2024
DOI: 10.3390/e26040279
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The Impact of the Measure Used to Calculate the Distance between Exchange Rate Time Series on the Topological Structure of the Currency Network

Joanna Andrzejak,
Leszek J. Chmielewski,
Joanna Landmesser-Rusek
et al.

Abstract: Structural properties of the currency market were examined with the use of topological networks. Relationships between currencies were analyzed by constructing minimal spanning trees (MSTs). The dissimilarities between time series of currency returns were measured in various ways: by applying Euclidean distance, Pearson’s linear correlation coefficient, Spearman’s rank correlation coefficient, Kendall’s coefficient, partial correlation, dynamic time warping measure, and Kullback–Leibler relative entropy. For t… Show more

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