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Actionable insights through association mining of exchange rates: a case study

Arabacı, Mehmet and Aktuğ, Armağan and Ertek, Gürdal (2011) Actionable insights through association mining of exchange rates: a case study. In: International Symposium on Innovations in Intelligent Systems and Applications (INISTA 2011), Istanbul, Turkey

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Official URL: http://dx.doi.org/10.1109/INISTA.2011.5946082

Abstract

Association mining is the methodology within data mining that researches associations among the elements of a given set, based on how they appear together in multiple subsets of that set. Extensive literature exists on the development of efficient algorithms for association mining computations, and the fundamental motivation for this literature is that association mining reveals actionable insights and enables better policies. This motivation is proven valid for domains such as retailing, healthcare and software engineering, where elements of the analyzed set are physical or virtual items that appear in transactions. However, the literature does not prove this motivation for databases where items are “derived items”, rather than actual items. This study investigates the association patterns in changes of exchange rates of US Dollar, Euro and Gold in the Turkish economy, by representing the percentage changes as “derived items” that appear in “derived market baskets”, the day on which the observations are made. The study is one of the few in literature that applies such a mapping and applies association mining in exchange rate analysis, and the first one that considers the Turkish case. Actionable insights, along with their policy implications, demonstrate the usability of the developed analysis approach.

Item Type:Papers in Conference Proceedings
Uncontrolled Keywords:association mining , case study , exchange rates , finance , investment science , portfolio management
Subjects:H Social Sciences > H Social Sciences (General)
H Social Sciences > HG Finance > HG3810-4000 Foreign exchange. International finance
H Social Sciences > HG Finance > HG201-1496 Money
H Social Sciences > HF Commerce > HF4999.2-6182 Business
ID Code:18123
Deposited By:Gürdal Ertek
Deposited On:07 Jan 2012 22:08
Last Modified:07 Dec 2012 16:03

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