期刊論文
| 學年 | 100 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2012-02-15 |
| 作品名稱 | Mining the hedge and arbitrage of the Taiwan foreign exchange market |
| 作品名稱（其他語言） | |
| 著者 | Liao, Shu-hsien; Lu, Shao-ling; Lai, Yung-wei |
| 單位 | 淡江大學管理科學學系 |
| 出版者 | Oxford: Pergamon Press |
| 著錄名稱、卷期、頁數 | Expert Systems with Applications 39(3), pp.3197–3206 |
| 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. |
| 關鍵字 | Data mining; Foreign exchange market; Association rule; Arbitrage; Hedging |
| 語言 | en_US |
| ISSN | 0957-4174 1873-6793 |
| 期刊性質 | 國外 |
| 收錄於 | SCI |
| 產學合作 | |
| 通訊作者 | Liao, Shu-hsien |
| 審稿制度 | 是 |
| 國別 | GBR |
| 公開徵稿 | |
| 出版型式 | 紙本 電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/91978 ) |