根據國際清算銀行於2007年4月份統計，全球外匯市場每日交易量高達三點三兆美元，由於所處的時區不同，各地外匯市場在營業時間上此開彼關，二十四小時不間斷的營運，而成為目前世界上資金往來最頻繁、交易量最大的單一市場。台灣是一個海島型的經濟體系，經濟發展受到匯率波動影響甚大，對於匯率波動趨勢的掌握不得不慎。 以往相關研究大多以財務計量方法為主，本研究則是運用資料探勘中的關聯法則，來探討十九檔外幣匯率的連動關係。首先蒐集外幣匯率指數資料，建立成資料庫，在資料探勘技術中，本研究選擇關聯法則中的Apriori演算法，以最低支持度、最低可靠度與增益值作為門檻值，尋找出關聯性規則，作為投資者避險與套利的參考依據。 研究結果探勘出可供參考的六條連動規則，除了根據國際經濟情勢針對外幣連動性作分析之外，更進一步運用投資組合基本原則，歸納出二種投資組合箱，以及提出在外匯市場避險與套利的操作建議。此外，亦發現政策面、貨幣流動性與穩定性、主流性貨幣，都會對外幣之間的連動造成影響。 According to the BIS statistics in April 2007, the daily trading volume in the global foreign exchange market reaches 3.3 trillion U.S. dollars, which is the largest and busiest single financial market in the world. The foreign exchange market never closes as it is always operating around the clock in different time zones in the world. As an island economic system, Taiwan is highly influenced, when building up its economy, by the fluctuations of exchange rates and therefore it is worthy to make more efforts to understand how the exchange rates will fluctuate and the trend in the market.
While most previous researches are based on the financial quantitative method, this study uses the association rules of data mining to explore the correlations among 19 different pairs of exchange rates. First of all, the historical foreign exchange rates are obtained to establish the database. Secondly, the Apriori algorithm is applied to set up the threshold in terms of minimum support, minimum reliability and added values, so that the correlations could be found out and provide references to investors for both hedging and arbitrages.
The findings of the foreign exchange rates correlations derived from this study are not only analyzed based on the global economy macro but also induced to two investment proposals in foreign exchange market by using the portfolio principle. Furthermore, this study also exhibits that the correlations of exchange rates are also effected by the policies as well as the liquidity, stability and the leading position of individual currencies.
