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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/64933

    Title: Mining the co-movement between foreign exchange rates and category stock indexes in the Taiwan financial capital market
    Authors: Liao, Shu-Hsien;Chu, Pei-Hui;You, Ying-Lu
    Contributors: 淡江大學管理科學學系
    Keywords: Foreign exchange rate;Category stock indexes;Co-movement;Portfolio;Data mining;Association rules
    Date: 2011-04
    Issue Date: 2011-10-20 16:11:39 (UTC+8)
    Publisher: Kidlington: Pergamon
    Abstract: 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.
    Relation: Expert Systems with Applications 38(4), pp.4608–4617
    DOI: 10.1016/j.eswa.2010.09.134
    Appears in Collections:[管理科學學系暨研究所] 期刊論文

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