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  • 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 fixed price 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.
  • 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 fixed price 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. (en)
Title
  • Empirical Analysis of EUR/USD by Means of Markov Chain
  • Empirical Analysis of EUR/USD by Means of Markov Chain (en)
skos:prefLabel
  • Empirical Analysis of EUR/USD by Means of Markov Chain
  • Empirical Analysis of EUR/USD by Means of Markov Chain (en)
skos:notation
  • RIV/61989100:27510/14:86090212!RIV15-MSM-27510___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(EE2.3.30.0016), P(GP13-18300P)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 14454
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/14:86090212
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • trend prediction; transition matrix; Markov chain analysis (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [1D45C7A25D9A]
http://linked.open...v/mistoKonaniAkce
  • Ostrava
http://linked.open...i/riv/mistoVydani
  • Ostrava
http://linked.open...i/riv/nazevZdroje
  • Managing and Modeling of Financial Risks : 7th international scientific conference : proceedings : 8th-9th September 2014, Ostrava, Czech Republic. [Part I-III]
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Kresta, Aleš
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
number of pages
http://purl.org/ne...btex#hasPublisher
  • Vysoká škola báňská - Technická univerzita Ostrava
https://schema.org/isbn
  • 978-80-248-3631-7
http://localhost/t...ganizacniJednotka
  • 27510
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