Modelling of Currency Exchange Rates Using a Binary-Wave Representation
AbstractExchange rate of a currency pair can be visualized in a binary representation. Binarization algorithm transforms the course trajectory represented by tick data into an appropriate binary string. This kind of representation allows for a far more precise analysis and can be applied in HFT systems. In the following article a state model for exchange rate in binary representation with use of wave relations is proposed. In the model, states corresponding to particular price change patterns and wave types were defined. The wave detection process uses respective algorithms of wave detection in binary representation. In the article, research was performed for EUR/SEK currency pair with main focus on the possible application of abovementioned model in creating a HFT system with a positive rate of return.
|Publication size in sheets||0.5|
|Book||Wilimowska Zofia, Borzemski Leszek, Świątek Jerzy (eds.): Information Systems Architecture and Technology: Proceedings of 38th International Conference on Information Systems Architecture and Technology – ISAT 2017. Part III, Advances in Intelligent Systems and Computing, vol. 657, 2017, Springer, ISBN 978-3-319-67222-9, [978-3-319-67223-6], 408 p., DOI:10.1007/978-3-319-67223-6|
|Keywords in English||Foreign Exchange Market, High Frequency Econometric, Technical Analysis, Currency market investment decision support, exchange rate modeling|
|Score||= 20.0, 12-03-2020, ChapterFromConference|
|Publication indicators||= 0|
|Citation count*||7 (2020-09-20)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.