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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/91978

    Title: Mining the hedge and arbitrage of the Taiwan foreign exchange market
    Authors: Liao, Shu-hsien;Lu, Shao-ling;Lai, Yung-wei
    Contributors: 淡江大學管理科學學系
    Keywords: Data mining;Foreign exchange market;Association rule;Arbitrage;Hedging
    Date: 2012-02-15
    Issue Date: 2013-08-12 13:26:53 (UTC+8)
    Publisher: Oxford: Pergamon Press
    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 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.
    Relation: Expert Systems with Applications 39(3), pp.3197–3206
    DOI: 10.1016/j.eswa.2011.09.006
    Appears in Collections:[管理科學學系暨研究所] 期刊論文

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