Tree of Several Asian Currencies

BFI Working Paper No. WPI 2005

10 Pages Posted: 2 Aug 2005

See all articles by Hokky Situngkir

Hokky Situngkir

Bandung Fe Institute; Center for Complexity in Surya University

Yohanes Surya

Surya Research Intl.

Abstract

We use the minimum spanning tree to extract the information from the correlations among several Asian countries. We found that as well as implemented in stock prices the currency tree shows the similar robustness by observing the survival ratios of the edges. Interestingly, the yielded regional tree also reveals the pattern of the clustered smaller regional tree and how the monetary system of different countries are interdependent one another over the particular region in Asia.

Keywords: econophysics, ultrametricity, minimum spanning tree, Asian currencies.

JEL Classification: C51, E44, F31

Suggested Citation

Situngkir, Hokky and Surya, Yohanes, Tree of Several Asian Currencies. BFI Working Paper No. WPI 2005. Available at SSRN: https://ssrn.com/abstract=768164 or http://dx.doi.org/10.2139/ssrn.768164

Hokky Situngkir (Contact Author)

Bandung Fe Institute ( email )

Sarimadu Permai 175
Bandung, Jawa Barat 40164
Indonesia
+622282025586 (Phone)

HOME PAGE: http://www.bandungfe.net

Center for Complexity in Surya University

Jl. Boulevard Gading Serpong Blok O/1
Summarecon Serpong
Tangerang, Banten 15810
Indonesia

Yohanes Surya

Surya Research Intl. ( email )

No Address Available

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