Sign and Amplitude Representation of the Forex Networks |
| S. Gworeka, J. Kwapieńa and S. Drożdża, b
a Institute of Nuclear Physics, Polish Academy of Sciences, E. Radzikowskiego 152, 31-342 Kraków, Poland b Faculty of Mathematics and Natural Sciences, University of Rzeszów, Rzeszów, Poland |
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| We decompose the exchange rates returns of 38 currencies (including gold) into their sign and amplitude components. Then we group together all exchange rates with a common base currency, construct Minimal Spanning Trees for each group independently, and analyze properties of these trees. We show that both the sign and the amplitude time series have similar correlation properties as far as the core network structure is concerned. There exist however interesting peripheral differences that may open a new perspective to view the Forex dynamics. |
| DOI: 10.12693/APhysPolA.117.681 PACS numbers: 89.75.Da, 89.75.Fb |