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Complexity characteristics of currency networks

Andrzej Z. Górski 1Stanisław Drożdż 1,2Jarosław Kwapień 1Paweł Oświęcimka 1

1. Polish Academy of Sciences, Institute of Nuclear Physics (IFJ PAN), Radzikowskiego 152, Kraków 31-342, Poland
2. University of Rzeszów, Institute of Physics, Department of Complex Systems, Rejtana 16, Rzeszów 35-310, Poland

Abstract

Realistic complex systems are often represented as networks of interacting nodes. To this end the graph and complex networks theory is usually applied. The basic notions for graphs and networks are recalled, in particular the scale free distribution of interconnections among nodes. The special role of these interconnections in complex physical systems is also reminded. Correlation matrices of large number of FOREX time series are constructed. The triangle effect is shown to distinguish the currency and equity markets reducing the number of independent returns (time series) by one. The basic properties of correlation matrices are also listed. The Minimum Spanning Trees for correlation coefficients are constructed using the Mantegna algorithm. The rule of the choice of the base currency is explained. Finally we show the scale free (power like) behavior of the degree distribution of the Mantegna graphs for various base currencies.

 

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Presentation: Oral at 2 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", Econophysics, by Andrzej Z. Górski
See On-line Journal of 2 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2006-02-24 11:45
Revised:   2009-06-07 00:44