Forecasting Exchange Rates and Constructing Currency Portfolios Laboratory

Lecture, one hours; laboratory, one hour. Requisites: courses 41, 102, 103, 103L, or consent of instructor. Enforced corequisite: course 123. Hands-on approach in which students write computer codes associated with concepts learned in Economics 123. Students apply these codes to real-world data in order to generate exchange rate forecasts and evaluate prediction accuracy of their forecasting models. Students use these forecasts to construct short-long portfolios of currencies and assess reward-risk trade-offs of such portfolios. To generate and evaluate forecasts, students use Tradestation software, which can be accessed in Social Sciences Computing laboratories. P/NP or letter grading.

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Course

Instructor
Aaron Tornell
Previously taught
23W 21F 20F

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