Understanding the Shift of Correlation Structure in Major Currency Exchange Rate
Keywords:Correlation structure, Degree centrality, Jennrich’s statistic, Minimum spanning tree,
AbstractIn this paper, we study the high dimensional correlation structure of financial market. Correlation structure can be considered as a complex system that relates each variable to the others in terms of correlation. To analyze such complex system, minimum spanning tree is constructed to simplify the network. A case study will be presented and a conclusion will be highlighted.
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