论文标题
通过使用货币波动分布之间的相似性度量来揭示国际外汇市场的层次结构
Uncovering the hierarchical structure of the international FOREX market by using similarity metric between the fluctuation distributions of currencies
论文作者
论文摘要
分散的国际货币交易市场是具有高度异质组成的典型复杂系统。为了了解市场上不同货币价格转移的层次结构，我们专注于量化汇率波动的分布之间的相似程度。为此，我们使用了使用Jensen-Shannon差异构建的度量，在不同货币的归一化对数回报分布之间。这提供了一种新的方法，可以根据其速率波动的统计性质揭示货币之间的关联，这与常规相关方法不同。由此产生的集群与基本经济体的性质一致，但在重大国际危机期间也表现出明显的分歧。
The decentralized international market of currency trading is a prototypical complex system having a highly heterogeneous composition. To understand the hierarchical structure relating the price movement of different currencies in the market, we have focused on quantifying the degree of similarity between the distributions of exchange rate fluctuations. For this purpose we use a metric constructed using the Jensen-Shannon divergence between the normalized logarithmic return distributions of the different currencies. This provides a novel method for revealing associations between currencies in terms of the statistical nature of their rate fluctuations, which is distinct from the conventional correlation-based methods. The resulting clusters are consistent with the nature of the underlying economies but also show striking divergences during periods of major international crises.
