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Network topology of foreign exchange rate


Sharif, Shamshuritawati and Yusoff, Nur Syahidah and Djauhari, Maman A. (2012) Network topology of foreign exchange rate. Modern Applied Science, 6 (11). pp. 35-43. ISSN 1913-1844

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Abstract

In this paper we use a network topology approach to examine the interrelationship of 55 world currencies which is based on correlation analysis.With this point of view, those relationships can be measured by a correlation structure among currencies.To analyse that network, we filter the important information contained therein by using minimum spanning tree, and we interpret it by using a centrality measures. This topology will gives us a useful guide to understand their behaviour and to determine the dominance currency in the network as part of a complex network.The results show that HKD-Hong Kong Dollar is the most dominance currencies, followed by in order of importance; SGD-Singapore Dollar, USD-US Dollar, SAR-Saudi Riyal, and TWD-New Taiwan Dollar.

Item Type: Article
Uncontrolled Keywords: adjacency matrix, complex system, correlation matrix, distance matrix
Subjects: Q Science > QA Mathematics > QA76 Computer software
Divisions: College of Arts and Sciences
Depositing User: Dr. Shamshuritawati Sharif
Date Deposited: 04 Nov 2014 08:55
Last Modified: 04 Nov 2014 08:55
URI: http://repo.uum.edu.my/id/eprint/12534

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