Paper Title:
Thinking the Hedge Strategies during the Financial Tsunami by Data Mining: A Case Study of Taiwan Stock Exchange
  Abstract

After Taiwan becomes the 144th member of the World Trade Organization (WTO) on 2002, it also becomes a part of the global economic system. Therefore, when the financial tsunami influenced the global economy in 2007, it was inevitable that all transactions and professions in Taiwan could hardly survive, and the securities industry, of course, bore the brunt. Based on the exchange data of a Taiwan K-broker's orders, this research conducts an empirical case study by means of Data Mining. We adopt RFM (Recency, Frequency, and Monetary) modeling index to get the data, and then group the customers by Cluster Analysis of K-means and find out the transaction behaviors of indicative customers in each group around the financial tsunami. Finally, we summarize those users behavior of the hedging operations to be the reference models Taiwan stock market during the financial tsunami.

  Info
Periodical
Chapter
Chapter 4: Mechatronics and Information
Edited by
Dongye Sun, Wen-Pei Sung and Ran Chen
Pages
2395-2399
DOI
10.4028/www.scientific.net/AMM.121-126.2395
Citation
S. C. Chen, S. C. Liu, H. H. Chen, J. R. Tzeng, "Thinking the Hedge Strategies during the Financial Tsunami by Data Mining: A Case Study of Taiwan Stock Exchange", Applied Mechanics and Materials, Vols. 121-126, pp. 2395-2399, 2012
Online since
October 2011
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