Are Foreign Currency Markets Interdependent? Evidence from Data Mining Technologies

15 Pages Posted: 29 Nov 2011

See all articles by A. (Tassos) G. Malliaris

A. (Tassos) G. Malliaris

Loyola University of Chicago - Department of Economics

Mary Malliaris

Loyola University Chicago

Date Written: November 28, 2011

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.

JEL Classification: C45, C53, C65, F31

Suggested Citation

Malliaris, A. (Tassos) G. and Malliaris, Mary, Are Foreign Currency Markets Interdependent? Evidence from Data Mining Technologies (November 28, 2011). Available at SSRN: https://ssrn.com/abstract=1965719 or http://dx.doi.org/10.2139/ssrn.1965719

A. (Tassos) G. Malliaris (Contact Author)

Loyola University of Chicago - Department of Economics ( email )

16 E. Pearson Ave
Quinlan School of Business
Chicago, IL 60611
United States
312-915-6063 (Phone)

Mary Malliaris

Loyola University Chicago ( email )

16 East Pearson Street
Chicago, IL 60611
United States
312-915-7064 (Phone)

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