
    10. Tang, Jinjun & Wang, Yinhai & Wang, Hua & Zhang, Shen & Liu, Fang, 2014. "Dynamic analysis of traffic time series at different temporal scales: A complex networks approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 303-315.
    11. Hao-Ran Liu & Wei-Xing Zhou, 2023. "Visibility graph analysis of the grains and oilseeds indices," Papers 2304.05760, arXiv.org.
    12. Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2010. "Complex stock trading network among investors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4929-4941.
    13. Liu, Chuang & Zhou, Wei-Xing & Yuan, Wei-Kang, 2010. "Statistical properties of visibility graph of energy dissipation rates in three-dimensional fully developed turbulence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(13), pages 2675-2681.
    14. Yuecheng Huang & Wuyi Cheng & Sida Luo & Yun Luo & Chengchen Ma & Tailin He, 2016. "Features of the Asynchronous Correlation between the China Coal Price Index and Coal Mining Accidental Deaths," PLOS ONE, Public Library of Science, vol. 11(11), pages 1-18, November.
    15. Zhang, Rong & Ashuri, Baabak & Shyr, Yu & Deng, Yong, 2018. "Forecasting Construction Cost Index based on visibility graph: A network approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 493(C), pages 239-252.
    16. Dai, Peng-Fei & Xiong, Xiong & Zhou, Wei-Xing, 2019. "Visibility graph analysis of economy policy uncertainty indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 531(C).
    17. Braga, A.C. & Alves, L.G.A. & Costa, L.S. & Ribeiro, A.A. & de Jesus, M.M.A. & Tateishi, A.A. & Ribeiro, H.V., 2016. "Characterization of river flow fluctuations via horizontal visibility graphs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 1003-1011.
    18. Sun, Mei & Wang, Yaqi & Gao, Cuixia, 2016. "Visibility graph network analysis of natural gas price: The case of North American market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 1-11.
    19. Ömer Akgüller & Mehmet Ali Balcı & Larissa M. Batrancea & Lucian Gaban, 2023. "Path-Based Visibility Graph Kernel and Application for the Borsa Istanbul Stock Network," Mathematics, MDPI, vol. 11(6), pages 1-25, March.
    20. Wang, Na & Li, Dong & Wang, Qiwen, 2012. "Visibility graph analysis on quarterly macroeconomic series of China based on complex network theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6543-6555.
    21. Shengli, Liu & Yongtu, Liang, 2019. "Exploring the temporal structure of time series data for hazardous liquid pipeline incidents based on complex network theory," International Journal of Critical Infrastructure Protection, Elsevier, vol. 26(C).
    22. Dong, Yan & Huang, Wenwen & Liu, Zonghua & Guan, Shuguang, 2013. "Network analysis of time series under the constraint of fixed nearest neighbors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 967-973.
    23. O’Pella, Justin, 2019. "Horizontal visibility graphs are uniquely determined by their directed degree sequence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    24. Wang, Minggang & Tian, Lixin, 2016. "From time series to complex networks: The phase space coarse graining," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 456-468.
    25. Mutua Stephen & Changgui Gu & Huijie Yang, 2015. "Visibility Graph Based Time Series Analysis," PLOS ONE, Public Library of Science, vol. 10(11), pages 1-19, November.

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