Impact of a discretization unit on binary representation of exchange rate

Michał Stasiak , Aleksandra Wójcicka-Wójtowicz

Abstract

An 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.
Author Michał Stasiak (WZ / KIiN)
Michał Stasiak,,
- Department of Investment and Real Estate
, Aleksandra Wójcicka-Wójtowicz (WIiGE / KBO)
Aleksandra Wójcicka-Wójtowicz,,
- Department of Operations Research
Pages154-161
Publication size in sheets0.5
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 Polishkurs walutowy, reprezentacja binarna
Keywords in Englishcurrency exchange market, technical analysis, investment decision support, exchange rate
URL https://air.ue.katowice.pl/2018a/pdf/2018a/20_Stasiak.pdf
Languageen angielski
Score (nominal)20
Score sourcepublisherList
ScoreMinisterial score = 20.0, 24-06-2020, ChapterFromConference
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