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Correlation network analysis in currency exchange rates

S. Y., Lim and M. S., Rohayu (2018) Correlation network analysis in currency exchange rates. In: A letter on applications of mathematics and statistics. Penerbit UTHM, pp. 7-19.

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Abstract

This paper focused about the application of correlation network analysis on currency exchange rate in order to examine the interrelationship and behaviours of 151 world currencies. Correlation structure is used to measure the relationships among currencies. In spite of that, minimum spanning tree is used to analyse the network of currency exchange rate and filter the essence information which contained in the network. Centrality measures such as degree centrality, closeness centrality and betweenness centrality are being used to interpret the network in more details. Topology showed in the network will give a useful and helpful guide to understand the behaviours among the world currencies. It also helps to determine the most important currency in the network. The results show that HKD-Hong Kong Dollar and SGD-Singapore Dollar are the most important currencies, followed by in order of importance; French Franc, Cypriot Pound, Sudanese Old Pound, UAE Dirham, Bolivian Boliviano and US Dollar.

Item Type: Book Section
Uncontrolled Keywords: Minimum spanning tree, currency, centrality measures, correlation network analysis
Subjects: T Technology > T Technology (General)
Depositing User: Mr Abdul Rahim Mat Radzuan
Date Deposited: 31 Oct 2019 02:41
Last Modified: 31 Oct 2019 02:41
URI: http://eprints.uthm.edu.my/id/eprint/11868
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