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Information Systems Architecture and Technology: Proceedings of 37th International Conference on Information Systems Architecture and Technology – ISAT 2016 – Part IV pp 153–161Cite as

Modelling of Currency Exchange Rates Using a Binary Representation

Part of the Advances in Intelligent Systems and Computing book series (AISC,volume 524)

Abstract

The present article proposes a new method for modeling currency exchange rates in a binary representation, with the exchange rate of AUD/NZD as an example. The binary representation, obtained on the basis of 5-year long tick historical data, is incorporated into a statistical analysis to derive and determine relevant parameters for the model. The model presented in the article makes it possible to approximate the probability of the direction of changes in the currency exchange rate in relation to its preceding changes. The model is characterized by the following features: the independence of its parameters on overriding trends and a possibility of its application to construct automatic prediction systems.

Keywords

  • Foreign exchange market
  • High frequency econometric
  • Technical analysis
  • Currency market investment decision support
  • Modelling of currency exchange rates

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Author information

Authors and Affiliations

  1. Operation Research Department, Poznan University of Economic and Business, Al. Niepodległości 10, 60-875, Poznań, Poland

    Michał Dominik Stasiak

Authors
  1. Michał Dominik Stasiak
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Correspondence to Michał Dominik Stasiak .

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Editors and Affiliations

  1. Department of Management Systems,Faculty of Computer Science and Management, Wrocław University of Technology, Wrocła Department of Management Systems, Wrocław, Poland

    Zofia Wilimowska

  2. Department of IT and Management, Wrocław University of Technology Department of IT and Management, Wrocław, Poland

    Leszek Borzemski

  3. Department of Computer Science, Wrocław University of Technology Department of Computer Science, Wrocław, Poland

    Adam Grzech

  4. Department of Computer Science, Wrocław University of Technology Department of Computer Science, Wrocław, Poland

    Jerzy Świątek

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Stasiak, M.D. (2017). Modelling of Currency Exchange Rates Using a Binary Representation. In: Wilimowska, Z., Borzemski, L., Grzech, A., Świątek, J. (eds) Information Systems Architecture and Technology: Proceedings of 37th International Conference on Information Systems Architecture and Technology – ISAT 2016 – Part IV. Advances in Intelligent Systems and Computing, vol 524. Springer, Cham. https://doi.org/10.1007/978-3-319-46592-0_13

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  • DOI: https://doi.org/10.1007/978-3-319-46592-0_13

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-46591-3

  • Online ISBN: 978-3-319-46592-0

  • eBook Packages: EngineeringEngineering (R0)

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