教師資料查詢 | 類別: 期刊論文 | 教師: 廖述賢 LIAO SHU-HSIEN (瀏覽個人網頁)

標題:Mining the hedge and arbitrage of the Taiwan foreign exchange market
學年100
學期2
出版(發表)日期2012/02/15
作品名稱Mining the hedge and arbitrage of the Taiwan foreign exchange market
作品名稱(其他語言)
著者Liao, Shu-hsien; Lu, Shao-ling; Lai, Yung-wei
單位淡江大學管理科學學系
出版者Oxford: Pergamon Press
著錄名稱、卷期、頁數Expert Systems with Applications 39(3), pp.3197–3206
摘要The foreign exchange market is one of the biggest markets in the global financial capital market. With current trends toward financial capital globalization, it is becoming more important to understand the hedge and arbitrage of foreign exchange markets. Thus, this study implements association rules as a data mining approach to explore the associations among 19 different pairs of foreign exchange rates. Transaction data, such as foreign exchange rates, were collected to construct a database; the Apriori algorithm was then used to generate the association rules. By doing so, this study proposes several possible portfolio alternatives in the Taiwan foreign exchange market, including foreign exchange hedge and arbitrage under different circumstances.
關鍵字Data mining; Foreign exchange market; Association rule; Arbitrage; Hedging
語言英文(美國)
ISSN0957-4174;1873-6793
期刊性質國外
收錄於SCI
產學合作
通訊作者Liao, Shu-hsien
審稿制度
國別英國
公開徵稿
出版型式紙本;電子版
相關連結
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