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Similarity measure and topology evolution of foreign exchange markets using dynamic time warping method: Evidence from minimal spanning tree

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Cited by:

  1. Li, Hailin, 2015. "Piecewise aggregate representations and lower-bound distance functions for multivariate time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 10-25.
  2. Li, Jianxuan & Shi, Yingying & Cao, Guangxi, 2018. "Topology structure based on detrended cross-correlation coefficient of exchange rate network of the belt and road countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1140-1151.
  3. Kalyagin, V.A. & Koldanov, A.P. & Koldanov, P.A., 2022. "Reliability of maximum spanning tree identification in correlation-based market networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 599(C).
  4. Oussama Tilfani & Paulo Ferreira & My Youssef El Boukfaoui, 2021. "Dynamic cross-correlation and dynamic contagion of stock markets: a sliding windows approach with the DCCA correlation coefficient," Empirical Economics, Springer, vol. 60(3), pages 1127-1156, March.
  5. V. A. Kalyagin & A. P. Koldanov & P. A. Koldanov, 2021. "Reliability of MST identification in correlation-based market networks," Papers 2103.14593, arXiv.org.
  6. Philip Hans Franses & Thomas Wiemann, 2020. "Intertemporal Similarity of Economic Time Series: An Application of Dynamic Time Warping," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 59-75, June.
  7. Mastroeni, Loretta & Mazzoccoli, Alessandro & Quaresima, Greta & Vellucci, Pierluigi, 2021. "Decoupling and recoupling in the crude oil price benchmarks: An investigation of similarity patterns," Energy Economics, Elsevier, vol. 94(C).
  8. V. A. Kalyagin & A. P. Koldanov & P. A. Koldanov & P. M. Pardalos, 2018. "Optimal decision for the market graph identification problem in a sign similarity network," Annals of Operations Research, Springer, vol. 266(1), pages 313-327, July.
  9. Huang, Wei-Qiang & Yao, Shuang & Zhuang, Xin-Tian & Yuan, Ying, 2017. "Dynamic asset trees in the US stock market: Structure variation and market phenomena," Chaos, Solitons & Fractals, Elsevier, vol. 94(C), pages 44-53.
  10. Lior Sidi, 2020. "Improving S&P stock prediction with time series stock similarity," Papers 2002.05784, arXiv.org.
  11. Veysel Fuat Hatipoğlu, 2016. "Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree," Alphanumeric Journal, Bahadir Fatih Yildirim, vol. 5(1), pages 163-169, June.
  12. Aleksandra Rutkowska & Magdalena Szyszko, 2022. "New DTW Windows Type for Forward- and Backward-Lookingness Examination. Application for Inflation Expectation," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 701-718, February.
  13. Djauhari, Maman Abdurachman & Gan, Siew Lee, 2015. "Optimality problem of network topology in stocks market analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 108-114.
  14. Zhu, Xiaoqian & Xie, Yongjia & Li, Jianping & Wu, Dengsheng, 2015. "Change point detection for subprime crisis in American banking: From the perspective of risk dependence," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 18-28.
  15. Katerina Rigana & Ernst-Jan Camiel Wit & Samantha Cook, 2021. "Using Network-based Causal Inference to Detect the Sources of Contagion in the Currency Market," Papers 2112.13127, arXiv.org.
  16. Wang, Gang-Jin & Xie, Chi, 2015. "Correlation structure and dynamics of international real estate securities markets: A network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 176-193.
  17. Kartikay Gupta & Niladri Chatterjee, 2020. "Examining Lead-Lag Relationships In-Depth, With Focus On FX Market As Covid-19 Crises Unfolds," Papers 2004.10560, arXiv.org, revised May 2020.
  18. Huang, Wei-Qiang & Zhuang, Xin-Tian & Yao, Shuang & Uryasev, Stan, 2016. "A financial network perspective of financial institutions’ systemic risk contributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 183-196.
  19. Esmalifalak, Hamidreza, 2022. "Euclidean (dis)similarity in financial network analysis," Global Finance Journal, Elsevier, vol. 53(C).
  20. Wang, Gang-Jin & Xie, Chi, 2013. "Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1418-1428.
  21. V. A. Kalyagin & P. A. Koldanov & P. M. Pardalos, 2015. "Optimal decision for the market graph identification problem in sign similarity network," Papers 1512.06449, arXiv.org.
  22. Stübinger, Johannes, 2018. "Statistical arbitrage with optimal causal paths on high-frequencydata of the S&P 500," FAU Discussion Papers in Economics 01/2018, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  23. Xin Yang & Shigang Wen & Zhifeng Liu & Cai Li & Chuangxia Huang, 2019. "Dynamic Properties of Foreign Exchange Complex Network," Mathematics, MDPI, vol. 7(9), pages 1-19, September.
  24. Oussama Tilfani & Paulo Ferreira & Andreia Dionisio & My Youssef El Boukfaoui, 2020. "EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients," JRFM, MDPI, vol. 13(5), pages 1-23, May.
  25. Gang-Jin Wang & Chi Xie & Peng Zhang & Feng Han & Shou Chen, 2014. "Dynamics of Foreign Exchange Networks: A Time-Varying Copula Approach," Discrete Dynamics in Nature and Society, Hindawi, vol. 2014, pages 1-11, May.
  26. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
  27. Xie Chi & Zhou Yingying & Wang Gangjin & Yan Xinguo, 2017. "Investigating the Disparities of China’s Insurance Market Based on Minimum Spanning Tree from the Viewpoint of Geography and Enterprise," Journal of Systems Science and Information, De Gruyter, vol. 5(3), pages 216-228, June.
  28. Haiming Long & Ji Zhang & Nengyu Tang, 2017. "Does network topology influence systemic risk contribution? A perspective from the industry indices in Chinese stock market," PLOS ONE, Public Library of Science, vol. 12(7), pages 1-19, July.
  29. Gang-Jin Wang & Chi Xie & Shou Chen, 2017. "Multiscale correlation networks analysis of the US stock market: a wavelet analysis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(3), pages 561-594, October.
  30. Franses, Ph.H.B.F. & Wiemann, T., 2018. "Intertemporal Similarity of Economic Time Series," Econometric Institute Research Papers EI2018-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  31. Li, Bing & Liao, Zefang, 2020. "Finding changes in the foreign exchange market from the perspective of currency network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  32. Wang, Dan & Huang, Wei-Qiang, 2021. "Centrality-based measures of financial institutions’ systemic importance: A tail dependence network view," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).
  33. DaHyun Kim & Saehoon Kim & Jae Seung Lee, 2023. "The rise and fall of industrial clusters: experience from the resilient transformation in South Korea," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 71(2), pages 391-413, October.
  34. Yu, Jia-Wei & Xie, Wen-Jie & Jiang, Zhi-Qiang, 2018. "Early warning model based on correlated networks in global crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1335-1343.
  35. Djauhari, Maman Abdurachman & Gan, Siew Lee, 2013. "Minimal spanning tree problem in stock networks analysis: An efficient algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2226-2234.
  36. Kalyagin, V. & Koldanov, A. & Koldanov, P. & Pardalos, P., 2017. "Statistical Procedures for Stock Markets Network Structures Identification," Journal of the New Economic Association, New Economic Association, vol. 35(3), pages 33-52.
  37. Franses, Ph.H.B.F., 2019. "Do African economies grow similarly?," Econometric Institute Research Papers EI2019-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  38. Wang, Gang-Jin & Xie, Chi & Chen, Shou & Yang, Jiao-Jiao & Yang, Ming-Yan, 2013. "Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3715-3730.
  39. Pereira, Hernane Borges de Barros & Rosário, Raphael Silva do & Pereira, Eder Johnson de Area Leão & Moreira, Davidson Martins & Ferreira, Paulo & Miranda, José Garcia Vivas, 2022. "Network dynamic and stability on European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 587(C).
  40. Mansooreh Kazemilari & Ali Mohamadi, 2018. "Topological Network Analysis Based on Dissimilarity Measure of Multivariate Time Series Evolution in the Subprime Crisis," IJFS, MDPI, vol. 6(2), pages 1-16, May.
  41. Sun, Xuelian & Liu, Zixian, 2016. "Optimal portfolio strategy with cross-correlation matrix composed by DCCA coefficients: Evidence from the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 667-679.
  42. Nguyen, Q. & Nguyen, N.K. K. & Nguyen, L.H. N., 2019. "Dynamic topology and allometric scaling behavior on the Vietnamese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 235-243.
  43. Nguyen, Q. & Nguyen, N.K.K., 2019. "Composition of the first principal component of a stock index — A comparison between SP500 and VNIndex," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  44. Bouri, Elie & Saeed, Tareq & Vo, Xuan Vinh & Roubaud, David, 2021. "Quantile connectedness in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
  45. Gang-Jin Wang & Chi Xie & H. Eugene Stanley, 2018. "Correlation Structure and Evolution of World Stock Markets: Evidence from Pearson and Partial Correlation-Based Networks," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 607-635, March.
  46. Kazemilari, Mansooreh & Djauhari, Maman Abdurachman, 2015. "Correlation network analysis for multi-dimensional data in stocks market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 62-75.
  47. Mansooreh Kazemilari & Maman Abdurachman Djauhari & Zuhaimy Ismail, 2016. "Foreign Exchange Market Performance: Evidence from Bivariate Time Series Approach," Papers 1608.07694, arXiv.org.
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