Modelling of Currency Exchange Rates Using a Binary Representation

Michał Stasiak

Abstract

The present article proposes a new method for modeling currency exchange rates in a binary representation, with the exchange rate of AUD/NZD as an example. The binary representation, obtained on the basis of 5-year long tick historical data, is incorporated into a statistical analysis to derive and determine relevant parameters for the model. The model presented in the article makes it possible to approximate the probability of the direction of changes in the currency exchange rate in relation to its preceding changes. The model is characterized by the following features: the independence of its parameters on overriding trends and a possibility of its application to construct automatic prediction systems.
Author Michał Stasiak (WZ / KIiN)
Michał Stasiak,,
- Department of Investment and Real Estate
Pages153-161
Publication size in sheets0.5
Book Wilimowska Zofia, Borzemski Leszek, Grzech Adam, Świątek Jerzy (eds.): Information systems architecture and technology : proceedings of 37th International Conference on Information Systems Architecture and Technology, ISAT 2016. Part IV, Advances in Intelligent Systems and Computing, no. 524, 2017, Springer, ISBN 978-3-319-46591-3, [978-3-319-46592-0], 319 p., DOI:10.1007/978-3-319-46592-0
Keywords in Englishforeign exchange market, high frequency econometric, technical analysis, currency market investment decision support, modelling of currency exchange rates
DOIDOI:10.1007/978-3-319-46592-0_13
Languageen angielski
Score (nominal)20
Score sourcepublisherList
ScoreMinisterial score = 20.0, 12-03-2020, ChapterFromConference
Publication indicators WoS Citations = 0
Citation count*20 (2020-10-15)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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