scholarly journals Dynamics of Foreign Exchange Networks: A Time-Varying Copula Approach

2014 ◽  
Vol 2014 ◽  
pp. 1-11 ◽  
Author(s):  
Gang-Jin Wang ◽  
Chi Xie ◽  
Peng Zhang ◽  
Feng Han ◽  
Shou Chen
Keyword(s):  
Foreign Exchange ◽  
Minimum Spanning Tree ◽  
Correlation Coefficients ◽  
Great Majority ◽  
Long Term Memory ◽  
Time Varying ◽  
Long Range Correlations ◽  
Scale Free ◽  
Copula Approach ◽  
Fx Market

Based on a time-varying copula approach and the minimum spanning tree (MST) method, we propose a time-varying correlation network-based approach to investigate dynamics of foreign exchange (FX) networks. In piratical terms, we choose the daily FX rates of 42 major currencies in the international FX market during the period of 2005–2012 as the empirical data. The empirical results show that (i) the distributions of cross-correlation coefficients (distances) in the international FX market (network) are fat-tailed and negatively skewed; (ii) financial crises during the analyzed period have a great effect on the FX network’s topology structure and lead to the US dollar becoming more centered in the MST; (iii) the topological measures of the FX network show a large fluctuation and display long-range correlations; (iv) the FX network has a long-term memory effect and presents a scale-free behavior in the most of time; and (v) a great majority of links between currencies in the international FX market survive from one time to the next, and multistep survive rates of FX networks drop sharply as the time increases.

scholarly journals Dynamic Properties of Foreign Exchange Complex Network

Mathematics ◽  
2019 ◽  
Vol 7 (9) ◽  
pp. 832 ◽  
Author(s):  
Xin Yang ◽  
Shigang Wen ◽  
Zhifeng Liu ◽  
Cai Li ◽  
Chuangxia Huang
Keyword(s):  
Complex Network ◽  
Foreign Exchange ◽  
Minimum Spanning Tree ◽  
Dynamic Properties ◽  
Centrality Measures ◽  
Node Degree ◽  
Survival Ratio ◽  
Network Method ◽  
Tree Length ◽  
Fx Market

The foreign exchange (FX) market, one of the important components of the financial market, is a typical complex system. In this paper, by resorting to the complex network method, we use the daily closing prices of 41 FX markets to build the dynamical networks and their minimum spanning tree (MST) maps by virtue of a moving window correlation coefficient. The properties of FX networks are characterized by the normalized tree length, node degree distributions, centrality measures and edge survival ratios. Empirical results show that: (i) the normalized tree length plays a role in identifying crises and is negatively correlated with the market return and volatility; (ii) 83% of FX networks follow power-law node degree distribution, which means that the FX market is a typical heterogeneous market, and a few hub nodes play key roles in the market; (iii) the highest centrality measures reveal that the USD, EUR and CNY are the three most powerful currencies in FX markets; and (iv) the edge survival ratio analysis implies that the FX structure is relatively stable.

scholarly journals Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach

2021 ◽  
Vol 14 (1) ◽  
pp. 21
Author(s):  
Mariagrazia Fallanca ◽  
Antonio Fabio Forgione ◽  
Edoardo Otranto
Keyword(s):  
Correlation Coefficients ◽  
Bank Loan ◽  
Time Varying ◽  
Conditional Correlation ◽  
Subprime Mortgage ◽  
Macroeconomic Variables ◽  
Correlation Models ◽  
Mortgage Crisis ◽  
The Us ◽  
Macroeconomic Indicators

Several studies have explored the linkage between non-performing loans and major macroeconomic indicators, using a wide variety of methodologies, sometimes with different results. This occurs, we argue, because these relationships are generally derived in terms of correlation coefficients evaluated in certain time spans, which represent a sort of average level of correlations. However, such correlations are necessarily time-varying, because the relationships between bank loan indicators and macroeconomic variables could be stronger during particular periods or in correspondence with important economic events. We propose an empirical exercise using dynamic conditional correlation models, with constant and time-varying parameters. Applying these models to quarterly delinquency rates and an array of macroeconomic variables for the US, for the period 1985–2019, we find that the correlation is often negligible in this period except during periods of economic crises, in particular the early 1990 crisis and the subprime mortgage crisis.

scholarly journals Exchange Rates and Liquidity Risk

2020 ◽  
Vol 11 (2) ◽  
pp. 159
Author(s):  
Martin D.D. EVANS
Keyword(s):  
Risk Factors ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Foreign Currency ◽  
Liquidity Risk ◽  
Risk Premia ◽  
Time Varying ◽  
Foreign Exchange Risk ◽  
Exchange Risk

I use Forex trading data to study how risks associated with the lack of liquidity contribute to the dynamics of 17 spot exchange rates through their time-varying contributions to risk premia. I find that liquidity risk matters. All the foreign exchange risk premia compensate investors for exposure to liquidity risk; and, for many currencies, exposure to liquidity risk appears to be more important than exposure to the traditional carry and momentum risk factors. I also find that variations in the price of liquidity risk make economically important contributions to the behavior of individual foreign currency returns: they account for approximately 34%, on average, of the variability in currency returns compared to the contribution of approximately 8% from the prices of carry and momentum risk.

scholarly journals Brain Networks Maintain a Scale-free Organization across Consciousness, Anesthesia, and Recovery

2010 ◽  
Vol 113 (5) ◽  
pp. 1081-1091 ◽  
Author(s):  
UnCheol Lee ◽  
GabJin Oh ◽  
Seunghwan Kim ◽  
GyuJung Noh ◽  
ByungMoon Choi ◽  
...  
Keyword(s):  
General Anesthesia ◽  
Minimum Spanning Tree ◽  
Essential Feature ◽  
Fundamental Principle ◽  
Temporal Organization ◽  
Cumulative Distribution ◽  
Connection Matrix ◽  
Scale Free ◽  
States Of Consciousness ◽  
Network Connections

Background Loss of consciousness is an essential feature of general anesthesia. Although alterations of neural networks during anesthesia have been identified in the spatial domain, there has been relatively little study of temporal organization. Methods Ten healthy male volunteers were anesthetized with an induction dose of propofol on two separate occasions. The duration of network connections in the brain was analyzed by multichannel electroencephalography and the minimum spanning tree method. Entropy of the connections was calculated based on Shannon entropy. The global temporal configuration of networks was investigated by constructing the cumulative distribution function of connection times in different frequency bands and different states of consciousness. Results General anesthesia was associated with a significant reduction in the number of network connections, as well as significant alterations of their duration. These changes were most prominent in the δ bandwidth and were also associated with a significant reduction in entropy of the connection matrix. Despite these and other changes, a global "scale-free" organization was consistently preserved across multiple subjects, anesthetic exposures, states of consciousness, and electroencephalogram frequencies. Conclusions Our data suggest a fundamental principle of temporal organization of network connectivity that is maintained during consciousness and anesthesia, despite local changes. These findings are consistent with a process of adaptive reconfiguration during general anesthesia.

MONOFRACTAL AND MULTIFRACTAL SCALING ANALYSIS OF pH TIME SERIES FROM DONGTING LAKE INLET AND OUTLET

Fractals ◽  
2010 ◽  
Vol 18 (03) ◽  
pp. 309-317 ◽  
Author(s):  
ZHENG-WEN HUANG ◽  
CHUN-QIONG LIU ◽  
KAI SHI ◽  
BIN ZHANG
Keyword(s):  
Dongting Lake ◽  
Long Term Memory ◽  
Fluctuation Analysis ◽  
Scaling Analysis ◽  
Lake Water Quality ◽  
Scale Free ◽  
Self Organized ◽  
Comparison Results ◽  
Water Ph ◽  
Multifractal Scaling

The water pH series from Dongting Lake Inlet and Outlet in China are analyzed by detrended fluctuation analysis (DFA), spectral analysis and multifractal methods. The results show that these pH series are characterized by long-term memory, 1/f noise and multifractal scaling, and these characteristics have obvious difference between the Lake Inlet and Outlet. The comparison results show that monofractal (DFA exponent) and multifractal (Δα, Δf, B) parameters can be quantitative dynamical indexes reflecting the capability of anti-acidification of Dongting Lake. Furthermore, we investigate the frequency-size distribution of pH series from Dongting Lake Inlet and Outlet. Our findings suggest that water pH is an example of a self-organized criticality (SOC) process. Based on concept of self-organized ctiticality, we analysis the cause that different scale-free power-law behavior between pH series from Dongting Lake Inlet and Outlet. This work can be helpful to improvement of modeling of lake water quality.

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