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Analysis of the EUR/USD exchange rate in binary-temporal representation

Research Papers in Economics and Finance

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Field Value
 
Title Analysis of the EUR/USD exchange rate in binary-temporal representation
 
Creator Stasiak, Michał Dominik
 
Description 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.
 
Publisher Faculty of Economics, Poznań University of Economics and Business
 
Date 2017-07-25
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://ref.ue.poznan.pl/index.php/REF/article/view/51
 
Source Research Papers in Economics and Finance; Vol 2 No 2 (2017); 39-45
2543-6430
 
Language eng
 
Relation http://ref.ue.poznan.pl/index.php/REF/article/view/51/17