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Selected Methods of Risk Modelling in Management Process Read chapter Read first chapter

2017 | OriginalPaper | Chapter

Modelling of Currency Exchange Rates Using a Binary Representation

Author : Michał Dominik Stasiak

Published in: Information Systems Architecture and Technology: Proceedings of 37th International Conference on Information Systems Architecture and Technology – ISAT 2016 – Part IV

Publisher: Springer International Publishing

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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.

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previous chapter The Acquirement and Functioning of Mezzanine Capital on the Example of Enterprises Operating in the Republic of Poland
next chapter The Factors and Parameters Determining the Formation of the Target Capital Structure in Family Businesses
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Metadata
Title
Modelling of Currency Exchange Rates Using a Binary Representation
Author
Michał Dominik Stasiak
Copyright Year
2017
Book
Information Systems Architecture and Technology: Proceedings of 37th International Conference on Information Systems Architecture and Technology – ISAT 2016 – Part IV

Print ISBN: 978-3-319-46591-3

Electronic ISBN: 978-3-319-46592-0

Copyright Year: 2017

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

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