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    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/91978

    題名: Mining the hedge and arbitrage of the Taiwan foreign exchange market
    作者: Liao, Shu-hsien;Lu, Shao-ling;Lai, Yung-wei
    貢獻者: 淡江大學管理科學學系
    關鍵詞: Data mining;Foreign exchange market;Association rule;Arbitrage;Hedging
    日期: 2012-02-15
    上傳時間: 2013-08-12 13:26:53 (UTC+8)
    出版者: Oxford: Pergamon Press
    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 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.
    關聯: Expert Systems with Applications 39(3), pp.3197–3206
    DOI: 10.1016/j.eswa.2011.09.006
    顯示於類別:[管理科學學系暨研究所] 期刊論文


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