Discovery of time-inconsecutive co-movement patterns of foreign currencies using an evolutionary biclustering method

作者：Huang, Qing Hua^*

来源：Applied Mathematics and Computation, 2011, 218(8): 4353-4364.

DOI：10.1016/j.amc.2011.10.011

• Foreign exchange rate
• Inconsecutive co-movement pattern
• Biclustering
• Genetic algorithm
• Geometric interpretation

This paper proposes an evolutionary biclustering algorithm to discover inconsecutive co-movement patterns of different foreign exchange rates. The rows/columns of a bicluster (i.e. a submatrix with a subset of rows and a subset of columns) are not necessarily consecutive. A typical bicluster with constant values on rows and/or columns is represented as a hyperplane in a high-dimensional space and the coefficients of the hyperplane are determined using a genetic algorithm. A detected bicluster demonstrates the co-moving behaviors of a subset of currencies in inconsecutive time periods, indicating that the currencies moved in different manners in some specific time periods. In our experiments, we relate these patterns to the geographically close economic connections and find out the correspondence between the nominal exchange rates and the economic conditions. The findings are useful as a guide for investing foreign currencies.

• 出版日期2011-12-15
• 单位华南理工大学