Malliaris, A.G. and Malliaris, Mary (2011): Are foreign currency markets interdependent? evidence from data mining technologies. Forthcoming in: Stochastics: Finance and Risk No. 2012
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This study uses two data mining methodologies: Classification and Regression Trees (C&RT) and Generalized Rule Induction (GRI) to uncover patterns among daily cash closing prices of eight currency markets. Data from 2000 through 2009 is used, with the last year held out to test the robustness of the rules found in the previous nine years. Results from the two methodologies are contrasted. A number of rules which perform well in both the training and testing years are discussed as empirical evidence of interdependence among foreign currency markets. The mechanical rules identified in this paper can usefully supplement other types of financial modeling of foreign currencies.
|Item Type:||MPRA Paper|
|Original Title:||Are foreign currency markets interdependent? evidence from data mining technologies|
|Keywords:||Foreign Currency Markets|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods; Simulation Methods
C - Mathematical and Quantitative Methods > C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling > C65 - Miscellaneous Mathematical Tools
C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C45 - Neural Networks and Related Topics
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||A. G. Malliaris|
|Date Deposited:||08. Dec 2011 18:24|
|Last Modified:||21. Feb 2013 08:52|
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