汇率的动态聚类
Dynamical Clustering of Exchange Rates
摘要：
我们使用网络科学的技术来研究1991- 2008年期间外汇（FX）市场的相关性。我们考虑一个外汇市场网络，其中每个节点代表一个汇率，每个加权边代表汇率之间的时间相关性。为了深入了解汇率时间序列的聚类，我们研究了网络中的动态社区。我们发现，有一个汇率的功能作用在市场上，其在其社区内的位置之间的关系，并使用一个以节点为中心的社区分析，以跟踪这个角色的时间动态。这揭示了哪些汇率在特定时期主导市场，并确定了在市场作用方面经历了重大变化的汇率。我们还使用社区动态来揭示外汇市场发生的重大结构性变化。我们的技术是通用的，对于研究其他市场的相关性也同样有用。
英文摘要：
We use techniques from network science to study correlations in the foreign exchange (FX) market over the period 1991--2008. We consider an FX market network in which each node represents an exchange rate and each weighted edge represents a time-dependent correlation between the rates. To provide insights into the clustering of the exchange rate time series, we investigate dynamic communities in the network. We show that there is a relationship between an exchange rate's functional role within the market and its position within its community and use a node-centric community analysis to track the time dynamics of this role. This reveals which exchange rates dominate the market at particular times and also identifies exchange rates that experienced significant changes in market role. We also use the community dynamics to uncover major structural changes that occurred in the FX market. Our techniques are general and will be similarly useful for investigating correlations in other markets.
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