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- Title
Algoritmic Trading System Based on State Model for Moving Average in a Binary-Temporal Representation.
- Authors
Stasiak, Michał Dominik
- Abstract
One of the most basic methods of technical analysis that is used in the practice of investment is the analysis of moving averages, usually calculated for exchange rates in a candlestick representation. The following paper proposes a new, state model, describing the process of trajectory changes in a binary-temporal representation. This kind of representation carries a significantly higher informative value than the candlestick one. The model is based on a proper definition of the moving average, proposed for a binary-temporal representation. The new model allows for exchange rate trajectory prediction in a short future window and, as a consequence, can be used to construct effective HFT systems. The article provides a concept of this kind of system and its comparison with others based on historical data for AUD/NZD exchange rate from the 2014–2020 period.
- Subjects
MOVING average process; FOREIGN exchange rates; INVESTMENT analysis; CANDLESTICKS; ECONOMETRIC models
- Publication
Risks, 2022, Vol 10, Issue 4, pN.PAG
- ISSN
2227-9091
- Publication type
Article
- DOI
10.3390/risks10040069