  The decentralized international market of currency trading is a prototypical
complex system having a highly heterogeneous composition. To understand the
hierarchical structure relating the price movement of different currencies in
the market, we have focused on quantifying the degree of similarity between the
distributions of exchange rate fluctuations. For this purpose we use a metric
constructed using the Jensen-Shannon divergence between the normalized
logarithmic return distributions of the different currencies. This provides a
novel method for revealing associations between currencies in terms of the
statistical nature of their rate fluctuations, which is distinct from the
conventional correlation-based methods. The resulting clusters are consistent
with the nature of the underlying economies but also show striking divergences
during periods of major international crises.
