Are foreign currency markets interdependent? evidence from data mining technologies

A.G. Malliaris and Mary Malliaris
Authors registered in the RePEc Author Service: Anastasios G. Malliaris

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: Foreign; Currency; Markets (search for similar items in EconPapers)
JEL-codes: C45 C53 C65 F31 (search for similar items in EconPapers)
Date: 2011-11-28
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