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Sign and amplitude representation of the forex networks

Abstract

We decompose the exchange rates returns of 41 currencies (incl. gold) into their sign and amplitude components. Then we group together all exchange rates with a common base currency, construct Minimal Spanning Trees for each group independently, and analyze properties of these trees. We show that both the sign and the amplitude time series have similar correlation properties as far as the core network structure is concerned. There exist however interesting peripheral differences that may open a new perspective to view the Forex dynamics.Comment: Article based on talk by S. Gworek given at FENS'08 Conference, Rzeszow, Polan

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