Impact of a discretization unit on binary representation of exchange rate
Michał Stasiak , Aleksandra Wójcicka-Wójtowicz
AbstractAn exchange rate of a currency pair can be shown in binary representation. The algorithm of binarization depends on the conversion of an exchange rate represented by tick data into a corresponding binary string. Each increase of an exchange rate, by a given discretization unit, is attributed a binary value of 1. In turn, 0 is assigned to each exchange rate decrease. Properties and a character of exchange rate in binary representation, e.g. the impact of random fluctuations (noise), the level of interdependencies between current changes and historical data, depend on an assumed discretization unit. The research presents a statistic analysis of a currency pair exchange rate in a binary representation, for various discretization units. The analysis was conducted to test the possibility of using the binary representation to build prediction systems based on a state model for binary representation (SMBR). For the analysis tick data of AUD/NZD pair was used in the period of 2012-2016.
|Publication size in sheets||0.5|
|Book||Szkutnik Włodzimierz, Sączewska-Piotrowska Anna, Hadaś-Dyduch Monika, Acedański Jan (eds.): 9th International Scientific Conference: Analysis of International Relations 2018. Methods and Models of Regional Development. Winter Edition. Conference Proceedings, 2018, Wydawnictwo Uniwersytetu Ekonomicznego w Katowicach, ISBN 978-83-7875-421-3, [978-83-7875-420-6], 198 p.|
|Keywords in Polish||kurs walutowy, reprezentacja binarna|
|Keywords in English||currency exchange market, technical analysis, investment decision support, exchange rate|
|Score||= 20.0, 24-06-2020, ChapterFromConference|
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