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    题名: Mining the co-movement between foreign exchange rates and category stock indexes in the Taiwan financial capital market
    作者: Liao, Shu-Hsien;Chu, Pei-Hui;You, Ying-Lu
    贡献者: 淡江大學管理科學學系
    关键词: Foreign exchange rate;Category stock indexes;Co-movement;Portfolio;Data mining;Association rules
    日期: 2011-04
    上传时间: 2011-10-20 16:11:39 (UTC+8)
    出版者: Kidlington: Pergamon
    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 co-movement of foreign exchange. Investors always want to get all kinds of messages to make decisions about investing. Moreover, they always look forward to making a profit. This study investigates financial investment issues related to Taiwan’s financial capital. Thus, this study implements the association rules as a data mining approach to explore the co-movement between foreign exchange rates and category stock indexes in Taiwan. Transaction data, such as foreign exchange rates and stock indexes, 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 financial capital market including foreign exchange currencies and stock investment under different circumstances.
    關聯: Expert Systems with Applications 38(4), pp.4608–4617
    DOI: 10.1016/j.eswa.2010.09.134
    显示于类别:[管理科學學系暨研究所] 期刊論文

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