A new method for analyzing correlations among currency exchange rates

Hai-Zhou Li; Hong Yan

doi:10.1109/ICMLC.2007.4370146

A new method for analyzing correlations among currency exchange rates

Hai-Zhou Li, Hong Yan

Department of Electrical Engineering

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

2 Citations (Scopus)

Abstract

The correlation between different currency exchange rates has been studied for many years and a number of techniques have been developed. In this paper, we present a new algorithm to analyze the correlation between exchange rates based on biclustering. This algorithm is comprised of two parts. In the first part, the Fast Hough transform is used to detect the lines in the exchange rate pair space. This phase is also called sub-biclustering and every line identified represents a sub-bicluster. In the second part, the sub-biclusters are combined based on comparison and merging. Experiment results show that this biclustering algorithm is very effective. The bicluster patterns are consistent with the underlying economic reasons. © 2007 IEEE.

Original language	English
Title of host publication	Proceedings of the Sixth International Conference on Machine Learning and Cybernetics, ICMLC 2007
Pages	231-236
Volume	1
DOIs	https://doi.org/10.1109/ICMLC.2007.4370146
Publication status	Published - 2007
Event	6th International Conference on Machine Learning and Cybernetics, ICMLC 2007 - Hong Kong, China Duration: 19 Aug 2007 → 22 Aug 2007

Publication series

Name
Volume	1

Conference

Conference	6th International Conference on Machine Learning and Cybernetics, ICMLC 2007
Place	China
City	Hong Kong
Period	19/08/07 → 22/08/07

Research Keywords

Biclustering
Currency exchange rates
Financial data analysis
The fast hough transform
Time series analysis

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@inproceedings{e0865e5be9dc41b29e2c75ad7a78566e,

title = "A new method for analyzing correlations among currency exchange rates",

abstract = "The correlation between different currency exchange rates has been studied for many years and a number of techniques have been developed. In this paper, we present a new algorithm to analyze the correlation between exchange rates based on biclustering. This algorithm is comprised of two parts. In the first part, the Fast Hough transform is used to detect the lines in the exchange rate pair space. This phase is also called sub-biclustering and every line identified represents a sub-bicluster. In the second part, the sub-biclusters are combined based on comparison and merging. Experiment results show that this biclustering algorithm is very effective. The bicluster patterns are consistent with the underlying economic reasons. {\textcopyright} 2007 IEEE.",

keywords = "Biclustering, Currency exchange rates, Financial data analysis, The fast hough transform, Time series analysis",

author = "Hai-Zhou Li and Hong Yan",

year = "2007",

doi = "10.1109/ICMLC.2007.4370146",

language = "English",

isbn = "142440973",

volume = "1",

pages = "231--236",

booktitle = "Proceedings of the Sixth International Conference on Machine Learning and Cybernetics, ICMLC 2007",

note = "6th International Conference on Machine Learning and Cybernetics, ICMLC 2007 ; Conference date: 19-08-2007 Through 22-08-2007",

}

Li, H-Z & Yan, H 2007, A new method for analyzing correlations among currency exchange rates. in Proceedings of the Sixth International Conference on Machine Learning and Cybernetics, ICMLC 2007. vol. 1, 4370146, pp. 231-236, 6th International Conference on Machine Learning and Cybernetics, ICMLC 2007, Hong Kong, China, 19/08/07. https://doi.org/10.1109/ICMLC.2007.4370146

A new method for analyzing correlations among currency exchange rates. / Li, Hai-Zhou; Yan, Hong.
Proceedings of the Sixth International Conference on Machine Learning and Cybernetics, ICMLC 2007. Vol. 1 2007. p. 231-236 4370146.

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

TY - GEN

T1 - A new method for analyzing correlations among currency exchange rates

AU - Li, Hai-Zhou

AU - Yan, Hong

PY - 2007

Y1 - 2007

N2 - The correlation between different currency exchange rates has been studied for many years and a number of techniques have been developed. In this paper, we present a new algorithm to analyze the correlation between exchange rates based on biclustering. This algorithm is comprised of two parts. In the first part, the Fast Hough transform is used to detect the lines in the exchange rate pair space. This phase is also called sub-biclustering and every line identified represents a sub-bicluster. In the second part, the sub-biclusters are combined based on comparison and merging. Experiment results show that this biclustering algorithm is very effective. The bicluster patterns are consistent with the underlying economic reasons. © 2007 IEEE.

AB - The correlation between different currency exchange rates has been studied for many years and a number of techniques have been developed. In this paper, we present a new algorithm to analyze the correlation between exchange rates based on biclustering. This algorithm is comprised of two parts. In the first part, the Fast Hough transform is used to detect the lines in the exchange rate pair space. This phase is also called sub-biclustering and every line identified represents a sub-bicluster. In the second part, the sub-biclusters are combined based on comparison and merging. Experiment results show that this biclustering algorithm is very effective. The bicluster patterns are consistent with the underlying economic reasons. © 2007 IEEE.

KW - Biclustering

KW - Currency exchange rates

KW - Financial data analysis

KW - The fast hough transform

KW - Time series analysis

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U2 - 10.1109/ICMLC.2007.4370146

DO - 10.1109/ICMLC.2007.4370146

M3 - RGC 32 - Refereed conference paper (with host publication)

SN - 142440973

SN - 9781424409730

VL - 1

SP - 231

EP - 236

BT - Proceedings of the Sixth International Conference on Machine Learning and Cybernetics, ICMLC 2007

T2 - 6th International Conference on Machine Learning and Cybernetics, ICMLC 2007

Y2 - 19 August 2007 through 22 August 2007

ER -

A new method for analyzing correlations among currency exchange rates

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Research Keywords

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