论文标题
使用破坏的反卷积外汇网络来识别货币状态
Using detrended deconvolution foreign exchange network to identify currency status
论文作者
论文摘要
本文提出了一种混合破坏性的反卷积外汇网络构建方法（DDFEN），该方法合并了分解的互相关分析系数（DCCC）和网络反卷积方法。 DDFEN旨在通过过滤外汇网络（FXN）中的间接影响来揭示货币的“真实”相关性。经验结果表明，DDFEN可以从长远来看反映货币状况的变化，并且比传统的网络构建方法更稳定。
This article proposed a hybrid detrended deconvolution foreign exchange network construction method (DDFEN), which combined the detrended cross-correlation analysis coefficient (DCCC) and the network deconvolution method together. DDFEN is designed to reveal the `true' correlation of currencies by filtering indirect effects in the foreign exchange networks (FXNs). The empirical results show that DDFEN can reflect the change of currency status in the long term and also perform more stable than traditional network construction methods.
