Impact of range bar and Ergodic process on early price trend detection using evidence from USD/CNY currency
View/ Open
Date
2022-10Author
Wei, Ni Soh
Fakarudin, Kamarudin
Tor, Nee Pang
Metadata
Show full item recordAbstract
This paper uses range bar and Ergodic Theory to study early price trends for USD/CNY
currency in China from 2015 to 2019. The main results indicated that early price trend
detection can be achieved within two standard deviations. During the range-bound
trading period,sample showed that atleast 68% of frequency mean result suggested that
range bar solved price trend formation. This paper is further analysed to obtain at least
a 0.8 correlation coefficient sample suggested that Ergodic Theory prevented overpriced
hedge trends. This paper intends to improve price trend detection earlier than trend
following methodology. Therefore, the authorities shall consider implementing early
price trend detection models to improve the liquidity of local currency.