Empirical Analysis of EUR/USD by Means of Markov Chain

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Empirical Analysis of EUR/USD by Means of Markov Chain

Popis výsledku v původním jazyce

The paper is focused on the empirical analysis of EUR/USD foreign exchange rate development. For this purpose Markov chains are utilized. To be specific, we apply Markov chain of order four, i.e. we assume in our models that the future direction of exchange rate development depends on four previous states. In the paper we also propose two models, which differs in the definition of states. In the first model, we consider the period of fixed size, while in the second model we consider the period of fixedprice movement. We have found out that while under the first model there cannot be found any patterns providing predictive edge, under the second model there are instances in which the conditional probability of future movement directions are biased. These biased instances can be utilized for the development of profitable trading system as proposed in the paper.

Název v anglickém jazyce

Empirical Analysis of EUR/USD by Means of Markov Chain

Popis výsledku anglicky

The paper is focused on the empirical analysis of EUR/USD foreign exchange rate development. For this purpose Markov chains are utilized. To be specific, we apply Markov chain of order four, i.e. we assume in our models that the future direction of exchange rate development depends on four previous states. In the paper we also propose two models, which differs in the definition of states. In the first model, we consider the period of fixed size, while in the second model we consider the period of fixedprice movement. We have found out that while under the first model there cannot be found any patterns providing predictive edge, under the second model there are instances in which the conditional probability of future movement directions are biased. These biased instances can be utilized for the development of profitable trading system as proposed in the paper.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Managing and Modeling of Financial Risks : 7th international scientific conference : proceedings : 8th-9th September 2014, Ostrava, Czech Republic. [Part I-III]

ISBN

978-80-248-3631-7

ISSN

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e-ISSN

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Počet stran výsledku

7

Strana od-do

411-417

Název nakladatele

VŠB-Technical University of Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

8. 9. 2014

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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