Link prediction in the Granger causality network of the global currency market

In this study, we analyze the topology of the global currency market using the Granger causality network and attempt to predict its links by utilizing the real effective exchange rate of 61 countries. In this context, we suggest two new link prediction methods using the eta squared as a weight of link. For the network analysis, we focus on the changes in cross-sectional topology and time-varying properties of the causality network during the...