Faculty Advisor

Wang, Gu

Center

SWITZ / Zurich Project Center

Abstract

This project provides a simple, yet comprehensive approach to predicting movements in the exchange rate between the Euro and the U.S. Dollar through the development of a linear regression model and further fitting the errors by using momentum signals. The predictions generated are compared to the forward rates in order to develop a hedging strategy for deciding when to use a forward contract or wait to use the spot exchange rate. Finally, we analyze the payoffs obtained by using this strategy.

Publisher

Worcester Polytechnic Institute

Date Accepted

April 2018

Major

Mathematical Sciences

Project Type

Major Qualifying Project

Accessibility

Unrestricted

Advisor Department

Mathematical Sciences

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