Graduate Program

Economics

Degree Name

Master of Arts (MA)

Semester of Degree Completion

2011

Thesis Director

Ahmed Abou-Zaid

Thesis Committee Member

James Bruehler

Thesis Committee Member

Mukti Upadhyay

Abstract

This study is to investigate the use of Artificial Neural Networks (ANN) for forecasting exchange rates. The currencies examined in the paper are the Euro, Pound, and Yen. Two different types of ANNs are used in this paper: Feedforward and Nonlinear Autoregressive with Exogenous Input (NARX). Forecasts are made for daily and weekly exchange rates using the open, high, low, and close of the exchange rates. Many standard econometric models cannot deal with daily and weekly forecasts due to many macro economic variables not being available at such frequencies. ANNs are able to deal with daily and weekly data as well as the nonlinearities in exchange rate movements.

Included in

Economics Commons

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