Multifractal Detrended Cross-Correlation methodology is applied to the foreign exchange (Forex) market . High frequency fluctuations of exchange rates of eight major world currencies over the period 2010--2018 are used to study cross-correlations. The currencies include the Australian dollar, Canadian dollar, Swiss franc, euro, British pound sterling, Japanese yen, New Zealand dollar and US dollar . Dominant multiscale cross--correlations between the exchange rates are found to typically occur on the level of small and medium size fluctuations. URLanization of ties between the exchange rates, formulated in terms of the dendrograms, are however more pronounced on the level of larger fluctuations. The cross--correlations are quantified to be stronger on average between those exchange rate pairs that are bound within triangular relation . Some pairs from outside the triangular relation are however identified to be exceptionally strongly correlated as compared to the average strength of correlations in this sector .This in particular applies to those exchange rates that involve the Australian and New Zealand dollars and reflects their economic relations. Significant events with impact on the Forex are shown to induce triangular arbitrage opportunities which at the same time reduce cross--correlations on the smallest time scales and act destructively on the URLanization of correlations. In the years 2010--2018 such instances took place in connection with the Swiss National Bank intervention and the weakening of British pound sterling accompanying the initiation of Brexit procedure  .
Multifractal detrended cross-correlation methodology is described and applied to Foreign exchange (Forex) market time series. Fluctuations of high frequency exchange rates of eight major world currencies over 2010-2018 period are used to study cross-correlations. The study is motivated by fundamental questions in complex systems' response to significant environmental changes and by potential applications in investment strategies, including detecting triangular arbitrage opportunities . Dominant multiscale cross-correlations between the exchange rates are found to typically occur at smaller fluctuation levels. However URLanization of ties expressed in terms of dendrograms, with a novel application of the multiscale cross-correlation coefficient, are more pronounced at large fluctuations. The cross-correlations are quantified to be stronger on average between those exchange rate pairs that are bound within triangular relations . Some pairs from outside triangular relations are however identified to be exceptionally strongly correlated as compared to the average strength of triangular correlations .This in particular applies to those exchange rates that involve Australian and New Zealand dollars and reflects their economic relations. Significant events with impact on the Forex are shown to induce triangular arbitrage opportunities which at the same time reduce cross--correlations on the smallest time scales and act destructively on the URLanization of correlations. In 2010--2018 such instances took place in connection with the Swiss National Bank intervention and the weakening of British pound sterling accompanying the initiation of Brexit procedure . The methodology could be applicable to temporal and multiscale pattern detection in any time series .
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Detrended Cross-Correlation methodology is applied to the foreign
detrended cross-correlation methodology is described and applied to Foreign
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. High frequency fluctuations of
time series. Fluctuations of high frequency
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the period 2010--2018
2010-2018 period
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currencies include the Australian dollar, Canadian dollar, Swiss franc, euro, British pound sterling, Japanese yen, New Zealand dollar and US dollar
study is motivated by fundamental questions in complex systems' response to significant environmental changes and by potential applications in investment strategies, including detecting triangular arbitrage opportunities
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cross--correlations
cross-correlations
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on the level of small and medium size fluctuations.
at smaller fluctuation levels. However
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between the exchange rates, formulated
expressed
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the dendrograms, are however more pronounced on the level of larger
dendrograms, with a novel application of the multiscale cross-correlation coefficient, are more pronounced at large
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cross--correlations
cross-correlations
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relation
relations
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the triangular relation
triangular relations
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correlations in this sector
triangular correlations
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the
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the years
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. The methodology could be applicable to temporal and multiscale pattern detection in any time series