Visibility graph approach to exchange rate series

被引：120

作者：

Yang, Yue ^{[2
]}

Wang, Jianbo ^{[1
]}

Yang, Huijie ^{[1
]}

Mang, Jingshi ^{[2
]}

机构：

[1] Shanghai Univ Sci & Technol, Sch Management, Shanghai 200093, Peoples R China

[2] Nankai Univ, Inst Japan Studies, Tianjin 300071, Peoples R China

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2009年 / 388卷 / 20期

基金：

美国国家科学基金会;

关键词：

Time series analysis; Exchange rate series; Complex network; TIME-SERIES; MULTIFRACTALITY; NETWORKS;

D O I：

10.1016/j.physa.2009.07.016

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

By means of a visibility graph, we investigate six important exchange rate series. It is found that the series convert into scale-free and hierarchically structured networks. The relation ship between the scaling exponents of the degree distributions and the Hurst exponents obeys the analytical prediction for fractal Brownian motions. The visibility graph can be used to obtain reliable values of Hurst exponents of the series. The characteristics are explained by using the multifractal structures of the series. The exchange rate of EURO to Japanese Yen is widely used to evaluate risk and to estimate trends in speculative investments. Interestingly. the hierarchies of the visibility graphs for the exchange rate series of these two currencies are significantly weak compared with that of the other series. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：4431 / 4437

页数：7

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