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Are foreign currency markets interdependent? Evidence from data mining technologies / ¿Son interdependientes los mercados de divisas? Evidencia de tecnologías de minería de datos

Author

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  • Malliaris, A. G.

    () (Loyola University Chicago)

  • Mlliaris, Mary

    () (Loyola University Chicago)

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. / En este trabajo se utilizan dos metodologías de minería de datos: Clasificación y Árboles de Regresión (C&RT) y la Regla Generalizada de Inducción (GRI) para descubrir patrones subyacentes en los precios en efectivo diarios de ocho mercados de divisas. Se utiliza información del 2000 al 2009, sin considerar el último año, por que éste se usa para probar la robustez de las reglas encontradas en los nueve años previos. Se comparan los resultados de ambas metodologías. Se discuten varias de las reglas con buen desempeño, aplicadas tanto en los primeros años como en el año de prueba, como evidencia empírica de la interdependencia entre los mercados de divisas. Las reglas mecánicas utilizadas en este artículo pueden usarse de manera complementaria con otros tipos de modelos financieros aplicados a los mercados de divisas.

Suggested Citation

  • Malliaris, A. G. & Mlliaris, Mary, 2012. "Are foreign currency markets interdependent? Evidence from data mining technologies / ¿Son interdependientes los mercados de divisas? Evidencia de tecnologías de minería de datos," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 2(1), pages 31-47, enero-jun.
  • Handle: RePEc:sfr:efruam:v:2:y:2012:i:1:p:31-47
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    Keywords

    Minería de datos; Mercados de divisas; Árboles de clasificación y regresión; Regla de inducción generalizada / Data Mining; Foreing Currency Markets; Classification and Regression Trees; Generalized Rule Induction;

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General

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