Presenting a new approach based on association rule to investigating the relationship of the Oil market with global markets

Subject Areas : Financial engineering

Reza Khosravi ¹ , Ehsan Mohammadian Amiri ² , pouria Rezai ³ , Seyed Babak Ebrahimi ⁴

1 - MSc. Student in Financial Engineering, Faculty Of Industrial Engineering, K.N.Toosi University Of Technology,Tehran,iran
2 - 2 PhD Student in Industrial Engineering, Faculty Of Industrial Engineering, Amirkabir University Of Technology,Tehran, iran
3 - MSc. Student in Financial Engineering, Faculty Of Industrial Engineering, K.N.Toosi University Of Technology,Tehran, iran
4 - Assistant Prof., Faculty Of Industrial Engineering, K.N.Toosi University Of Technology, Tehran, Iran

Received: 2019-01-18 Accepted : 2019-03-10 Published : 2019-03-21

Keywords: Data mining, Oil market, Apriori algorithm, Association rules, Gold market,

Abstract :

In the current era, the study of the relationship between different markets and their impact on each other has become a necessity micro and macro investors. By investigating the relationship between markets, in addition to being able to obtain the required information about the impact of the markets, it can also help him in identifying various risks. According to the importance of the subject, in this paper, we have tried to investigate the relationship between the oil market and the gold, dollar markets, companies and energy funds in the field of energy, using the new associative rules approach and the Apriori algorithm. The use of associative rules explicitly explains the relationships between database fields and the relationships and interrelationships between a large set of data items. The results of this study indicate a direct relationship between the oil market and companies active in the energy sector, and the reverse relationship with the dollar index. There was also no significant relationship between the oil and gold market.