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.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Bibliography
Cheung YW, Chinn MD (1999) Macroeconomic implications of the beliefs and behaviour of foreign exchange traders (No. w7417). National Bureau of Economic Research
Chung KL (2012) Elementary probability theory with stochastic processes. Springer
Lo AW, Mamaysky H, Wang J (2000) Foundations of technical analysis: computational algorithms, statistical inference, and empirical implementation. J Finance 55(4):1705–1770
Gibbons JD, Chakraborti S (2011) Nonparametric statistical inference. Springer, pp 977–979
Godbole AP, Papastavridis SG (1994) Runs and patterns in probability: selected papers, vol 283. Springer Science and Business Media
Lee KH, Jo GS (1999) Expert system for predicting stock market timing using a candlestick chart. Expert Syst Appl 16(4):357–364
Logue DE, Sweeney RJ (1977) White noise in imperfect markets: the case of the franc/dollar exchange rates. J Finance 32(3):761–768
Menezes AJ, Van Oorschot PC, Vanstone SA (1996) Handbook of applied cryptography. CRC Press
Menkhoff L, Taylor MP (2007) The obstinate passion of foreign exchange professionals: technical analysis. J Econ Lit 936–972
Murphy J (1999) Technical analysis of the financial markets. Prentice Hall Press
Oberlechner T (2005) The psychology of the foreign exchange market, vol 506. Wiley
Rukhin A, Soto J, Nechvatal J, Barker E, Leigh S, Levenson M, Smid M (2010) Statistical test suite for random and pseudorandom number generators for cryptographic applications. NIST special publication
Schlossberg B (2006) Technical analysis of the currency market. Wiley
Stasiak M, Glabowski M, Wisniewski A, Zwierzykowski P (2010) Modelling and dimensioning of mobile wireless networks: from GSM to LTE. Wiley
Stasiak MD (2015) USD/PLN exchange rate in binary representation, Zeszyty Naukowe Uniwersytetu Ekonomicznego w Katowicach (accepted for publication)
Stasiak MD (2016) Modelling of currency exchange rates using a binary representation. in information systems architecture and technology. In: Proceedings of 37th international conference on information systems architecture and technology ISAT 2016—Part IV, Springer, pp 153–161
Valcu D (2004) Using the Heikin-Ashi technique. Technical analysis of stocks and commodities—magazine edition, 22(2), pp 16–29
Yazdi S H M, Lashkari Z H (2013) Technical analysis of Forex by MACD Indicator. International Journal of Humanities and Management Sciences (IJHMS) 1(2):159–165
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2018 Springer International Publishing AG, part of Springer Nature
About this paper
Cite this paper
Stasiak, M.D. (2018). Modelling of Currency Exchange Rates Using a Binary-Temporal Representation. In: Choudhry, T., Mizerka, J. (eds) Contemporary Trends in Accounting, Finance and Financial Institutions. Springer Proceedings in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-319-72862-9_8
Download citation
DOI: https://doi.org/10.1007/978-3-319-72862-9_8
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-72861-2
Online ISBN: 978-3-319-72862-9
eBook Packages: Economics and FinanceEconomics and Finance (R0)