According to the BIS statistics in April 2007, the daily trading volume in the global foreign exchange market reaches 3.3 trillion U.S. dollars, which is the largest and busiest single financial market in the world. The foreign exchange market never closes as it is always operating around the clock in different time zones in the world. As an island economic system, Taiwan is highly influenced, when building up its economy, by the fluctuations of exchange rates and therefore it is worthy to make more efforts to understand how the exchange rates will fluctuate and the trend in the market.   While most previous researches are based on the financial quantitative method, this study uses the association rules of data mining to explore the correlations among 19 different pairs of exchange rates. First of all, the historical foreign exchange rates are obtained to establish the database. Secondly, the Apriori algorithm is applied to set up the threshold in terms of minimum support, minimum reliability and added values, so that the correlations could be found out and provide references to investors for both hedging and arbitrages.   The findings of the foreign exchange rates correlations derived from this study are not only analyzed based on the global economy macro but also induced to two investment proposals in foreign exchange market by using the portfolio principle. Furthermore, this study also exhibits that the correlations of exchange rates are also effected by the policies as well as the liquidity, stability and the leading position of individual currencies.