Are Foreign Currency Markets Interdependent? Evidence from Data Mining Technologies

Abstract

This study uses two data mining methodologies: Classification and Regression Trees (C&RT) and

Constructing Time Series Shape Association Measures: Minkowski Distance and Data Standardization

“…is usually based on simulation and modeling of system dynamics but often such modeling is cost prohibitive or cannot give adequate results due to systems complexity or absence of information necessary for models. In such cases a data driven approach to analysis of complex systems including analysis of relationships between dynamics of system elements can be helpful and complementary to conventional modeling [3,5,6,8,17,21,22].…”

“…Such relationships can exist between dynamics of prices and sell volumes, between growth patterns of competitive companies, between well production data in reservoirs, between wind velocity and air pollution concentration etc. [3,5,6,8,17]. An analysis of direct and inverse relationships between variables mainly based on Pearson's correlation coefficient is widely used in almost all applications of statistics: in medicine, biology, economics, physics, social sciences etc.…”