Influence Networks in the Foreign Exchange Market [chapter]

Arthur M. Y. R. Sousa, Hideki Takayasu, Misako Takayasu
2015 Proceedings of the International Conference on Social Modeling and Simulation, plus Econophysics Colloquium 2014  
The Foreign Exchange Market is a market for the trade of currencies and it defines their relative values. The study of the interdependence and correlation between price fluctuations of currencies is important to understand this market. For this purpose, in this work we search for the dependence between the time series of prices for pairs of currencies using a mutual information approach. By applying time shifts we are able to detect time delay in the dependence, what enable us to construct a
more » ... s to construct a directed network showing the influence structure of the market. Finally, we obtain a dynamic description of this structure by analyzing the time evolution of the network. Since the period of analysis includes the great earthquake in Japan in 2011, we can observe how such big events affect the network.
doi:10.1007/978-3-319-20591-5_1 fatcat:qvpf7txjtvab7iuxusv3wyqs6a