Network Topology of Foreign Exchange Rate

Shamshuritawati Sharif, Nur Syahidah Yusoff and Maman Djauhari

Modern Applied Science, 2012, vol. 6, issue 11, 35

Abstract: In this paper we use a network topology approach to examine the interrelationship of 55 world currencies which is based on correlation analysis. With this point of view, those relationships can be measured by a correlation structure among currencies. To analyse that network, we filter the important information contained therein by using minimum spanning tree, and we interpret it by using a centrality measures. This topology will gives us a useful guide to understand their behaviour and to determine the dominance currency in the network as part of a complex network. The results show that HKD-Hong Kong Dollar is the most dominance currencies, followed by in order of importance; SGD-Singapore Dollar, USD-US Dollar, SAR-Saudi Riyal, and TWD-New Taiwan Dollar.

Date: 2012
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