Exchange rate modeling withuse of relative binary representation

Krzysztof Piasecki , Michał Stasiak

Abstract

Many methods of exchange rate modeling are based on candlestick repre-sentation. This kind of representation causes a decrease in the value of information, resulting in a lower quality of modeling. Therefore, the binary representation seems to be more effective. In the binary representation, an increaseof the price by assumed discretization unitis assigned a number ‚1‘, and the decrease is assigned ‚0‘. In this paper we propose a new method of exchange rate trajectory binarization, that is, a relative binary representation, in which changeable discretization unitis directly pro-portional to the current exchange rate. Also, in the article, we performed a detailed comparative analysis of the possibilities of assessing the probability of future ex-change rates’ changes distribution for each considered binary representation. Re-search was performed with use of five-year quotations (2013-2018), for the AUD/NZD currency pair. During the research we used dedicated software, written in MQL4 and C++ languages.
Author Krzysztof Piasecki (WZ / KIiN)
Krzysztof Piasecki,,
- Department of Investment and Real Estate
, Michał Stasiak (WZ / KIiN)
Michał Stasiak,,
- Department of Investment and Real Estate
Pages410-415
Publication size in sheets0.5
Book Váchova Lucie , Kratochvíl Václav (eds.): 36th International Conference Mathematical Methods in Economics MME 2018 : Conference Proceedings, 2018, MatfyzPress, Publishing House of the Faculty of Mathematics and Physics Charles University, ISBN 978-80-7378-371, [978-80-7378-372], 668 p.
Keywords in Englishforex, exchange rate modeling, binary representations
URL https://mme2018.fm.vse.cz/wp-content/uploads/2018/09/MME2018-Electronic_proceedings.pdf
Languageen angielski
Score (nominal)5
Score sourcepublisherList
ScoreMinisterial score = 5.0, 20-03-2020, ChapterFromConference
Publication indicators WoS Citations = 0
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