Analysis of the EUR/USD Exchange Rate in Binary-Temporal Representation

Michał Stasiak

Abstract

An exchange rate between two currencies can be described in a binary representation. The binarization algorithm transforms the exchange rate represented by tick data into a binary string. Each course change equal to a given discretization unit is assigned a binary value indicating the direction of the change. The performed statistical analysis confirms the existence of a correlation between previous course changes and the probability of future direction of the changes. In order to conduct a more detailed analysis of the exchange rate in a binary representation, each shift in the trajectory can be assigned a parameter representing the duration of the change. Depending on the current market dynamics, course trajectory changes may occur at different moments in time. The main goal of the presented research is to verify the existence of any dependences between the duration of a change and the probability of future direction of the change.
Author Michał Stasiak (WZ / KIiN)
Michał Stasiak,,
- Department of Investment and Real Estate
Journal seriesResearch Papers in Economics and Finance, ISSN , e-ISSN 2543-6430, (0 pkt)
Issue year2017
Vol2
No2
Pages39-45
Publication size in sheets0.5
Keywords in Englishforeign exchange market, high frequency econometric, technical analysis, modelling of currency exchange rates
DOIDOI:10.18559/ref.2017.2.5
URL http://ref.ue.poznan.pl/index.php/REF/article/view/51/17
Languageen angielski
Score (nominal)5
Score sourcejournalList
ScoreMinisterial score = 5.0, 12-03-2020, ArticleFromJournal
Citation count*2 (2020-06-23)
Cite
Share Share

Get link to the record


* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
Back
Confirmation
Are you sure?