Modelling of Currency Exchange Rates Using a Binary-Temporal Representation

Michał Dominik Stasiak ()
Additional contact information
Michał Dominik Stasiak: Poznań University of Economic and Business

A chapter in Contemporary Trends in Accounting, Finance and Financial Institutions, 2018, pp 97-110 from Springer

Abstract: Abstract In the following article a new method for modelling exchange rates with a binary-temporal representation is proposed. The presented model allows for an approximation of change probabilities for course trajectory, depending on the direction and duration of previous change. Model parameters are appointed based on statistical analysis of a binary-temporal representation of 5-year historical tick data for AUD/NZD exchange rate. The main characteristics of the model are parameter’s independence from any superior trends and a possibility of application in algorithms of automatic trade systems.

Keywords: Foreign exchange market; High frequency econometric; Technical analysis; Currency market investment decision support; Modelling of currency exchange rates (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (5)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:prbchp:978-3-319-72862-9_8

Ordering information: This item can be ordered from
http://www.springer.com/9783319728629

DOI: 10.1007/978-3-319-72862-9_8

Access Statistics for this chapter

More chapters in Springer Proceedings in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().