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dc.contributorDepartment of Electronic and Information Engineeringen_US
dc.creatorLiu, Xinqi-
dc.publisherHong Kong Polytechnic University-
dc.rightsAll rights reserveden_US
dc.titleInterconnection of financial markets : application of network tools to study non-stationary dynamicsen_US
dcterms.abstractThe 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.en_US
dcterms.extentv, 60 leaves : col. ill. ; 30 cm.en_US
dcterms.isPartOfPolyU Electronic Thesesen_US
dcterms.educationalLevelAll Masteren_US
dcterms.LCSHHong Kong Polytechnic University -- Dissertations.en_US
dcterms.LCSHStock exchanges -- Computer networks.en_US
dcterms.LCSHCapital market -- Data processing.en_US
dcterms.LCSHElectronic trading of securities.en_US
dcterms.accessRightsrestricted accessen_US

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Please use this identifier to cite or link to this item: https://theses.lib.polyu.edu.hk/handle/200/4906