Understanding the Impact of COVID–19 on Global Financial Network Using Graph Based Algorithm: Minimum Spanning Tree Approach

Hatipoğlu, Veysel Fuat

doi:10.2478/fcds-2021-0008

Cited by 5 publications

(2 citation statements)

References 32 publications

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“…The COVID-19 pandemic has affected the global economic system, including the currency market. Hatipoğlu (2021) examined the effects of the COVID-19 pandemic on the stock market network. Two MSTs were constructed before and during the pandemic based on DTW distances.…”

Section: Literature Reviewmentioning

confidence: 99%

Network analysis of the foreign exchange market using minimum spanning trees constructed from the dynamic time warping distance measure

Landmesser-Rusek

2024

Argumenta Oeconomica

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This paper evaluates the changes that occurred in the topological structure of the foreign exchange market due to the COVID-19 pandemic and after the Russian invasion of Ukraine. A network of 17 currencies was analysed from 1.01.2019 to 31.07.2022 in four sub-periods: before the pandemic, in the year of the pandemic outbreak, in the further course of the pandemic, and the year the war started. Dynamic time warping (DTW) distances between pairs of time series for individual currencies were calculated, and based on these distances, minimum spanning trees (MST) were constructed whose topological characteristics were then analysed. The results show that the topological structure of the foreign exchange market varied in the sub-periods studied. The financial crises caused by the COVID-19 pandemic and the Russian invasion of Ukraine affected the FX network in different ways. However, the two strongest monetary clusters (i.e. clusters centred on the USD and EUR, respectively) have still emerged. Comparing the MSTs for the crisis sub-periods, it can be seen that the USD took a dominant position during the pandemic outbreak, while the EUR played a more significant role during the war. This study contributes to the literature by characterising the topological structure of the FX market in specific sub-periods – during the COVID-19 pandemic and after the Russian invasion of Ukraine. Thus, it represents a particularly relevant study of the impact of crises on the global financial market.

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Section: Literature Reviewmentioning

confidence: 99%

Network analysis of the foreign exchange market using minimum spanning trees constructed from the dynamic time warping distance measure

Landmesser-Rusek

2024

Argumenta Oeconomica

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“…We will compare this study with the study of financial markets under COVID-19 [ 15 , 16 ]. Hatipoğlu (2021) analyzed the economic network under COVID-19 using the minimum spanning tree.…”

Section: Introductionmentioning

confidence: 99%

Explanatory Change Detection in Financial Markets by Graph-Based Entropy and Inter-Domain Linkage

Nishikawa

Yoshino

Sugie

et al. 2022

Entropy

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In this study, we analyzed structural changes in financial markets under COVID-19 to support investors’ investment decisions. Because an explanation of these changes is necessary to respond appropriately to said changes and prepare for similar major changes in the future, we visualized the financial market as a graph. The hypothesis was based on expertise in the financial market, and the graph was analyzed from a detailed perspective by dividing the graph into domains. We also designed an original change-detection indicator based on the structure of the graph. The results showed that the original indicator was more effective than the comparison method in terms of both the speed of response and accuracy. Explanatory change detection of this method using graphs and domains allowed investors to consider specific strategies.

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A New Closeness Centrality Measure based on Minimum Weight Spanning Tree

Davidrajuh

2023

2023 9th International Conference on Systems and Informatics (ICSAI)

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Understanding the Impact of COVID–19 on Global Financial Network Using Graph Based Algorithm: Minimum Spanning Tree Approach

Cited by 5 publications

References 32 publications

Network analysis of the foreign exchange market using minimum spanning trees constructed from the dynamic time warping distance measure

Network analysis of the foreign exchange market using minimum spanning trees constructed from the dynamic time warping distance measure

Explanatory Change Detection in Financial Markets by Graph-Based Entropy and Inter-Domain Linkage

A New Closeness Centrality Measure based on Minimum Weight Spanning Tree

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