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Dynamical clustering of exchange rates

Abstract:

We use techniques from network science to study correlations in the foreign exchange (FX) market during the period 1991-2008. We consider an FX market network in which each node represents an exchange rate and each weighted edge represents a time-dependent correlation between the rates. To provide insights into the clustering of the exchange-rate time series, we investigate dynamic communities in the network. We show that there is a relationship between an exchange rate's functional role with...

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Publication status:
Published

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Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Inst
McDonald, M More by this author
Williams, S More by this author
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Journal:
QUANTITATIVE FINANCE
Volume:
12
Issue:
10
Pages:
1493-1520
Publication date:
2012
DOI:
EISSN:
1469-7696
ISSN:
1469-7688
URN:
uuid:323ccbb1-5377-45ec-972f-739ec37a71bc
Source identifiers:
344452
Local pid:
pubs:344452

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