Title :
Monitoring correlation structures stability in foreign exchange market
Author :
Gan, S.L. ; Djauhari, M.A. ; Ismail, Z.
Author_Institution :
Dept. of Math. Sci., Univ. Teknol. Malaysia, Skudai, Malaysia
Abstract :
In this paper, we analyzed the dynamics of correlation structure in foreign exchange market from year 2000 until year 2012. The time windows are yearly basic. The yearly time windows under study are non-overlapping. To monitor the correlation structures stability in foreign exchange market, the correction statistic of term on Jennrich´s statistic is used. The dynamics of correlation structures is showed in the form of control chart. The graph showed that the correlation structures of particular time windows are far different from the pooled correlation structure, especially during the US sub-prime crisis 2007. The results are complied with the real situation of financial markets. To identify the root causes of certain time windows, we employed the minimal spanning tree (MST).
Keywords :
foreign exchange trading; statistical analysis; trees (mathematics); Jennrich statistic; MST; US subprime crisis; correction statistic; correlation structures stability; financial markets; foreign exchange market; minimal spanning tree; pooled correlation structure; time windows; Asymptotic stability; Correlation; Europe; Exchange rates; Monitoring; Network topology; Stability analysis; Correlation structure stability; Pearson correlation coefficient; currencies network; econophysics; financial crisis;
Conference_Titel :
Industrial Engineering and Engineering Management (IEEM), 2014 IEEE International Conference on
DOI :
10.1109/IEEM.2014.7058758
