摘要翻译：
我们把世界外汇交易(FX)市场看作一个相互影响的货币网络来分析其结构。我们分析了一组63种货币的外汇数据的每日时间序列，包括黄金、白银和铂金。我们用一种共同的基础货币将所有的汇率组合在一起，并分别研究每一组。利用相关矩阵滤波的方法，识别出密切相关货币的聚类。集群是根据经济和地理因素形成的。我们还研究了不同网络表示（即不同基础货币）的加权最小生成树的拓扑结构，发现在大多数网络表示中，网络具有层次无标度结构。此外，我们分析了网络的时间演化，发现其结构随时间的变化是不稳定的。可以识别通过降低USD节点的中心性而影响USD节点的中期趋势。我们的分析还显示，欧元在世界货币市场上的作用越来越大。
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英文标题：
《Analysis of a network structure of the foreign currency exchange market》
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作者：
Jaroslaw Kwapien, Sylwia Gworek, Stanislaw Drozdz, Andrzej Gorski
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  We analyze structure of the world foreign currency exchange (FX) market viewed as a network of interacting currencies. We analyze daily time series of FX data for a set of 63 currencies, including gold, silver and platinum. We group together all the exchange rates with a common base currency and study each group separately. By applying the methods of filtered correlation matrix we identify clusters of closely related currencies. The clusters are formed typically according to the economical and geographical factors. We also study topology of weighted minimal spanning trees for different network representations (i.e., for different base currencies) and find that in a majority of representations the network has a hierarchical scale-free structure. In addition, we analyze the temporal evolution of the network and detect that its structure is not stable over time. A medium-term trend can be identified which affects the USD node by decreasing its centrality. Our analysis shows also an increasing role of euro in the world's currency market.
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PDF链接：
https://arxiv.org/pdf/0906.0480