Statistical Properties of the Foreign Exchange Network at Different Time Scales: Evidence from Detrended Cross-Correlation Coefficient and Minimum Spanning Tree

Statistical Properties of the Foreign Exchange Network at Different Time Scales: Evidence from Detrended Cross-Correlation Coefficient and Minimum Spanning Tree

We investigate the statistical properties of the foreign exchange (FX) network at different time scales by two approaches, namely the methods of detrended cross-correlation coefficient (DCCA coefficient) and minimum spanning tree (MST). The daily FX rates of 44 major currencies in the period of 2007...

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Bibliographic Details
Main Authors: Gang-Jin Wang, Chi Xie, Yi-Jun Chen, Shou Chen
Format: Article
Language:English
Published: MDPI AG 2013-05-01
Series:Entropy
Subjects:
econophysics
networks
detrended cross-correlation coefficient
minimumspanning tree
foreign exchange market
Online Access:http://www.mdpi.com/1099-4300/15/5/1643

Internet

http://www.mdpi.com/1099-4300/15/5/1643

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