| Author: | Liu, Xinqi |
| Title: | Interconnection of financial markets : application of network tools to study non-stationary dynamics |
| Degree: | M.Sc. |
| Year: | 2009 |
| Subject: | Hong Kong Polytechnic University -- Dissertations. Stock exchanges -- Computer networks. Capital market -- Data processing. Electronic trading of securities. |
| Department: | Department of Electronic and Information Engineering |
| Pages: | v, 60 leaves : col. ill. ; 30 cm. |
| Language: | English |
| Abstract: | The technique of minimum spanning tree was employed to study the internal networks in the foreign exchange (FX) market over the period of 2001-2007 in this thesis. Establishing nonlinear time series of minimum spanning tree provides insights into the clustering of the exchange rate time series, the dynamic communities in the networks by calculating the entropy. Kolmogorov complexity was investigated when exposed to external or internal perturbations by days and weeks. It shows that between the large windows (1 day and 1 week in this thesis), there are no differences for the entropy and Kolmogorov complexity comparing with those of the other days or weeks when facing external big events such as 911 attacks. But for the internal events, the entropy and Kolmogorov complexity really show some interesting properties. Furthermore, in this thesis, the entropy and Kolmogorov complexity can be tested whether they can describe the foreign exchange market's information perfectly or not. Meanwhile, this thesis also investigated the linkages' weights established by adding the same currency pairs together in one window; it shows that EURCHF dominate linkages most of the time. When comparing with the internal events, in fact, the linkages' combined weight algorithm which is unique comparing with the others' previous work acts better than entropy and complexity, and can supply more dynamic data in different currency pairs. |
| Rights: | All rights reserved |
| Access: | restricted access |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| b23181448.pdf | For All Users (off-campus access for PolyU Staff & Students only) | 5.93 MB | Adobe PDF | View/Open |
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