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Correlation Networks Among Currencies

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  • Takayuki Mizuno
  • Hideki Takayasu
  • Misako Takayasu

Abstract

By analyzing the foreign exchange market data of various currencies, we derive a hierarchical taxonomy of currencies constructing minimal-spanning trees. Clustered structure of the currencies and the key currency in each cluster are found. The clusters match nicely with the geographical regions of corresponding countries in the world such as Asia or East Europe, the key currencies are generally given by major economic countries as expected.

Suggested Citation

  • Takayuki Mizuno & Hideki Takayasu & Misako Takayasu, 2005. "Correlation Networks Among Currencies," Papers physics/0508164, arXiv.org, revised Aug 2005.
    • Handle: RePEc:arx:papers:physics/0508164
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    Cited by:

    1. Champagne, Claudia, 2014. "The international syndicated loan market network: An “unholy trinity”?," Global Finance Journal, Elsevier, vol. 25(2), pages 148-168.
    2. Zhang, Xin & Podobnik, Boris & Kenett, Dror Y. & Eugene Stanley, H., 2014. "Systemic risk and causality dynamics of the world international shipping market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 43-53.

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