Modelling of Currency Exchange Rates Using a Binary-Temporal Representation

Conference paper
Part of the Springer Proceedings in Business and Economics book series (SPBE)

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 

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Copyright information

© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Poznań University of Economic and BusinessPoznańPoland

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