Weighted Signed Networks Reveal Interactions between US Foreign Exchange Rates
Leixin Yang,
Haiying Wang,
Changgui Gu
et al.
Abstract:Correlations between exchange rates are valuable for illuminating the dynamics of international trade and the financial dynamics of countries. This paper explores the changing interactions of the US foreign exchange market based on detrended cross-correlation analysis. First, we propose an objective way to choose a time scale parameter appropriate for comparing different samples by maximizing the summed magnitude of all DCCA coefficients. We then build weighted signed networks under this optimized time scale, … Show more
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