Modelling of Currency Exchange Rates Using a Binary-Temporal Representation

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

“…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.…”

“…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…”

“…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].…”

“…is recursively determined by Equations (18) and (19). The time period from December 31, 2012, to January 1, 2018, contains about 1250 trading days.…”

“…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.…”