Short-term Euro-Dollar exchange rate forecasting using regression models

In this project, our goal is to investigate mathematical and statistical models to forecast the short-term exchange rate. Notably, we are considering the 15-minutes time frame Euro-Dollar (EUR/USD) currency pair as the object of the project.
There are several different major currency pair such as EUR/USD USD/JPY, GBP/USD, USD/CHF, AUD/USD, and USD/CAD.
We chose EUR/USD since it is the most traded currency pair in the market; however, most of our work can be applied to other currency pair with some modifications.
In addition, we will also focus on polynomial regression models, which we hypothesized to be a better fit given the non-linear nature of the data.
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Abstract/Description: In this project, our goal is to investigate mathematical and statistical models to forecast the short-term exchange rate. Notably, we are considering the 15-minutes time frame Euro-Dollar (EUR/USD) currency pair as the object of the project. There are several different major currency pair such as EUR/USD USD/JPY, GBP/USD, USD/CHF, AUD/USD, and USD/CAD. We chose EUR/USD since it is the most traded currency pair in the market; however, most of our work can be applied to other currency pair with some modifications. In addition, we will also focus on polynomial regression models, which we hypothesized to be a better fit given the non-linear nature of the data.
Subject(s): Polynomial regression models
Undergraduate Research
Euro/USD
Short-term exchange rate forecast
Date Issued: 2021