Investment Decision Support on Precious Metal Market with Use of Binary Representation

Krzysztof Piasecki, Michał Dominik Stasiak () and Żaneta Staszak ()
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Michał Dominik Stasiak: Poznan University of Economics
Żaneta Staszak: Poznan University of Technology

Chapter Chapter 29 in Effective Investments on Capital Markets, 2019, pp 423-438 from Springer

Abstract: Abstract In this paper, a detailed analysis of HFT systems’ properties is performed with 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 of the following assessment criteria: expected annual number of transaction, systemic probability of success, expected single unitary payment, expected annual unitary payment, transaction risk assessment, single unitary risk bonus, annual unitary risk bonus, expected return rate, expected interest rate, return risk premium and interest risk premium. The research was performed on five-year historical data for precious metals to dollar exchange rates (XAU/USD and XAG/USD), with use of dedicated Mql4 and C++ software created by the authors.

Keywords: Metal market; High-frequency econometric; Technical analysis; Investment decision support (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-21274-2_29

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DOI: 10.1007/978-3-030-21274-2_29

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