最小生成树和层次树在拉丁美洲汇率研究中的应用

IF 1.1 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS
E. Limas
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引用次数: 7

摘要

本文分析了一组由九种拉丁美洲货币组成的货币,目的是确定具有相似共同运动的汇率集群。在这项工作中,货币关系的研究被公式化为一个网络问题,其中每个货币被表示为一个节点,每对货币之间的关系被表示为链接。本文结合了符号时间序列分析(STSA)和基于最小生成树(MST)的聚类方法,得到了一个层次树(HT)。符号时间序列分析是将给定的时间序列转换为符号序列,目的是识别数据集中的模式。最小生成树浓缩了网络全局结构的核心信息,其主要优点是通过显著减少必须进行比较的元素数量,大大简化了比较。我们确定了货币网络中的两个主要集群,以及作为集群之间传输通道的特定货币。利用有关金融自由化程度的数据,以及通胀目标国家和非通胀目标国家之间的区别,分析表明,所获得的分类法在经济上是相关的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
An application of minimal spanning trees and hierarchical trees to the study of Latin American exchange rates
This paper analyzes a group of nine Latin American currencies with the aim of identifying clusters of exchange rates with similar co-movements. In this work the study of currency relationships is formulated as a network problem, where each currency is represented as a node and the relationship between each pair of currencies as a link. The paper combines two methods, Symbolic Time Series Analysis (STSA) and a clustering method based on the Minimal Spanning Tree (MST), from which we obtain a Hierarchical Tree (HT). Symbolic Time Series Analysis consists in the transformation of a given time series into a symbolic sequence with the aim of identifying patterns in the set of data. The Minimal Spanning Tree condenses the core information on the global structure of the network and its main advantage is that it greatly simplifies comparisons by dramatically reducing the number of elements that must be compared. We identify two main clusters in the currency network, as well as specific currencies that function as transmission channels between clusters. Using data regarding the degree of financial liberalization, as well as the distinction between inflation targeting (IT) and non-IT countries, the analysis suggests that the obtained taxonomy is economically relevant.
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来源期刊
Journal of Dynamics and Games
Journal of Dynamics and Games MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-
CiteScore
2.00
自引率
0.00%
发文量
26
期刊介绍: The Journal of Dynamics and Games (JDG) is a pure and applied mathematical journal that publishes high quality peer-review and expository papers in all research areas of expertise of its editors. The main focus of JDG is in the interface of Dynamical Systems and Game Theory.
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