揭示世界货币市场的网络结构：每日汇率波动的交叉相关性
Uncovering the network structure of the world currency market: Cross-correlations in the fluctuations of daily exchange rates
摘要：
本文分析了1995-2012年74种货币汇率波动之间的互相关关系。交叉相关矩阵的特征值分布呈现出与从使用互不相关的时间序列构造的随机矩阵预测的边界近似匹配的体积。然而，一些大的特征值偏离大部分包含重要信息的全球市场模式，以及重要集群的强相互作用currency.We重建网络结构的世界货币市场，通过使用两种不同的图形表示技术，过滤后的影响，全球或市场范围内的信号，一方面和随机效应。这两个网络揭示了关于全球经济主要动力的互补性见解，包括确定了一组潜在的快速增长经济体，其发展轨迹可能会对未来的全球经济产生深远影响，就像印度和中国的崛起在过去几十年中对全球经济产生的影响一样。
英文摘要：
The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the bounds predicted from random matrices constructed using mutually uncorrelated time-series. However, a few large eigenvalues deviating from the bulk contain important information about the global market mode as well as important clusters of strongly interacting currencies.We reconstruct the network structure of the world currency market by using two different graph representation techniques, after filtering out the effects of global or market-wide signals on the one hand and random effects on the other. The two networks reveal complementary insights about the major motive forces of the global economy, including the identification of a group of potentially fast growing economies whose development trajectory may affect the global economy in the future as profoundly as the rise of India and China has affected it in the past decades.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
