This is pretty neat. This research paper hit the arXiv earlier this week:
Analysis of a network structure of the foreign currency exchange market
We analyze structure of the world foreign currency exchange (FX) market viewed as a network of interacting currencies. We analyze daily time series of FX data for a set of 63 currencies, including gold, silver and platinum. We group together all the exchange rates with a common base currency and study each group separately. By applying the methods of filtered correlation matrix we identify clusters of closely related currencies. The clusters are formed typically according to the economical and geographical factors.
We also study topology of weighted minimal spanning trees for different network representations (i.e., for different base currencies) and find that in a majority of representations the network has a hierarchical scale-free structure. In addition, we analyze the temporal evolution of the network and detect that its structure is not stable over time.
Here’s the paydirt. The conclusion sounds a bit “well, duh” on the face of it, but it’s interesting to see some empirical evidence for the trend:
A medium-term trend can be identified which affects the USD node by decreasing its centrality. Our analysis shows also an increasing role of euro in the world’s currency market.
And if you’d like some more light reading, here’s one from the High Energy Physics section: Physical interpretation for Riemann zeros from black hole physics:
According to a conjecture attributed to Poyla and Hilbert, there is a self-adjoint operator whose eigenvalues are the the nontrivial zeros of the Riemann zeta function. We show that the near-horizon dynamics of a massive scalar field in the Schwarzschild black hole spacetime, under a reasonable boundary condition, gives rise to energy eigenvalues that coincide with the Riemann zeros.