Fenn, Daniel J.; Porter, Mason A.; Mucha, Peter J.; … - In: Quantitative Finance 12 (2012) 10, pp. 1493-1520
We use techniques from network science to study correlations in the foreign exchange (FX) market during the period 1991--2008. We consider an FX market network in which each node represents an exchange rate and each weighted edge represents a time-dependent correlation between the rates. To...