MONITORING OF THE STATE OF CURRENCY MARKET USING PIECEWISE CONTINUOUS FUNCTIONS
Journal Title: Проблеми системного підходу в економіці - Year 2017, Vol 6, Issue 62
Abstract
This paper is devoted to approach to modelling the state of the currency market using piecewise-continuous functions, such as the Walsh and the Rademacher function. The mathematical instrument for the analysis of time series of currency quotations and definition of an error is resulted, and also the algorithm of its use is developed. The calculation and graphical representation of the recovered time series and the error in quotations of the Euro/Dollar currency pair are performed. Properties of graphic statistical models of reconstructed time series are determined. The developed model of monitoring of the state of the currency market makes it possible to divide the time series into two components, one of which characterizes the market situation at a given time interval, and the other is a kind of market noise regarding these states. The study of the initial time series is replaced by the study of its piecewise-continuous graphical statistical model. A graphical statistical model reflects the state of the market, that is, certain levels of quotes that vary in time, and are characterized by size and duration. The idea of the existence of market conditions is associated with the concepts of cyclical economic development and the frequency of economic phenomena and processes. The advantages of the proposed model in terms of further forecasting are: absence of market noise in the processed signal; a convenient form of the processed signal in the form of steps of equal length, which allows using the theory of Markov chains to predict the dynamics of the currency market.
Authors and Affiliations
V. S. Bezkorovainyi, V. D. Derbentsev
Keywords
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