用于计算汇率时间序列之间的距离的措施对货币网络拓结构的影响
Joanna Andrzejak1, Leszek J Chmielewski2, Joanna Landmesser-Rusek3
1Institute of Civil Engineering, Warsaw University of Life Sciences-SGGW, 02-787 Warsaw, Poland.
Entropy (Basel, Switzerland)
|April 26, 2024
概括
拓网络揭示了货币市场结构. 部分相关性提供了更准确的外汇关系,不受数字选择的影响,并突出全球事件对货币动态的影响.
科学领域:
- 量化金融 量化金融
- 网络科学 网络科学
- 计量经济学 计量经济学
背景情况:
- 了解全球货币市场中的复杂相互依存关系对于金融稳定和投资战略至关重要.
- 传统分析往往难以捕捉货币之间的动态和多方面的关系.
研究的目的:
- 通过拓网络研究货币市场的结构性质.
- 分析不同不相似度对网络拓学的影响.
- 确定主要的全球事件如何影响货币市场结构.
主要方法:
- 构建最小跨越树 (MST) 来表示货币关系.
- 应用各种不相似度措施,包括欧几里德距离,各种相关系数,动态时间扭曲和库尔巴克-莱布勒相对.
- 分析MST拓特征和图表集中.
主要成果:
- 部分相关性提供了一个数字不变的网络结构,提供了对货币关系的更充分的表示.
- COVID-19大流行和乌克兰的入侵大大改变了货币网络拓,减少了货币之间的距离,并增加了图的集中.
- 货币关系受到地理位置和经济联系的影响,检测到的结构反映了这些联系.
结论:
- 拓网络分析,特别是使用部分相关性,为货币市场动态提供了宝贵的见解.
- 全球危机明显影响货币市场结构,导致相互联系和集中度增加.
- 这些发现可以帮助描述货币市场,构建投资组合,并确定货币组合的经济驱动因素.
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