Visibility graph approach to exchange rate series

Yue Yang, Jianbo Wang, Huijie Yang and Jingshi Mang

Physica A: Statistical Mechanics and its Applications, 2009, vol. 388, issue 20, 4431-4437

Abstract: 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 relationship 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.

Keywords: Time series analysis; Exchange rate series; Complex network (search for similar items in EconPapers)
Date: 2009
References: View complete reference list from CitEc
Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:388:y:2009:i:20:p:4431-4437

DOI: 10.1016/j.physa.2009.07.016

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