Using Data Mining Technologies to find Currency Trading Rules. A. G. Malliaris M. E. Malliaris Loyola University Chicago. Multinational Finance Society, Rome, Italy, June 26-29, 2011. MOTIVATION.
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A. G. Malliaris
M. E. Malliaris
Loyola University Chicago
Multinational Finance Society, Rome, Italy, June 26-29, 2011
to make money if one has moved and the other has not moved yet, or,
to build a more diverse portfolio by including assets that move in opposite directions
Original data was daily cash closing prices for the price of 1 US Dollar in the foreign currency that day
Australian Dollar, Japanese Yen
British Pound, Euro, Swiss Franc
Canadian Dollar, Mexican Peso, Brazilian Real
In order to view them all in a similar scale, the Mexican Peso has been multiplied by 10 and the Japanese Yen by 100 for the graph.
GRI output targets