Student Work
Currency Risk Management: Predicting the EUR/USD Exchange Rate
ÖffentlichHerunterladbarer Inhalt
open in viewerThis 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.
- This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.
- Creator
- Mitwirkende
- Publisher
- Identifier
- E-project-042618-111005
- Advisor
- Year
- 2018
- Center
- Sponsor
- Date created
- 2018-04-26
- Ort
- Zurich
- Resource type
- Major
- Rights statement
Beziehungen
- In Collection:
Objekte
Artikel
Miniaturansicht | Titel | Sichtbarkeit | Embargo Release Date | Aktionen |
---|---|---|---|---|
MQP_Report_by_Andrea_Bayas.pdf | Öffentlich | Herunterladen |
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