Investment Decision Support on PreciousMetal Market with Use of Binary Representation
Krzysztof Piasecki , Michał Stasiak , Żaneta Staszak
AbstractIn 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.
|Publication size in sheets||0.75|
|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 Polish||rynek metali, ekonometria wysokich częstotliwości, analiza techniczna, wsparcie decyzji inwestycyjnych|
|Keywords in English||Metal Market, High Frequency Econometric, Technical Analysis, Investment decision support|
|Score||= 20.0, 23-04-2020, ChapterFromConference|
|Citation count*||1 (2020-10-28)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.