Detecting a currency's dominance or dependence using foreign exchange network trees.

  title={Detecting a currency's dominance or dependence using foreign exchange network trees.},
  author={Mark McDonald and Omer Suleman and Stacy Williams and Sam D. Howison and Neil F. Johnson},
  journal={Physical review. E, Statistical, nonlinear, and soft matter physics},
  volume={72 4 Pt 2},
In a system containing a large number of interacting stochastic processes, there will typically be many nonzero correlation coefficients. This makes it difficult to either visualize the system's interdependencies, or identify its dominant elements. Such a situation arises in foreign exchange (FX), which is the world's biggest market. Here we develop a network analysis of these correlations using minimum spanning trees (MSTs). We show that not only do the MSTs provide a meaningful representation… CONTINUE READING
Highly Cited
This paper has 19 citations. REVIEW CITATIONS
Recent Discussions
This paper has been referenced on Twitter 1 time over the past 90 days. VIEW TWEETS

From This Paper

Figures, tables, and topics from this paper.


Publications citing this paper.
Showing 1-10 of 13 extracted citations


Publications referenced by this paper.

An Introduction to High Frequency Finance  Academic Press , New York , 2001  .  7  R . N . Mantegna

  • R. Gencay, U. Muller, R. B. Olsen
  • Phys . Rev . Lett .
  • 2003

Similar Papers

Loading similar papers…