Symbolic hierarchical analysis in currency markets: An application to contagion in currency crises

Authors:
Juan Gabriel Brida;David Matesanz Gómez;Wiston Adrián Risso
Affiliations:
School of Economics and Management, Free University of Bolzano, Italy;Applied Economics Department, University of Oviedo, Oviedo, Spain;Department of Economics, University of Siena, Italy
Venue:
Expert Systems with Applications: An International Journal
Year:
2009

Citing 2
Cited 3

An introduction to econophysics: correlations and complexity in finance

An introduction to econophysics: correlations and complexity in finance
What symbolic dynamics do we get with a misplaced partition? On the validity of threshold crossings analysis of chaotic time-series

Physica D

Dynamics and Structure of the 30 Largest North American Companies

Computational Economics
Partition-conditional ICA for Bayesian classification of microarray data

Expert Systems with Applications: An International Journal
Exploring the dynamics of the efficiency in the Italian hospitality sector. A regional case study

Expert Systems with Applications: An International Journal

Quantified Score

Hi-index	12.05

Visualization

Abstract

In this paper we introduce a new method to describe dynamical patterns of the real exchange rate co-movements time series and to analyze contagion in currency crisis. The method combines the tools of symbolic time series analysis with the nearest neighbor single linkage clustering algorithm. Data symbolization allows us obtaining a metric distance between two different time series that is used to construct an ultrametric distance. By analyzing the data of various countries, we derive a hierarchical organization, constructing minimal-spanning and hierarchical trees. From these trees we detect different clusters of countries according to their proximity. We show that this methodology permits us to construct a structural and dynamic topology that is useful to study interdependence and contagion effects among financial time series.