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The decentralized international market of currency trading is a prototypicalcomplex system having a highly heterogeneous composition. To understand thehierarchical structure relating the price movement of different currencies inthe market, we have focused on quantifying the degree of similarity between thedistributions of exchange rate fluctuations. For this purpose we use a metricconstructed using the Jensen-Shannon divergence between the normalizedlogarithmic return distributions of the different currencies. This provides anovel method for revealing associations between currencies in terms of thestatistical nature of their rate fluctuations, which is distinct from theconventional correlation-based methods. The resulting clusters are consistentwith the nature of the underlying economies but also show striking divergencesduring periods of major international crises.

acta physica polonica. a

Uncovering the hierarchical structure of the international FOREX market  by using similarity metric between the fluctuation distributions of  currencies