Wave relations of exchange rates in binary-temporal representation

Michał Stasiak

Abstract

An exchange rate trajectory can be given in a binary-temporal representation. Basis of this representation is the course discretization, in which to every change of exchange rate equal to a given discretization unit two parameters are assigned, that is binary value corresponding to the direction of trajectory change and its duration. Statistical analysis performed by the Author confirms relationships between previous changes and their duration, and the future direction of changes. One of the fundamental methods of technical analysis is wave analysis. In the presented article some algorithms were given, allowing for detecting a start, end and duration of a given wave in binary-temporal representation of exchange rate trajectory. A detailed statistical analysis of wave parameters for AUD/NZD pair in five-year period (2012-2017) was also performed. The main part of this article consist of research dedicated to ascertain the influence of type and actual wave parameters on the probability of future course change. Obtained results indicate a high predicative value of proposed model. The binarization process of exchange rate course and appointment of wave parameters were performed based on specialistic software, developed in MQL4 and C++.
Author Michał Stasiak (WZ / KIiN)
Michał Stasiak,,
- Department of Investment and Real Estate
Pages720-725
Publication size in sheets0.5
Book Pražák Pavel (eds.): 35th International Conference Mathematical Methods in Economics MME 2017 : Conference Proceedings, 2017, Gaudeamus, University of Hradec Kralove, ISBN 978-80-7435-678-0, 896 p.
Keywords in Englishforeign exchange market, high frequency econometric, technical analysis, currency market investment decision support, modelling of currency exchange rates
Languageen angielski
Score (nominal)15
Score sourceconferenceIndex
ScoreMinisterial score = 15.0, 12-03-2020, ChapterFromConference
Publication indicators WoS Citations = 0
Citation count*1 (2020-06-23)
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