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.

• 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

• Bayas, Andrea C.

Contributors

• Oesterrider, Joerg

Publisher

• Worcester Polytechnic Institute

Identifier

• E-project-042618-111005

Advisor

• Wang, Gu

Year

• 2018

Center

• Zurich, Switzerland Project Center - MQP

Sponsor

• Zurich School of Applied Sciences (ZHAW)

Date created

• 2018-04-26

Location

• Zurich

Resource type

• Major Qualifying Project

Major

• Mathematical Sciences

Rights statement

• In Copyright