Modelling of Currency Exchange Rates Using a Binary Representation

Stasiak, Michał Dominik

doi:10.1007/978-3-319-46592-0_13

Cited by 12 publications

(20 citation statements)

References 6 publications

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“…Let us assume that observations I i+1 are independent. The results of previous pilot studies [14][15][16][17][18][19] are consistent with the above assumption. Therefore, we can say that the trend record Ψ is a Bernoulli sequence.…”

Section: The Description Of Fxsupporting

confidence: 90%

“…This means that the proposed approximation is reliable when the sample size is large enough (i.e., greater than 30) and the success probability is not close to 0 or 1 [24]. All results of the pilot studies [14][15][16][17][18][19] are consistent with the above conditions. The set of triples below…”

Section: The Description Of Fxsupporting

confidence: 53%

“…An example of the explicitly defined space of states is given in Section 4. More examples of the explicitly defined different space states are found in previous works [14][15][16][17][18][19].…”

Section: The Description Of Fxmentioning

confidence: 99%

“…A considered HFT system is based on our experience related to the applications of the heuristic transaction systems linked to the proposed criterion. In previous studies [15][16][17][18][19][20], the mentioned heuristic transaction system was applied for trading with exchange pairs of EUR/SEK and AUD/NZD where abbreviations EUR, SEK, AUD, NZD are determined by ISO standard 4217. The results obtained in this method of back-tests confirmed the usefulness of these transaction systems.…”

Section: Introductionmentioning

confidence: 99%

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The Forex Trading System for Speculation with Constant Magnitude of Unit Return

Piasecki

Stasiak

2019

Mathematics

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The main purpose of this article is to investigate a speculative trading system with a constant magnitude of return rate. We consider speculative operations related to the exchange rate given as the quotient of the base exchange medium by the quoted currency. An exchange medium is understood as any currency or any precious metal. The unit return is defined as the return expressed in the quoted currency by the amount of base exchange medium. All possible states of the exchange market form a finite elemental space. All knowledge about the dynamics of this market is presented as a prediction table describing the conditional probability distributions of incoming exchange rate changes. On the other hand, in the proposed trading system each speculative operation is concluded in such a way that the gross payment is determined by the given magnitude of unit return. The paper contains an analysis of the following evaluation criteria: annual number of transaction, success probability, expected unit payment, expected unit profit, risk index, unit risk premium, return rate, interest rate, and interest risk premium. Both of these indices can be used to select the effective trading systems. Effectiveness is considered in the local sense and in the global sense.

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Section: The Description Of Fxsupporting

confidence: 90%

Section: The Description Of Fxsupporting

confidence: 53%

Section: The Description Of Fxmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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The Forex Trading System for Speculation with Constant Magnitude of Unit Return

Piasecki

Stasiak

2019

Mathematics

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“…Even though this method is far more precise than others, it was soon replaced by the candlestick chart analysis and was never further developed. In works of [Stasiak 2016], a binary representation which allowed for the conversion of an exchange rate trajectory into a binary string was used. In this approach, the sole parameter is the discretization unit that describes the length of the trajectory change for which the change will actually be noted.…”

Section: Binary Representation Of An Exchange Ratementioning

confidence: 99%

Analysis of the EUR/USD Exchange Rate in Binary-Temporal Representation

Stasiak

2017

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An exchange rate between two currencies can be described in a binary representation. The binarization algorithm transforms the exchange rate represented by tick data into a binary string. Each course change equal to a given discretization unit is assigned a binary value indicating the direction of the change. The performed statistical analysis confirms the existence of a correlation between previous course changes and the probability of future direction of the changes. In order to conduct a more detailed analysis of the exchange rate in a binary representation, each shift in the trajectory can be assigned a parameter representing the duration of the change. Depending on the current market dynamics, course trajectory changes may occur at different moments in time. The main goal of the presented research is to verify the existence of any dependences between the duration of a change and the probability of future direction of the change.

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