Minimal Spanning Tree graphs and power like scaling in FOREX networks

TL;DR

This paper analyzes correlation matrices of 60 currencies using MST graphs, revealing power-like scaling behaviors and identifying USD and related currencies as having the worst scaling properties.

Contribution

It introduces the application of MST graphs to forex currency correlations and discusses power-like scaling in these networks, highlighting differences among currency groups.

Findings

USD and related currencies exhibit the worst scaling.

MST graphs for precious metals are presented.

Power-like scaling observed in currency groups.

Abstract

Correlation matrices of foreign exchange rate time series are investigated for 60 world currencies. Minimal Spanning Tree (MST) graphs for the gold, silver and platinum are presented. Inverse power like scaling is discussed for these graphs as well as for four distinct currency groups (major, liquid, less liquid and non-tradable). The worst scaling has been found for USD and related currencies.