Algoritmic Trading System Based on State Model for Moving Average in a Binary-Temporal Representation

Michał Dominik Stasiak
Additional contact information
Michał Dominik Stasiak: Department of Investment and Real Estate, Poznan University of Economics and Business, al. Niepodleglosci 10, 61-875 Poznan, Poland

Risks, 2022, vol. 10, issue 4, 1-15

Abstract: One of the most basic methods of technical analysis that is used in the practice of investment is the analysis of moving averages, usually calculated for exchange rates in a candlestick representation. The following paper proposes a new, state model, describing the process of trajectory changes in a binary-temporal representation. This kind of representation carries a significantly higher informative value than the candlestick one. The model is based on a proper definition of the moving average, proposed for a binary-temporal representation. The new model allows for exchange rate trajectory prediction in a short future window and, as a consequence, can be used to construct effective HFT systems. The article provides a concept of this kind of system and its comparison with others based on historical data for AUD/NZD exchange rate from the 2014–2020 period.

Keywords: automatic forecasting; price forecasting; high frequency econometric; investment decision support; econometric models (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.mdpi.com/2227-9091/10/4/69/pdf (application/pdf)
https://www.mdpi.com/2227-9091/10/4/69/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:10:y:2022:i:4:p:69-:d:776397

Access Statistics for this article

Risks is currently edited by Mr. Claude Zhang

More articles in Risks from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().