Investment Decision Support on PreciousMetal Market with Use of Binary Representation

Krzysztof Piasecki , Michał Stasiak , Żaneta Staszak

Abstract

In this paper, a detailed analysis of HFT systems’ properties is performedwith use of binary exchange rate representation for precious metals: gold and silver.The binary representation is based on transforming tick data into a binary string.In order to assess the probabilities of changes on the researched exchange market,authors use mentioned binary representation. This paper contains an analysis ofthe following assessment criteria: expected annual number of transaction, systemicprobability of success, expected single unitary payment, expected annual unitarypayment, transaction risk assessment, single unitary risk bonus, annual unitary riskbonus, expected return rate, expected interest rate, return risk premium and interestrisk premium. The research was performed on five-year historical data for preciousmetals to dollar exchange rates (XAU/USD and XAG/USD), with use of dedicatedMql4 and C++software created by the authors.
Author Krzysztof Piasecki (WZ / KIiN)
Krzysztof Piasecki,,
- Department of Investment and Real Estate
, Michał Stasiak (WZ / KIiN)
Michał Stasiak,,
- Department of Investment and Real Estate
, Żaneta Staszak
Żaneta Staszak,,
-
Pages423-438
Publication size in sheets0.75
Book Tarczyński Waldemar , Nermend Kesra (eds.): Effective Investments on Capital Markets: 10th Capital Market Effective Investments Conference (CMEI 2018), Springer Proceedings in Business and Economics, 2019, Springer, ISBN 978-3-030-21273-5, [978-3-030-21274-2], 510 p., DOI:10.1007/978-3-030-21274-2
Keywords in Polishrynek metali, ekonometria wysokich częstotliwości, analiza techniczna, wsparcie decyzji inwestycyjnych
Keywords in EnglishMetal Market, High Frequency Econometric, Technical Analysis, Investment decision support
DOIDOI:10.1007/978-3-030-21274-2_29
Languageen angielski
Score (nominal)20
Score sourcepublisherList
ScoreMinisterial score = 20.0, 23-04-2020, ChapterFromConference
Citation count*1 (2020-08-12)
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