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Analysis of a Correlation Network in World Currency Exchange Market

Mansooreh Kazemi Lari, Maman Abdurachman Djauhari

Abstract



This paper analyses a correlation network of world currency exchange rate. We examine the network topology of 54 foreign currency exchange rate from 2009- 2012 by using the minimum spanning tree method. The approach developed by Mantegna in 1999 has been used to transform the correlation matrix into distance matrix. We perform a network
analysis based on centrality measures in order to understand currency’s behavior and also identify the most influential currencies.

Keywords


Centrality measure, network analysis, minimum spanning tree

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