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 en_US
ISSN 0957-4174 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 GBR
公開徵稿
出版型式 紙本 電子版
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機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/91978 )

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