Impact of range bar and ergodic process on early price trend detection using evidences from USD/CNY currency

This research uses ergodic theory to study early price trends for USD/CNY currency in China. The motivation of this study is to detect early price trends within two standard deviations away from average prices. Researchers can find the current method in forecasting the price trend after two stand...

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Main Author:	Pang, Tor Nee
Format:	Thesis
Language:	English
Published:	2021
Subjects:	Foreign exchange rates International finance Ergodic theory
Online Access:	http://psasir.upm.edu.my/id/eprint/99753/1/SPE%202022%2035%20UPM%20IR.pdf
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spelling	my-upm-ir.997532024-02-08T07:13:34Z Impact of range bar and ergodic process on early price trend detection using evidences from USD/CNY currency 2021-04 Pang, Tor Nee This research uses ergodic theory to study early price trends for USD/CNY currency in China. The motivation of this study is to detect early price trends within two standard deviations away from average prices. Researchers can find the current method in forecasting the price trend after two standard deviations from the average prices named “trend following” methodology, which has caused two gaps experienced by prior researchers. Without this research, the first gap is failure price trend formation within two standard deviations away from average prices that cause researchers cannot collect sufficient valuable samples to justify their hedge position. The second gap is lagging higher prices after two standard deviations from the average prices during trend following that causes researchers to select price to overvalue sample. This research introduces a solution for preventing failure price trend formation within two standard deviations and lagging higher price after two standard deviations prevention. Hence, this research is motivated to introduce range bar as a mediator variable and ergodic theory to support ergodic process as a moderator variable to create a new model. First, the range bar serves as a mediator to replace minutes of each bar time interval to make a recent sample of a non-periodic bar during the range-bound trading period. The objective is to select a successful price trend formation sample within two standard deviations away from moving average prices to hypothesize effectiveness by achieving at least 68% of frequency mean. Second, the ergodic process serves as a moderator to analyze a new sample of a non-periodic bar during the rangebound trading period within two standard deviations away from average prices. The objective is to choose a price to undervalue sample to hypothesize effectiveness by achieving at least a 0.8 correlation coefficient. This research tends to enhance the accuracy of price trend analysis during early detection within two standard deviations. It is possible to save up to 1.3% (statistic estimation) or USD54 billion of USD4.15 trillion annual foreign exchange between 2015 to 2019 by applying range bar and ergodic process variables. The future direction would replicate Malaysia to improve market liquidity. Foreign exchange rates International finance Ergodic theory 2021-04 Thesis http://psasir.upm.edu.my/id/eprint/99753/ http://psasir.upm.edu.my/id/eprint/99753/1/SPE%202022%2035%20UPM%20IR.pdf text en public masters Universiti Putra Malaysia Foreign exchange rates International finance Ergodic theory Soh, Wei Ni
institution	Universiti Putra Malaysia
collection	PSAS Institutional Repository
language	English
advisor	Soh, Wei Ni
topic	Foreign exchange rates International finance Ergodic theory
spellingShingle	Foreign exchange rates International finance Ergodic theory Pang, Tor Nee Impact of range bar and ergodic process on early price trend detection using evidences from USD/CNY currency
description	This research uses ergodic theory to study early price trends for USD/CNY currency in China. The motivation of this study is to detect early price trends within two standard deviations away from average prices. Researchers can find the current method in forecasting the price trend after two standard deviations from the average prices named “trend following” methodology, which has caused two gaps experienced by prior researchers. Without this research, the first gap is failure price trend formation within two standard deviations away from average prices that cause researchers cannot collect sufficient valuable samples to justify their hedge position. The second gap is lagging higher prices after two standard deviations from the average prices during trend following that causes researchers to select price to overvalue sample. This research introduces a solution for preventing failure price trend formation within two standard deviations and lagging higher price after two standard deviations prevention. Hence, this research is motivated to introduce range bar as a mediator variable and ergodic theory to support ergodic process as a moderator variable to create a new model. First, the range bar serves as a mediator to replace minutes of each bar time interval to make a recent sample of a non-periodic bar during the range-bound trading period. The objective is to select a successful price trend formation sample within two standard deviations away from moving average prices to hypothesize effectiveness by achieving at least 68% of frequency mean. Second, the ergodic process serves as a moderator to analyze a new sample of a non-periodic bar during the rangebound trading period within two standard deviations away from average prices. The objective is to choose a price to undervalue sample to hypothesize effectiveness by achieving at least a 0.8 correlation coefficient. This research tends to enhance the accuracy of price trend analysis during early detection within two standard deviations. It is possible to save up to 1.3% (statistic estimation) or USD54 billion of USD4.15 trillion annual foreign exchange between 2015 to 2019 by applying range bar and ergodic process variables. The future direction would replicate Malaysia to improve market liquidity.
format	Thesis
qualification_level	Master's degree
author	Pang, Tor Nee
author_facet	Pang, Tor Nee
author_sort	Pang, Tor Nee
title	Impact of range bar and ergodic process on early price trend detection using evidences from USD/CNY currency
title_short	Impact of range bar and ergodic process on early price trend detection using evidences from USD/CNY currency
title_full	Impact of range bar and ergodic process on early price trend detection using evidences from USD/CNY currency
title_fullStr	Impact of range bar and ergodic process on early price trend detection using evidences from USD/CNY currency
title_full_unstemmed	Impact of range bar and ergodic process on early price trend detection using evidences from USD/CNY currency
title_sort	impact of range bar and ergodic process on early price trend detection using evidences from usd/cny currency
granting_institution	Universiti Putra Malaysia
publishDate	2021
url	http://psasir.upm.edu.my/id/eprint/99753/1/SPE%202022%2035%20UPM%20IR.pdf
_version_	1794018904461279232

Impact of range bar and ergodic process on early price trend detection using evidences from USD/CNY currency

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