clebersonjf83 / ts_forex_project

Analysis of Foreign Exchange Rates

Time Series Analysis and Forecasting

Codes:

1. EDA

Data:

1. Foreign_Exchange_Rates.csv
2. Foreign_Exchange_Rates.xlsx

Objective: Predicting FX(Forex) Currency Rates for major currencies (G7 Currencies)

Background: Massive amount of money is bet on changes in forex. Carry trade is one of the trading strategies in which traders invest in high interest rate currencies by borrowing in low-interest currencies. We would like to predict FX rates so that the trader can make informed decision of the carry trade.

Hypothesis: FX rates are dependent on multiple macroeconomic factors such as GDP growth rate, Inflation (CPI) and Balance of Trade. We would like to establish relationship for the below:

1. FX rate and relationship between its previous values (autoregressive time series) and ARMA models
2. Exploring relationship between external macro-factors and change in exchange rate
3. Cyclicity of FX rates

Dataset: We plan to use the dataset that is available on Kaggle and Quandl. Kaggle: https://www.kaggle.com/datasets/brunotly/foreign-exchange-rates-per-dollar-20002019 Quandl: https://data.nasdaq.com/data/CUR-foreign-exchange-rates

Workplan for Group Members:

1. Hemaang Kotta: Research and Model 1 development
2. Shubham Agarwal: Research and Model 2 development
3. Dheeraj Sharavan: Data Collection and Model 3 development
4. Maneet Singh: Presentation and Model 4 development