Tree of Several Asian Currencies
BFI Working Paper No. WPI 2005
10 Pages Posted: 2 Aug 2005
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
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