Download This PaperTree of Several Asian Currencies
BFI Working Paper No. WPI 2005
10 Pages Posted: 2 Aug 2005
Abstract
We use the minimum spanning tree to extract the information from the correlations among several Asian countries. We found that as well as implemented in stock prices the currency tree shows the similar robustness by observing the survival ratios of the edges. Interestingly, the yielded regional tree also reveals the pattern of the clustered smaller regional tree and how the monetary system of different countries are interdependent one another over the particular region in Asia.
Keywords: econophysics, ultrametricity, minimum spanning tree, Asian currencies.
JEL Classification: C51, E44, F31
Suggested Citation: Suggested Citation
Situngkir, Hokky and Surya, Yohanes, Tree of Several Asian Currencies. BFI Working Paper No. WPI 2005, Available at SSRN: https://ssrn.com/abstract=768164 or http://dx.doi.org/10.2139/ssrn.768164
Do you have negative results from your research you’d like to share?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.