An Investigation of Co-movements of Commodity Markets by Data Mining

Commodities have been seen as an alternative way to diversify investments and protect against inflation. As a result, it is critically important for investors to predict the direction in which other stock exchanges or financial assets will move after a stock market’s rise or fall in order to make quick and effective decisions. In this study, the co-movement of commodity markets are analyzed with the association rule in data mining. In this direction, the movements of 20 commodities in 3216 trading days between 01.01.2010 and 01.08.2023 are analyzed in the study. Association rule analyses in the study are conducted using the Apriori and FP-Growth algorithms. It is observed that Brent crude oil accompanied other commodities in all association rules generated by both the Apriori and FP-Growth algorithms. This result suggests that the upward or downward movement of Brent oil prices may provide guidance to investors, decision makers and policymakers who closely follow Brent oil prices regarding the movement of other commodities. Considering the fact that oil is a strategic energy source that affects the economic system, this result is not surprising.