Foreign currency network: its structure, evolution and subtle interactions
|Sylwia Gworek 1, Stanisław Drożdż 1,2, Jarosław Kwapień 1|
1. Polish Academy of Sciences, Institute of Nuclear Physics (IFJ PAN), Radzikowskiego 152, Kraków 31-342, Poland
We analyze the structure of the world foreign currency exchange market viewed as a network of interacting currencies. We analyze daily times series for a set of 40 independent currencies and gold (by independent currencies we mean currencies which are not explicitly pegged to any other currency). Our data spans the time period 1999-2008. We group together all the exchange rates with a common base currency and study each group separately. Essentially, our study goes into four directions: (i) we analyze topology of different network representations (i.e. for different base currencies) trying to identify roles played by distinct currencies in the world's currency system; (ii) we consider temporal evolution of the forex network and investigate the long-term trends alternating the network's structure; (iii) we deconstruct the data into sign and amplitude components in order to analyze impact of these components on global network structure and behaviour; (iv) we search for subtle effects of information transfer between distinct currency cross-rates, which can be identifiable at daily time scales.
Presentation: Oral at 4 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Sylwia Gworek
See On-line Journal of 4 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"
Submitted: 2009-03-11 11:33 Revised: 2009-06-07 00:48