Mining the co-movement between foreign exchange rates and category stock indexes in the Taiwan financial capital market

doi:10.1016/j.eswa.2010.09.134

淡江大學機構典藏 > 商管學院 > 管理科學學系暨研究所 > 期刊論文 > Item 987654321/64933

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題名:	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
貢獻者:	淡江大學管理科學學系
關鍵詞:	Foreign exchange rate;Category stock indexes;Co-movement;Portfolio;Data mining;Association rules
日期:	2011-04
上傳時間:	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
顯示於類別:	[管理科學學系暨研究所] 期刊論文

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