2013/05/01 by Sitabhra Sinha, Sinha, Sitabhra, Uday Kovur +1
Economics, Econometrics and Finance · Physics and Astronomy · Psychology · #Complex Network Analysis Techniques #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Physical sciences #Mental Health Research Topics #Physics and Society (physics.soc-ph) #Statistical Finance (q-fin.ST)
paper · pdf · doi:10.48550/arxiv.1305.0239
openalex publication_date 2013/05/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
The cross-correlations between the exchange rate fluctuations of 74\ncurrencies over the period 1995-2012 are analyzed in this paper. The eigenvalue\ndistribution of the cross-correlation matrix exhibits a bulk which\napproximately matches the bounds predicted from random matrices constructed\nusing mutually uncorrelated time-series. However, a few large eigenvalues\ndeviating from the bulk contain important information about the global market\nmode as well as important clusters of strongly interacting currencies.We\nreconstruct the network structure of the world currency market by using two\ndifferent graph representation techniques, after filtering out the effects of\nglobal or market-wide signals on the one hand and random effects on the other.\nThe two networks reveal complementary insights about the major motive forces of\nthe global economy, including the identification of a group of potentially fast\ngrowing economies whose development trajectory may affect the global economy in\nthe future as profoundly as the rise of India and China has affected it in the\npast decades.\n